KRE Options History — May 2008

In May 2008, KRE traded between $32.51 and $35.95. ATM implied volatility averaged 30.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 4.3% (HV 20d: 35.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.10.

Notable Days

  • 2008-05-29: Highest Volume — 2,105 contracts
  • 2008-05-14: Largest IV spike — 80.6% change
  • 2008-05-14: Highest IV Rank — 20.2%
  • 2008-05-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.86$32.51$35.95$35.95$33.02
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.8%19.3%47.5%31.4%30.0%
Expected Move8.5%4.7%10.0%9.0%8.6%
HV 20d35.1%25.7%41.1%41.1%25.7%
HV 60d51.9%38.2%69.6%69.2%38.7%
IV Rank9.9%2.7%20.2%10.2%9.3%
IV Percentile26.9%7.9%73.3%25.8%25.1%
Term Structure0.3%-16.9%21.1%6.2%0.2%
VWIV33.9%25.5%46.3%34.2%30.0%
Bid-Ask Spread %61.7918.9892.2521.6240.07
Gamma HHI0.510.390.650.510.42
Net GEX-280.3K-760.8K140.6K-412.9K140.6K
Net DEX4.0M965.0K8.1M2.5M965.0K
Net VEX-31.8K-38.3K-27.3K-38.2K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.100.0034.201.592.77
Total Volume313.28632,10510698
Total OI6,653.9525,1568,2597,0478,259

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$35.95$35.0031.4%9.0%41.1%10.2%34.2%0.0%6.2%-412.9K2.5M-38.2K1.5921.6241652,0844,963
2008-05-02$35.47$35.0025.4%7.3%40.1%6.5%41.0%0.0%-16.9%-328.3K3.4M-36.6K1.7534.7448842,1005,020
2008-05-05$35.15$35.0019.3%4.7%40.2%2.7%0.0%0.0%21.1%-760.8K2.6M-35.2K0.0085.39302,1465,073
2008-05-06$35.20$35.0020.5%7.0%40.1%3.4%0.0%0.0%2.5%-718.5K2.4M-35.4K1.0366.1034352,1465,073
2008-05-07$34.06$35.0035.1%8.9%40.1%12.5%0.0%0.0%0.8%-445.8K6.2M-33.5K0.5868.4126152,1495,103
2008-05-08$33.60$35.0035.7%8.7%40.4%12.8%25.5%0.0%-2.4%-308.2K6.0M-31.6K0.7666.4925192,1545,108
2008-05-09$33.37$35.0038.2%9.3%40.0%14.4%33.8%0.0%-3.4%-302.8K6.4M-32.2K1.1568.0327312,1415,113
2008-05-12$34.45$35.0031.6%8.8%40.0%10.3%30.6%0.0%3.2%-686.8K6.1M-32.6K3.5974.8517612,1615,128
2008-05-13$34.26$35.0026.3%8.9%39.1%7.1%31.1%0.0%2.5%-271.5K5.8M-32.5K0.3986.182392,1735,154
2008-05-14$34.13$35.0047.5%8.8%35.1%20.2%41.5%0.0%3.0%-454.0K7.3M-30.1K31.0086.543932,1965,156
2008-05-15$34.41$35.0029.3%8.4%35.2%8.9%0.0%0.0%5.2%-260.9K5.6M-32.6K0.2592.25822,1965,189
2008-05-16$33.78$35.0031.2%8.9%35.6%10.1%31.2%0.0%-1.2%-402.0K8.1M-28.7K34.2088.73451,5392,2005,191
2008-05-19$33.43$35.0035.0%10.0%33.6%12.4%35.0%0.0%-7.2%-68.7K1.8M-27.4K0.0076.1710501,9953,161
2008-05-20$33.08$35.0034.4%9.9%33.7%12.0%0.0%0.0%-6.2%-81.8K2.3M-27.3K0.3087.8866202,0633,161
2008-05-21$32.75$35.0029.5%8.5%32.8%9.0%28.7%0.0%-2.9%-91.5K3.0M-28.0K4.1381.84301242,0833,164
2008-05-22$33.13$35.0027.9%8.0%28.5%8.0%28.3%0.0%0.9%-89.2K2.9M-28.6K0.7428.1196712,1063,269
2008-05-23$32.72$35.0029.0%8.3%28.5%8.7%31.9%0.0%-1.4%-93.2K3.1M-28.3K1.4618.98961402,1563,327
2008-05-27$33.25$35.0028.7%8.2%28.4%8.6%46.3%0.0%0.5%-88.1K3.0M-29.0K0.1561.67592882,1913,358
2008-05-28$32.51$35.0029.0%8.3%29.2%8.7%41.4%0.0%1.4%-75.8K2.5M-31.6K0.2529.125561392,7063,412
2008-05-29$33.42$35.0032.4%9.3%30.5%10.8%32.0%0.0%0.2%-86.6K2.2M-30.6K0.0434.382,017882,7403,465
2008-05-30$33.02$35.0030.0%8.6%25.7%9.3%30.0%0.0%0.2%140.6K965.0K-38.3K2.7740.0726724,7373,522