KRE Options History — June 2008

In June 2008, KRE traded between $26.63 and $32.48. ATM implied volatility averaged 43.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 13.6% (HV 20d: 29.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2008-06-19: Highest Volume — 10,803 contracts
  • 2008-06-18: Largest IV spike — 35.8% change
  • 2008-06-23: Highest IV Rank — 25.1%
  • 2008-06-23: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.53$26.63$32.48$32.48$26.63
Max Pain$33.10$30.00$35.00$35.00$30.00
ATM IV43.0%30.7%55.4%40.3%53.8%
Expected Move12.1%8.8%15.9%11.5%15.4%
HV 20d29.3%24.1%34.1%25.8%33.5%
HV 60d35.1%33.2%38.3%38.3%33.7%
IV Rank17.4%9.8%25.1%15.7%24.1%
IV Percentile61.7%25.1%83.9%53.8%83.3%
Term Structure-3.3%-31.4%1.9%-6.4%-2.0%
VWIV41.9%23.5%50.9%33.8%50.0%
Skew 25d2.3%-14.1%7.0%-4.4%4.0%
Skew 10d1.9%-10.4%7.2%-1.9%0.8%
Call IV 25d43.5%38.8%48.6%39.0%44.4%
Put IV 25d45.8%34.5%50.8%34.7%48.4%
Bid-Ask Spread %34.6713.6257.1229.5625.02
Gamma HHI0.540.290.720.420.62
Net GEX152.8K-114.9K588.2K133.7K382.4K
Net DEX3.4M-1.7M7.1M1.4M4.5M
Net VEX-41.7K-68.2K-25.7K-36.5K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.077.580.680.38
Total Volume1,299.194910,8033342,857
Total OI13,485.6678,28526,6328,28522,017

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$32.48$35.0040.3%11.5%25.8%15.7%33.8%0.0%-6.4%133.7K1.4M-36.5K0.6829.561991354,7353,550
2008-06-03$32.28$35.0040.4%11.6%25.8%15.8%40.7%0.0%-6.7%105.0K2.2M-36.2K2.8534.01541544,8253,669
2008-06-04$32.04$35.0045.8%13.1%25.7%19.1%34.1%0.0%-31.4%35.0K3.0M-34.5K1.1934.801341594,8433,798
2008-06-05$32.44$35.0043.5%12.5%24.1%17.7%45.2%0.0%-17.9%90.8K2.5M-37.1K2.5038.26461154,8783,932
2008-06-06$31.20$35.0043.2%11.0%27.2%17.5%38.0%0.0%-4.5%-29.8K4.3M-33.2K1.4053.921061484,8834,022
2008-06-09$30.56$35.0043.7%11.1%27.8%17.8%38.7%0.0%0.1%-83.1K5.7M-30.2K0.9831.821261234,9604,116
2008-06-10$30.86$35.0044.4%11.1%24.9%18.3%35.7%0.0%-1.2%-53.1K5.1M-30.9K1.5633.0861955,0604,158
2008-06-11$29.70$35.0039.5%11.1%27.5%15.2%38.7%0.0%-0.9%-110.0K6.6M-27.4K1.6849.13681145,1104,243
2008-06-12$29.64$35.0037.6%10.8%27.6%14.1%39.0%-4.4%0.5%-110.5K6.6M-27.4K1.4143.52921305,1104,218
2008-06-13$29.07$35.0037.8%10.8%27.3%14.2%41.4%-14.1%1.2%-103.8K7.1M-25.7K1.4846.251662455,1694,282
2008-06-16$29.78$35.0039.4%11.3%29.3%15.1%39.4%3.9%1.5%-114.9K6.3M-28.0K7.5855.45191445,2734,408
2008-06-17$29.02$35.0030.7%8.8%30.1%9.8%23.5%-0.1%-0.7%-57.8K5.9M-27.8K2.7757.1213365,2704,531
2008-06-18$28.18$35.0041.7%12.0%31.1%16.6%50.5%5.4%1.9%-47.2K6.2M-26.9K0.6048.244,0402,4415,2594,516
2008-06-19$28.62$30.0033.8%9.7%32.2%11.7%42.6%7.0%0.8%81.6K3.9M-36.8K0.0725.2910,0757289,2526,797
2008-06-20$28.47$30.0045.7%13.1%31.5%19.1%47.6%4.7%-0.3%575.2K-1.7M-68.2K2.9129.803651,06219,1777,455
2008-06-23$27.37$30.0055.4%15.9%33.4%25.1%50.9%4.7%-5.1%407.6K1.6M-61.5K2.1013.6213929212,6487,053
2008-06-24$27.94$30.0044.8%12.8%33.9%18.5%47.1%5.9%1.8%505.2K-43.6K-64.2K0.3019.801283812,7137,163
2008-06-25$28.20$30.0044.5%12.7%34.1%18.3%45.0%6.1%1.4%588.2K-938.7K-63.6K1.1123.16839212,8037,171
2008-06-26$27.86$30.0047.3%13.6%31.5%20.1%47.6%4.1%0.4%518.7K167.7K-62.7K0.1320.111,75423612,8367,230
2008-06-27$27.75$30.0048.9%14.0%31.6%21.0%50.8%2.5%-1.5%495.3K549.5K-61.8K1.4916.2210916212,8367,230
2008-06-30$26.63$30.0053.8%15.4%33.5%24.1%50.0%4.0%-2.0%382.4K4.5M-54.8K0.3825.022,06779014,6357,382