KRE Options History — October 2008

In October 2008, KRE traded between $27.05 and $37.27. ATM implied volatility averaged 86.1%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded below realized volatility by 12.9% (HV 20d: 98.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 5.11.

Notable Days

2008-10-09: Highest Volume — 34,642 contracts
2008-10-16: Largest IV drop — 38.7% change
2008-10-10: Highest IV Rank — 74.7%
2008-10-10: Largest Expected Move — 28.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.63	$27.05	$37.27	$37.27	$32.90
Max Pain	$36.41	$35.00	$40.00	$35.00	$35.00
ATM IV	86.1%	57.6%	136.5%	70.9%	68.1%
Expected Move	22.3%	16.5%	28.8%	20.3%	19.5%
HV 20d	98.9%	80.2%	114.0%	84.1%	109.3%
HV 60d	77.2%	70.6%	83.5%	71.2%	83.5%
IV Rank	42.8%	24.8%	74.7%	33.3%	31.5%
IV Percentile	90.5%	67.1%	98.8%	89.7%	81.3%
Term Structure	-7.4%	-17.4%	3.2%	-9.6%	-12.3%
VWIV	79.5%	60.9%	101.8%	74.8%	72.6%
Skew 25d	16.4%	9.2%	24.9%	17.6%	9.2%
Skew 10d	33.0%	12.8%	50.0%	46.2%	22.9%
Call IV 25d	69.8%	48.9%	90.3%	56.4%	63.6%
Put IV 25d	86.2%	67.5%	109.6%	74.0%	72.8%
Bid-Ask Spread %	31.78	15.92	58.78	39.20	34.29
Gamma HHI	0.21	0.17	0.24	0.18	0.24
Net GEX	-3.9M	-6.5M	-2.6M	-2.6M	-3.0M
Net DEX	103.4M	38.4M	198.6M	38.4M	59.5M
Net VEX	-585.6K	-688.0K	-517.6K	-531.0K	-517.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.11	0.53	17.15	5.08	1.45
Total Volume	9,789.783	385	34,642	2,833	12,944
Total OI	182,293.565	147,754	216,975	159,433	169,144

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-10-01	$37.27	$35.00	70.9%	20.3%	84.1%	33.3%	74.8%	17.6%	-9.6%	-2.6M	38.4M	-531.0K	5.08	39.20	466	2,367	24,391	135,042
2008-10-02	$36.85	$35.00	88.5%	25.4%	82.0%	44.3%	90.7%	10.4%	-17.4%	-3.0M	44.3M	-538.5K	10.09	55.31	3,111	31,405	24,565	135,463
2008-10-03	$35.15	$35.00	82.0%	23.5%	83.1%	40.3%	82.4%	11.3%	-8.1%	-3.5M	71.3M	-648.3K	5.34	42.46	1,124	6,001	26,990	161,368
2008-10-06	$34.69	$40.00	97.1%	22.5%	80.2%	49.8%	85.1%	24.9%	-6.1%	-3.7M	84.8M	-655.0K	2.79	16.47	2,710	7,571	27,267	161,439
2008-10-07	$32.07	$40.00	93.9%	23.7%	84.2%	47.8%	84.1%	18.6%	-1.7%	-4.6M	123.7M	-646.2K	5.54	22.12	1,539	8,527	28,991	163,064
2008-10-08	$31.31	$40.00	99.0%	24.2%	84.5%	51.0%	90.0%	16.5%	-6.1%	-4.9M	135.4M	-628.1K	17.12	26.15	647	11,075	29,806	163,352
2008-10-09	$27.05	$40.00	115.8%	28.0%	97.7%	61.6%	99.4%	19.3%	-10.9%	-4.4M	198.6M	-608.5K	13.79	36.18	2,342	32,300	30,051	167,373
2008-10-10	$28.20	$40.00	136.5%	28.8%	98.5%	74.7%	101.8%	21.1%	-11.1%	-4.5M	165.3M	-688.0K	4.76	22.31	3,387	16,126	31,486	177,606
2008-10-13	$32.56	$40.00	108.2%	24.8%	112.4%	56.8%	80.9%	19.5%	-16.5%	-6.5M	126.6M	-606.2K	1.29	15.92	2,792	3,592	33,360	183,615
2008-10-14	$33.60	$37.50	98.1%	20.6%	111.5%	50.4%	81.7%	16.9%	-9.9%	-5.2M	94.7M	-621.2K	15.05	25.22	1,809	27,224	33,716	182,807
2008-10-15	$31.01	$35.00	120.3%	22.0%	114.0%	64.5%	76.1%	17.2%	-5.1%	-6.5M	127.6M	-601.8K	1.21	32.36	1,137	1,379	34,019	182,669
2008-10-16	$33.21	$35.00	73.8%	21.2%	100.4%	35.1%	80.3%	19.9%	-7.6%	-4.6M	83.0M	-599.5K	1.19	27.08	5,629	6,716	33,836	172,951
2008-10-17	$31.83	$35.00	72.9%	20.9%	100.9%	34.5%	75.3%	11.9%	-1.2%	-5.4M	98.4M	-593.0K	1.48	25.55	428	635	34,204	175,789
2008-10-20	$33.17	$35.00	58.9%	16.9%	101.1%	25.7%	60.9%	18.6%	-2.3%	-2.6M	62.1M	-534.5K	3.01	36.79	394	1,184	23,030	124,724
2008-10-21	$31.97	$35.00	57.6%	16.5%	101.2%	24.8%	61.7%	18.0%	3.2%	-2.9M	76.0M	-527.3K	2.86	30.64	1,740	4,979	23,121	125,380
2008-10-22	$30.02	$35.00	74.7%	21.4%	101.9%	35.7%	73.8%	13.8%	-6.1%	-3.1M	102.7M	-555.4K	2.63	56.33	700	1,844	24,388	129,564
2008-10-23	$28.80	$35.00	70.0%	20.1%	101.8%	32.7%	70.9%	12.3%	-0.7%	-3.6M	128.0M	-566.4K	17.15	16.12	268	4,595	32,050	137,937
2008-10-24	$27.50	$35.00	86.8%	24.9%	102.5%	43.3%	89.5%	18.2%	-11.0%	-3.0M	130.5M	-579.0K	2.03	26.23	3,141	6,385	32,144	135,160
2008-10-27	$27.25	$35.00	85.4%	24.5%	101.3%	42.4%	83.6%	19.2%	-6.4%	-3.0M	135.3M	-572.7K	0.53	29.33	504	265	33,710	138,416
2008-10-28	$30.05	$35.00	73.8%	21.2%	108.3%	35.1%	74.5%	17.2%	-5.2%	-3.3M	103.8M	-553.3K	1.01	58.78	408	412	33,785	136,056
2008-10-29	$29.76	$35.00	73.2%	21.0%	106.2%	34.7%	68.3%	11.4%	-7.0%	-3.1M	103.7M	-564.3K	0.81	31.20	1,645	1,333	33,867	135,999
2008-10-30	$31.25	$35.00	74.3%	21.3%	108.3%	35.4%	70.4%	15.2%	-11.5%	-3.2M	84.4M	-532.6K	1.35	24.78	164	221	33,912	135,145
2008-10-31	$32.90	$35.00	68.1%	19.5%	109.3%	31.5%	72.6%	9.2%	-12.3%	-3.0M	59.5M	-517.6K	1.45	34.29	5,293	7,651	33,973	135,171