KRE Options History — August 2008

In August 2008, KRE traded between $30.40 and $34.81. ATM implied volatility averaged 57.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 5.4% (HV 20d: 63.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 21.49.

Notable Days

  • 2008-08-13: Highest Volume — 44,485 contracts
  • 2008-08-13: Largest IV spike — 20.9% change
  • 2008-08-25: Highest IV Rank — 30.9%
  • 2008-08-25: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.93$30.40$34.81$30.92$32.10
Max Pain$29.76$25.00$30.00$25.00$30.00
ATM IV57.5%48.0%64.8%58.4%55.9%
Expected Move16.6%14.5%18.6%16.7%16.0%
HV 20d63.0%47.6%83.3%83.3%48.2%
HV 60d58.2%55.1%60.2%55.2%60.1%
IV Rank26.4%20.5%30.9%26.9%25.4%
IV Percentile80.0%67.7%92.2%81.5%74.5%
Term Structure-2.8%-8.6%2.4%1.1%-2.4%
VWIV63.6%53.8%77.9%59.7%55.1%
Skew 25d14.1%7.7%17.4%7.7%11.7%
Skew 10d27.2%21.4%35.8%23.7%26.4%
Call IV 25d50.1%44.8%56.1%56.1%44.8%
Put IV 25d64.2%56.6%68.8%63.8%56.6%
Bid-Ask Spread %20.3410.8929.6724.5611.01
Gamma HHI0.350.280.460.460.30
Net GEX-8.7M-12.0M-5.9M-7.4M-8.3M
Net DEX114.8M32.5M181.6M113.8M84.8M
Net VEX-865.1K-1.0M-616.1K-929.1K-679.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.490.21141.121.983.79
Total Volume12,2411,29644,4851,57813,290
Total OI407,321.333354,158440,921354,158440,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$30.92$25.0058.4%16.7%83.3%26.9%59.7%7.7%1.1%-7.4M113.8M-929.1K1.9824.565291,04919,140335,018
2008-08-04$30.70$30.0058.4%17.3%81.5%26.9%65.6%15.2%-6.6%-7.3M108.3M-884.4K1.8423.788261,51919,436335,707
2008-08-05$32.09$30.0061.4%16.7%79.2%28.8%63.6%15.1%-5.7%-6.3M75.4M-789.7K2.2317.257,48016,64919,885335,962
2008-08-06$32.38$30.0056.1%16.4%76.8%25.5%56.0%14.5%-3.2%-6.6M72.5M-811.5K0.6219.342,3201,42822,536351,574
2008-08-07$31.50$30.0056.1%16.6%78.1%25.5%64.1%14.6%-4.2%-7.0M99.3M-875.6K67.7623.0933222,49623,192352,506
2008-08-08$32.83$30.0048.0%14.5%78.7%20.5%54.9%15.1%-0.9%-6.7M82.2M-825.0K0.7224.551,6491,19423,213367,350
2008-08-11$34.81$30.0053.0%14.9%71.0%23.6%62.1%14.0%-2.0%-5.9M32.5M-616.1K1.2629.674,6175,83824,244368,005
2008-08-12$33.60$30.0050.4%15.3%72.0%21.9%65.8%13.8%-1.9%-6.3M60.9M-759.0K2.2624.139,53721,54427,129373,144
2008-08-13$32.28$30.0060.9%17.9%64.9%28.5%77.9%14.5%-3.9%-8.7M109.4M-916.1K141.1227.9231344,17230,635386,774
2008-08-14$32.73$30.0052.0%14.9%56.0%23.0%53.8%14.4%-1.0%-7.9M106.8M-939.9K0.4528.9089240430,305400,401
2008-08-15$33.51$30.0052.8%15.1%56.3%23.5%62.1%13.1%-1.0%-7.3M83.4M-867.8K0.2119.378,9151,83530,944400,637
2008-08-18$32.66$30.0052.3%15.0%57.2%23.1%68.7%12.5%2.4%-9.4M95.4M-775.5K32.3623.082688,67221,278387,899
2008-08-19$31.53$30.0060.3%17.3%55.9%28.1%68.7%15.3%-6.2%-10.4M167.8M-1.0M16.3221.385609,14021,479399,270
2008-08-20$30.95$30.0062.5%17.9%56.1%29.5%68.2%15.0%-3.0%-11.0M172.4M-1.0M80.9019.7529123,54121,852403,160
2008-08-21$30.55$30.0062.0%17.8%54.5%29.2%66.5%15.1%-2.5%-11.3M181.2M-1.0M29.7719.001023,03721,884400,257
2008-08-22$31.51$30.0063.4%18.2%53.6%30.0%68.7%17.4%-8.6%-10.2M146.4M-932.8K26.6610.8940610,82221,853402,049
2008-08-25$30.40$30.0064.8%18.6%55.0%30.9%67.7%15.2%-3.3%-11.7M181.6M-952.8K9.3616.436035,64222,114409,595
2008-08-26$30.60$30.0061.5%17.6%47.9%28.9%64.7%12.0%-1.6%-12.0M175.1M-915.3K21.2513.6658912,51622,515409,611
2008-08-27$30.93$30.0057.9%16.6%47.6%26.6%62.3%14.8%1.3%-11.3M152.4M-863.6K7.5017.268406,30022,762411,105
2008-08-28$32.02$30.0059.9%17.2%48.7%27.8%59.8%14.2%-6.3%-9.3M109.0M-784.2K2.8712.081,2673,63723,358413,049
2008-08-29$32.10$30.0055.9%16.0%48.2%25.4%55.1%11.7%-2.4%-8.3M84.8M-679.9K3.7911.012,77510,51525,764415,157