KRE Options History — April 2008

In April 2008, KRE traded between $32.50 and $36.97. ATM implied volatility averaged 35.2%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 6.6% (HV 20d: 41.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 4.70.

Notable Days

  • 2008-04-18: Highest Volume — 2,514 contracts
  • 2008-04-28: Largest IV spike — 64.7% change
  • 2008-04-03: Highest IV Rank — 19.7%
  • 2008-04-03: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.77$32.50$36.97$36.78$34.43
Max Pain$34.77$30.00$35.00$35.00$35.00
ATM IV35.2%18.4%46.8%44.2%30.7%
Expected Move10.2%5.3%13.4%12.7%8.8%
HV 20d41.8%37.3%46.7%46.7%37.8%
HV 60d66.8%65.5%68.5%65.6%68.5%
IV Rank12.6%2.1%19.7%18.1%9.8%
IV Percentile35.4%7.5%67.1%61.7%23.5%
Term Structure-0.4%-16.7%16.7%-7.9%-4.7%
VWIV33.8%18.8%46.1%41.9%28.1%
Bid-Ask Spread %61.3515.6386.4575.6276.44
Gamma HHI0.540.400.700.570.52
Net GEX-93.9K-628.3K115.5K45.4K-431.3K
Net DEX548.0K-1.9M5.5M-1.5M4.0M
Net VEX-21.1K-38.4K-12.6K-14.6K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.700.0560.320.481.00
Total Volume338.72742,5142884
Total OI3,738.6362,1347,0472,1347,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$36.78$35.0044.2%12.7%46.7%18.1%41.9%0.0%-7.9%45.4K-1.5M-14.6K0.4875.62194941,362772
2008-04-02$36.97$35.0043.6%12.5%46.4%17.8%39.1%0.0%-4.0%65.8K-1.8M-15.9K0.5775.5349281,541722
2008-04-03$36.58$35.0046.8%13.4%46.6%19.7%38.7%0.0%-16.7%61.6K-1.6M-15.8K0.3986.4544171,573742
2008-04-04$35.55$35.0043.6%12.1%46.4%17.8%42.5%0.0%0.0%54.2K-1.1M-15.4K0.2045.37185371,602745
2008-04-07$35.50$35.0042.6%11.9%46.1%17.2%39.4%0.0%-1.5%79.8K-1.4M-15.9K0.7045.3530211,752758
2008-04-08$35.14$35.0032.0%11.9%46.3%10.6%0.0%0.0%-2.5%79.3K-1.3M-15.8K0.4555.921151,767767
2008-04-09$34.00$35.0040.6%11.8%40.0%15.9%35.6%0.0%-2.9%67.0K-730.4K-14.3K0.7462.461401041,769766
2008-04-10$34.03$35.0038.6%11.1%39.5%14.6%39.0%0.0%0.1%50.9K-654.9K-15.3K0.2760.5564171,693816
2008-04-11$33.45$35.0031.7%9.1%39.3%10.4%46.1%0.0%-1.8%41.4K-358.6K-14.5K1.1561.4713151,723827
2008-04-14$32.50$35.0043.0%12.3%40.2%17.4%38.4%0.0%0.5%27.9K86.3K-12.6K0.4159.76131541,733842
2008-04-15$33.37$35.0031.3%9.0%41.5%10.1%38.4%0.0%-2.5%41.5K-316.7K-14.3K0.1761.975391,826883
2008-04-16$34.99$35.0038.6%11.1%42.5%14.7%38.6%0.0%1.1%81.0K-896.7K-15.8K0.9666.1294901,876886
2008-04-17$35.21$35.0039.5%11.3%42.2%15.2%35.8%0.0%-1.0%76.2K-1.1M-16.6K0.5467.9394511,907944
2008-04-18$35.38$30.0037.1%10.6%38.7%13.7%23.9%0.0%-10.8%115.5K-1.9M-17.2K60.3273.84412,4731,978966
2008-04-21$34.16$35.0029.7%8.5%39.6%9.1%29.2%0.0%6.2%-117.1K681.1K-20.0K1.7980.65811451,7081,908
2008-04-22$33.84$35.0029.2%8.4%39.4%8.8%23.1%0.0%2.8%-122.3K1.1M-19.8K0.1083.978991,7081,908
2008-04-23$33.04$35.0032.2%9.2%39.3%10.7%32.2%0.0%1.6%-280.2K5.5M-22.1K26.0442.53812,1091,7463,425
2008-04-24$34.56$35.0023.1%6.6%42.1%5.1%25.6%0.0%7.8%-472.8K5.1M-38.4K4.8153.04321541,7805,032
2008-04-25$34.80$35.0018.4%5.3%40.7%2.1%18.8%0.0%16.7%-628.3K2.9M-36.4K0.6679.391551031,7994,882
2008-04-28$35.41$35.0030.2%8.7%40.9%9.5%22.6%0.0%2.2%-424.9K3.7M-38.4K1.5719.6554851,9144,953
2008-04-29$35.16$35.0027.7%7.9%37.3%7.9%28.1%0.0%8.1%-475.2K3.6M-38.3K0.0515.63183101,9494,953
2008-04-30$34.43$35.0030.7%8.8%37.8%9.8%0.0%0.0%-4.7%-431.3K4.0M-37.9K1.0076.44222,0844,963