KRE Options History — November 2008

In November 2008, KRE traded between $24.32 and $34.20. ATM implied volatility averaged 77.6%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 10.9% (HV 20d: 88.5%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 6.15.

Notable Days

2008-11-12: Highest Volume — 18,085 contracts
2008-11-05: Largest IV spike — 24.1% change
2008-11-20: Highest IV Rank — 59.0%
2008-11-20: Largest Expected Move — 31.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.08	$24.32	$34.20	$32.95	$29.66
Max Pain	$34.87	$32.50	$35.00	$35.00	$35.00
ATM IV	77.6%	51.9%	108.4%	62.2%	70.2%
Expected Move	22.1%	14.9%	31.1%	17.8%	20.1%
HV 20d	88.5%	79.5%	111.4%	109.2%	83.2%
HV 60d	86.9%	82.5%	91.7%	83.0%	90.9%
IV Rank	38.4%	21.2%	59.0%	27.7%	34.0%
IV Percentile	86.7%	59.1%	98.4%	74.2%	81.0%
Term Structure	-5.8%	-19.7%	7.7%	-8.6%	7.7%
VWIV	78.1%	60.3%	109.2%	61.1%	75.6%
Skew 25d	16.9%	8.1%	25.1%	10.3%	25.1%
Skew 10d	36.0%	20.5%	54.2%	25.5%	48.1%
Call IV 25d	69.3%	49.9%	100.9%	59.5%	62.3%
Put IV 25d	86.2%	61.4%	118.0%	69.8%	87.4%
Bid-Ask Spread %	27.54	16.07	40.34	28.69	36.16
Gamma HHI	0.25	0.20	0.28	0.26	0.25
Net GEX	-3.5M	-4.3M	-2.6M	-3.0M	-3.1M
Net DEX	109.3M	42.0M	178.9M	54.4M	86.7M
Net VEX	-437.2K	-500.5K	-381.4K	-500.5K	-400.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.15	0.41	34.88	1.43	0.41
Total Volume	4,921.368	31	18,085	3,563	31
Total OI	166,676.105	151,081	177,151	167,010	161,685

Daily Data (19 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
2008-11-03	$32.95	$35.00	62.2%	17.8%	109.2%	27.7%	61.1%	10.3%	-8.6%	-3.0M	54.4M	-500.5K	1.43	28.69	1,468	2,095	30,305	136,705
2008-11-04	$34.20	$35.00	51.9%	14.9%	106.3%	21.2%	60.3%	11.5%	-2.2%	-3.0M	42.0M	-450.6K	1.04	27.47	1,466	1,528	31,224	137,466
2008-11-05	$31.13	$35.00	64.5%	18.5%	111.4%	29.1%	61.0%	10.3%	-2.8%	-3.5M	85.6M	-497.0K	1.11	35.18	2,777	3,080	31,279	137,900
2008-11-06	$30.20	$32.50	73.5%	21.1%	98.1%	34.9%	73.7%	8.1%	-5.6%	-3.5M	98.4M	-499.1K	4.04	24.07	316	1,276	31,253	136,963
2008-11-07	$30.43	$35.00	67.8%	18.6%	97.2%	31.2%	63.2%	21.1%	-4.6%	-3.7M	98.4M	-486.2K	0.85	40.34	3,454	2,950	31,127	137,079
2008-11-10	$29.79	$35.00	71.5%	18.8%	82.1%	33.6%	72.8%	19.0%	-4.9%	-3.9M	105.9M	-459.8K	2.01	22.82	180	362	29,985	137,232
2008-11-11	$29.76	$35.00	71.0%	19.7%	81.0%	33.3%	61.5%	19.2%	-8.2%	-3.8M	106.4M	-458.3K	1.62	16.07	286	464	29,824	137,074
2008-11-12	$27.86	$35.00	77.0%	21.8%	79.5%	37.1%	83.4%	18.6%	-8.9%	-4.0M	134.4M	-432.0K	34.88	18.39	504	17,581	29,906	137,261
2008-11-13	$30.24	$35.00	69.0%	19.8%	81.2%	33.2%	75.8%	18.7%	-4.0%	-3.8M	97.1M	-440.2K	3.69	18.86	663	2,446	30,187	137,104
2008-11-14	$28.53	$35.00	80.4%	23.0%	82.4%	40.6%	74.1%	19.4%	-10.1%	-3.9M	121.0M	-432.5K	14.72	29.34	209	3,077	30,495	137,014
2008-11-17	$28.09	$35.00	83.6%	24.0%	80.6%	42.7%	76.8%	20.2%	-11.5%	-4.2M	130.5M	-420.4K	9.82	39.14	143	1,404	30,494	138,635
2008-11-18	$27.84	$35.00	88.2%	25.3%	79.9%	45.7%	86.7%	17.7%	-13.1%	-4.3M	133.9M	-413.4K	12.83	32.17	344	4,414	30,522	138,775
2008-11-19	$25.70	$35.00	103.0%	29.5%	81.7%	55.4%	99.8%	12.5%	-16.7%	-3.5M	158.0M	-416.2K	16.83	24.93	383	6,444	30,609	140,767
2008-11-20	$24.32	$35.00	108.4%	31.1%	82.5%	59.0%	107.4%	17.8%	-19.7%	-2.9M	178.9M	-386.6K	2.84	27.66	2,569	7,299	30,568	143,375
2008-11-21	$25.50	$35.00	106.4%	30.5%	83.5%	57.6%	109.2%	12.6%	-12.0%	-2.6M	167.0M	-416.0K	2.97	23.55	1,429	4,249	32,861	144,290
2008-11-24	$28.29	$35.00	83.9%	24.0%	91.8%	42.9%	87.3%	13.3%	2.7%	-2.8M	94.5M	-396.1K	0.97	23.81	2,699	2,624	27,735	123,346
2008-11-25	$28.77	$35.00	71.8%	20.6%	84.8%	35.0%	78.6%	21.9%	5.2%	-3.0M	93.2M	-381.4K	3.58	18.87	2,812	10,071	29,176	124,855
2008-11-26	$29.21	$35.00	70.8%	20.3%	85.0%	34.3%	75.0%	23.9%	7.5%	-3.0M	90.9M	-420.5K	1.20	35.78	186	223	30,993	130,777
2008-11-28	$29.66	$35.00	70.2%	20.1%	83.2%	34.0%	75.6%	25.1%	7.7%	-3.1M	86.7M	-400.4K	0.41	36.16	22	9	30,999	130,686