KRE Options History — December 2008

In December 2008, KRE traded between $24.80 and $29.20. ATM implied volatility averaged 69.6%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 26.4% (HV 20d: 96.0%). Max pain ranged from $27.50 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2008-12-04: Highest Volume — 10,255 contracts
  • 2008-12-31: Largest IV drop — 21.4% change
  • 2008-12-01: Highest IV Rank — 46.7%
  • 2008-12-01: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.46$24.80$29.20$24.80$29.16
Max Pain$30.11$27.50$35.00$35.00$30.00
ATM IV69.6%43.9%89.7%89.7%43.9%
Expected Move19.9%12.6%25.7%25.7%12.6%
HV 20d96.0%55.1%106.8%101.5%55.1%
HV 60d95.4%92.3%99.0%97.5%92.6%
IV Rank33.6%16.7%46.7%46.7%16.7%
IV Percentile73.9%34.1%94.8%94.8%34.1%
Term Structure-1.0%-8.4%7.7%0.6%7.7%
VWIV71.3%49.4%97.4%87.2%49.4%
Skew 25d17.6%10.9%24.6%11.4%23.2%
Skew 10d38.4%14.0%64.9%14.0%45.3%
Call IV 25d61.6%36.5%86.2%86.2%36.5%
Put IV 25d79.2%59.7%97.7%97.7%59.7%
Bid-Ask Spread %27.9913.2652.1120.2513.26
Gamma HHI0.270.200.690.220.26
Net GEX-2.6M-4.3M-675.2K-3.0M-747.9K
Net DEX87.6M20.0M143.2M140.0M20.0M
Net VEX-284.5K-393.5K-202.5K-348.0K-204.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.104.740.411.11
Total Volume2,571.1826910,2551,2382,893
Total OI136,768.22754,339183,750161,68555,810

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$24.80$35.0089.7%25.7%101.5%46.7%87.2%11.4%0.6%-3.0M140.0M-348.0K0.4120.2587935930,999130,686
2008-12-02$26.87$35.0083.1%23.8%106.8%42.4%88.4%18.6%-4.6%-3.2M120.7M-360.0K0.2331.471,60337331,443130,796
2008-12-03$27.82$35.0082.8%23.7%106.7%42.2%83.3%13.6%-1.4%-3.2M106.6M-365.7K1.6520.131,1441,88532,335130,914
2008-12-04$27.30$35.0082.1%23.5%102.1%41.8%79.1%16.6%-2.2%-3.2M111.8M-352.2K2.9919.982,5697,68633,304132,120
2008-12-05$28.70$30.0080.9%23.6%103.6%41.0%97.4%24.6%-7.9%-3.4M95.2M-393.5K4.7434.504452,10835,242139,449
2008-12-08$29.20$27.5075.1%20.6%103.8%37.2%80.8%22.1%-5.8%-3.5M88.2M-368.8K3.0930.796822,10935,074141,001
2008-12-09$27.68$30.0079.7%22.9%105.2%40.1%77.9%21.4%-8.4%-3.7M112.8M-347.9K3.7435.2918268035,108141,964
2008-12-10$27.83$30.0076.4%21.7%105.2%38.0%80.5%22.5%-4.3%-3.7M111.9M-343.2K1.4038.9938754335,204142,115
2008-12-11$25.97$30.0079.5%22.8%105.5%40.1%71.6%20.3%-5.3%-3.6M137.3M-313.4K2.0934.167331,53135,353142,224
2008-12-12$27.07$27.5072.4%20.8%102.0%35.4%86.6%21.6%-2.8%-3.9M123.5M-304.7K4.7252.118473,99736,041142,288
2008-12-15$26.30$30.0074.6%21.4%100.6%36.8%74.5%20.2%-4.8%-3.6M143.2M-277.4K2.3330.099062,11536,703143,887
2008-12-16$28.17$27.5070.9%20.3%103.7%34.4%66.2%20.8%-2.6%-4.0M104.9M-278.4K1.6131.891,6262,61237,225143,942
2008-12-17$28.18$27.5069.7%20.0%103.6%33.6%70.9%18.3%-1.7%-3.8M103.1M-263.0K1.2730.101,4491,83938,213143,637
2008-12-18$27.73$27.5065.2%18.7%99.4%30.7%72.8%17.4%1.5%-2.5M111.7M-245.3K3.1342.744611,44239,194144,556
2008-12-19$27.41$27.5059.9%17.2%97.2%27.2%63.7%16.0%2.2%-4.3M124.8M-231.7K1.3735.7551871237,961145,320
2008-12-22$27.05$27.5058.1%16.7%96.1%26.0%57.2%11.2%2.6%-675.2K27.0M-216.6K0.5225.394,2832,24613,70041,234
2008-12-23$26.71$30.0057.5%16.5%88.5%25.6%53.3%12.3%3.6%-859.3K32.1M-212.2K0.1015.661,19311411,12443,215
2008-12-24$27.21$30.0056.9%16.3%88.6%25.2%54.1%14.2%3.1%-816.3K29.6M-214.3K1.0915.08333611,53943,250
2008-12-26$27.53$30.0057.5%16.5%88.5%25.7%59.6%14.2%4.0%-801.1K28.0M-211.9K1.8819.62499211,56543,286
2008-12-29$27.16$30.0060.0%17.2%88.3%27.2%58.2%10.9%1.0%-827.7K29.7M-203.8K0.4318.48582511,59143,329
2008-12-30$28.19$30.0055.9%16.0%60.6%24.6%55.2%15.5%3.5%-744.0K24.9M-202.5K0.9020.0458953311,61743,343
2008-12-31$29.16$30.0043.9%12.6%55.1%16.7%49.4%23.2%7.7%-747.9K20.0M-204.1K1.1113.261,3711,52211,97443,836