KRE Options History — September 2008

In September 2008, KRE traded between $32.53 and $41.36. ATM implied volatility averaged 65.2%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 2.2% (HV 20d: 63.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 5.24.

Notable Days

  • 2008-09-18: Highest Volume — 48,814 contracts
  • 2008-09-29: Largest IV spike — 30.2% change
  • 2008-09-29: Highest IV Rank — 48.0%
  • 2008-09-29: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.23$32.53$41.36$32.81$35.50
Max Pain$34.29$30.00$35.00$30.00$35.00
ATM IV65.2%45.9%94.3%47.4%75.6%
Expected Move18.6%13.2%27.0%13.6%21.7%
HV 20d63.0%47.8%83.7%48.6%83.5%
HV 60d66.0%59.7%72.6%59.7%72.0%
IV Rank30.6%19.2%48.0%20.1%36.2%
IV Percentile84.8%60.6%98.0%62.5%94.4%
Term Structure-6.1%-25.4%7.4%7.4%-8.7%
VWIV68.8%48.9%90.4%54.6%74.7%
Skew 25d14.4%-6.3%23.8%14.5%12.8%
Skew 10d29.9%12.9%42.8%36.4%37.1%
Call IV 25d58.4%38.5%83.1%44.1%65.4%
Put IV 25d72.8%53.7%93.0%58.6%78.2%
Bid-Ask Spread %31.706.41105.207.0050.37
Gamma HHI0.250.170.350.280.18
Net GEX-3.8M-7.8M-1.9M-7.3M-2.9M
Net DEX30.5M-43.7M76.6M67.1M52.4M
Net VEX-581.9K-668.0K-466.3K-653.1K-559.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.240.8039.523.233.12
Total Volume12,275.23882748,8142,8812,202
Total OI370,837.19155,772511,667449,595160,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$32.81$30.0047.4%13.6%48.6%20.1%54.6%14.5%7.4%-7.3M67.1M-653.1K3.237.006812,20028,380421,215
2008-09-03$34.15$30.0045.9%13.2%48.2%19.2%48.9%15.2%3.9%-5.0M29.1M-543.2K5.506.411,1076,09428,593421,988
2008-09-04$32.53$30.0049.0%14.0%51.5%21.1%69.6%11.4%7.3%-7.8M76.6M-646.5K39.527.7857522,72429,129425,686
2008-09-05$33.85$35.0049.5%14.5%52.2%21.4%61.2%16.7%0.5%-5.2M34.0M-542.2K7.9619.601,0558,39529,220441,775
2008-09-08$35.98$35.0053.6%14.7%54.5%23.9%59.3%15.3%0.6%-3.3M-5.2M-466.3K1.4613.7211,03916,08429,557422,366
2008-09-09$34.94$35.0060.9%16.2%51.8%28.5%59.9%14.2%-2.0%-4.1M32.2M-582.5K4.1214.771,7497,20531,619432,390
2008-09-10$34.78$35.0061.0%16.7%50.1%28.5%62.1%15.8%-2.9%-3.9M34.5M-584.7K1.9920.343,6667,27832,726437,160
2008-09-11$35.36$35.0060.5%17.3%47.8%28.2%61.7%18.6%-3.9%-4.0M32.7M-609.4K1.8819.111,0812,02834,538443,231
2008-09-12$36.40$35.0062.8%18.0%48.5%29.7%60.4%17.0%-4.7%-2.9M9.2M-554.4K1.9018.863,1365,94532,415442,524
2008-09-15$35.01$35.0068.7%19.7%50.4%33.2%72.4%15.3%-8.7%-4.9M52.3M-635.5K5.0820.065,19826,42936,450446,607
2008-09-16$36.80$35.0065.6%18.8%52.0%30.8%68.3%14.5%-5.2%-2.7M6.6M-605.4K1.5919.153,7165,89335,664464,636
2008-09-17$35.30$35.0072.0%20.6%52.7%34.8%74.0%14.7%-7.9%-4.4M52.8M-668.0K6.5630.183,31721,75337,763467,847
2008-09-18$41.36$35.0081.2%23.3%74.8%40.5%90.4%8.6%-24.1%-1.9M-43.7M-615.3K0.8066.9327,13621,67836,755473,027
2008-09-19$41.32$35.0073.2%21.0%74.3%35.5%78.4%19.7%-16.8%-2.3M-34.5M-529.1K2.4356.053,1737,72435,301476,366
2008-09-22$38.94$35.0071.0%20.4%78.5%34.1%85.3%23.8%-8.6%-3.3M20.1M-492.4K4.0131.561,5366,16421,803133,969
2008-09-23$37.66$35.0069.0%19.8%78.4%32.1%80.1%17.6%-4.8%-2.9M45.4M-626.4K2.1239.403,4237,25023,596137,193
2008-09-24$38.85$35.0065.0%18.6%78.7%29.5%70.1%17.4%-3.8%-2.6M26.3M-540.7K1.6240.4331651123,476134,573
2008-09-25$37.20$35.0070.5%20.2%81.1%33.0%66.6%11.5%-9.6%-2.7M41.9M-580.2K0.8245.761,13493523,508135,610
2008-09-26$37.01$35.0072.4%20.8%80.7%34.2%70.9%13.7%-10.6%-2.5M39.6M-576.6K1.4433.081,1701,68723,743134,178
2008-09-29$35.00$35.0094.3%27.0%83.7%48.0%76.2%-6.3%-25.4%-2.9M70.3M-608.7K12.79105.202463,14724,449136,403
2008-09-30$35.50$35.0075.6%21.7%83.5%36.2%74.7%12.8%-8.7%-2.9M52.4M-559.7K3.1250.375341,66824,419135,733