KRE Options History — July 2008

In July 2008, KRE traded between $22.80 and $30.70. ATM implied volatility averaged 62.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 1.6% (HV 20d: 64.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 26.13.

Notable Days

  • 2008-07-18: Highest Volume — 194,391 contracts
  • 2008-07-14: Largest IV spike — 18.9% change
  • 2008-07-15: Highest IV Rank — 45.4%
  • 2008-07-15: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$22.80$30.70$27.02$30.27
Max Pain$27.05$25.00$30.00$30.00$25.00
ATM IV62.6%51.4%88.3%52.5%63.9%
Expected Move18.0%14.7%25.3%15.1%18.3%
HV 20d64.1%34.6%85.5%34.6%85.4%
HV 60d45.8%33.9%55.4%33.9%55.4%
IV Rank29.5%22.6%45.4%23.3%30.3%
IV Percentile88.6%81.6%97.7%82.9%90.3%
Term Structure-3.5%-13.9%3.0%1.0%-4.1%
VWIV65.6%45.4%85.8%51.5%66.2%
Skew 25d11.1%3.8%20.2%4.3%11.3%
Skew 10d22.1%1.8%35.2%3.2%25.1%
Call IV 25d56.7%39.7%74.8%43.0%59.6%
Put IV 25d67.9%47.1%90.7%47.2%70.8%
Bid-Ask Spread %30.0516.6359.7423.6021.27
Gamma HHI0.510.250.700.690.46
Net GEX-3.0M-9.3M1.9M578.0K-8.3M
Net DEX56.6M-34.0M206.8M3.3M142.2M
Net VEX-452.5K-1.2M-28.7K-57.1K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.130.21278.810.4195.88
Total Volume21,349.273231194,39171111,722
Total OI155,829.59124,178363,36224,184363,362

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$27.02$30.0052.5%15.1%34.6%23.3%51.5%4.3%1.0%578.0K3.3M-57.1K0.4123.6050620516,6197,565
2008-07-02$26.56$30.0051.4%14.7%34.7%22.6%45.4%3.8%3.0%440.0K5.7M-51.6K3.1337.385617516,5777,601
2008-07-03$25.40$30.0053.0%15.2%35.9%23.6%52.8%7.9%0.2%143.3K9.3M-40.6K14.6043.652029216,5917,696
2008-07-07$24.41$30.0052.6%15.2%36.0%23.3%51.4%3.9%-4.5%-135.7K12.1M-28.7K26.2959.741436816,5997,623
2008-07-08$26.28$30.0056.5%16.9%47.0%25.7%59.6%16.6%-3.2%286.3K8.0M-40.3K0.8940.721,6791,49516,5887,694
2008-07-09$25.21$30.0057.2%17.3%48.0%26.2%61.0%6.4%-5.4%39.3K10.0M-40.4K5.6241.1811665218,2238,919
2008-07-10$25.50$30.0062.1%17.8%47.4%29.2%60.8%4.7%-3.2%142.4K8.6M-47.6K0.2137.111,74336818,3259,480
2008-07-11$25.45$30.0062.8%18.0%47.4%29.7%63.4%9.6%-4.9%273.5K6.6M-48.6K2.6737.188392,24420,0189,577
2008-07-14$23.35$30.0074.7%21.4%54.9%37.0%72.0%9.7%-5.9%5.4K12.9M-39.5K1.2016.6310,79412,97020,60510,006
2008-07-15$22.80$25.0088.3%25.3%53.4%45.4%85.8%15.9%-13.9%457.3K14.9M-100.3K6.1217.441,1076,77531,68520,794
2008-07-16$25.65$25.0077.0%22.1%70.6%38.4%78.1%20.2%-7.3%1.1M-7.2M-126.4K1.0532.172,1652,27731,81325,241
2008-07-17$28.33$25.0063.7%18.3%79.2%30.2%71.8%10.6%-5.1%1.9M-34.0M-130.8K6.8026.381,92313,08332,28525,169
2008-07-18$28.70$25.0062.9%18.0%79.2%29.7%72.1%10.0%-4.5%-481.9K-23.5M-156.8K24.2423.227,702186,68933,49937,192
2008-07-21$28.40$25.0059.6%17.1%79.2%27.7%69.7%13.3%-2.2%-4.7M101.3M-675.1K278.8131.59453126,2999,665178,942
2008-07-22$30.05$25.0059.9%17.2%80.2%27.8%70.1%12.9%-3.7%-6.5M43.5M-1.1M0.8522.103,5613,01448,021303,806
2008-07-23$30.55$25.0060.7%17.4%80.1%28.3%63.6%13.2%-3.2%-6.8M119.5M-970.1K0.8324.453,0932,55412,614304,800
2008-07-24$29.40$25.0063.1%18.1%81.5%29.8%77.0%13.4%-2.0%-9.2M154.6M-990.9K52.1821.4666434,64515,116306,215
2008-07-25$28.39$25.0062.4%17.9%82.5%29.4%69.3%18.3%-1.2%-8.8M180.1M-1.1M14.6523.025027,35215,240337,015
2008-07-28$27.90$25.0064.5%18.5%82.7%30.7%73.5%13.5%-1.9%-9.3M206.8M-1.2M30.0427.191033,09415,360334,800
2008-07-29$30.13$25.0064.6%18.5%85.4%30.8%65.0%12.3%-1.9%-8.0M141.0M-1.0M0.4721.142,9471,39515,390337,049
2008-07-30$30.70$25.0063.0%18.1%85.5%29.8%63.4%13.2%-3.3%-8.3M129.9M-972.8K8.0532.391,32910,70018,002338,870
2008-07-31$30.27$25.0063.9%18.3%85.4%30.3%66.2%11.3%-4.1%-8.3M142.2M-1.0M95.8821.2712111,60119,099344,263