KRE Options History — January 2009

In January 2009, KRE traded between $20.26 and $29.12. ATM implied volatility averaged 66.6%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 7.7% (HV 20d: 58.9%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.68.

Notable Days

  • 2009-01-13: Highest Volume — 23,308 contracts
  • 2009-01-14: Largest IV spike — 26.8% change
  • 2009-01-23: Highest IV Rank — 42.1%
  • 2009-01-23: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.49$20.26$29.12$29.12$20.74
Max Pain$25.63$22.50$30.00$30.00$22.50
ATM IV66.6%46.8%82.6%46.8%70.1%
Expected Move18.9%13.4%23.7%13.4%20.1%
HV 20d58.9%43.9%75.4%53.9%73.3%
HV 60d82.3%78.7%91.6%91.3%81.1%
IV Rank31.6%18.6%42.1%18.6%33.9%
IV Percentile69.7%40.1%90.9%40.1%73.4%
Term Structure-0.3%-6.1%7.8%2.7%7.8%
VWIV65.1%52.5%79.9%52.5%68.1%
Skew 25d13.3%3.0%19.5%15.5%3.0%
Skew 10d29.7%11.4%47.2%29.8%27.2%
Call IV 25d60.1%40.9%77.2%40.9%67.7%
Put IV 25d73.4%56.4%89.4%56.4%70.7%
Bid-Ask Spread %20.7111.9832.4629.9818.37
Gamma HHI0.260.190.570.280.23
Net GEX-696.2K-2.0M-49.8K-768.5K-216.2K
Net DEX33.5M15.8M45.4M18.7M30.4M
Net VEX-160.8K-209.7K-115.7K-201.6K-145.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0813.914.441.18
Total Volume4,993.5515423,3081,556936
Total OI64,423.754,57775,04557,71174,597

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$29.12$30.0046.8%13.4%53.9%18.6%52.5%15.5%2.7%-768.5K18.7M-201.6K4.4429.982861,27012,89844,813
2009-01-05$27.88$30.0058.8%16.0%55.9%26.5%52.8%9.4%-1.5%-912.4K27.4M-197.2K2.8511.9817951113,11645,274
2009-01-06$27.94$30.0057.9%15.9%52.8%25.9%60.4%14.1%-2.1%-971.6K28.6M-209.7K0.9020.43817313,26551,677
2009-01-07$26.54$30.0057.7%16.0%55.2%25.8%54.7%14.7%-2.1%-998.5K34.6M-191.5K0.2318.841,68138113,30446,722
2009-01-08$26.42$30.0057.9%15.8%52.1%25.9%61.9%16.1%-1.2%-987.0K36.1M-189.0K13.9129.121181,64114,54446,832
2009-01-09$25.12$30.0058.1%17.9%54.7%26.0%59.9%12.8%-3.6%-1.0M41.5M-171.0K0.2232.463,60479114,19441,504
2009-01-12$24.25$27.5065.8%18.0%50.6%31.0%64.6%12.3%-1.5%-966.8K44.6M-154.4K7.2621.727355,33814,31241,125
2009-01-13$24.71$25.0059.0%17.8%48.5%26.6%63.2%15.6%-0.3%-1.0M43.4M-160.9K1.1121.4111,04112,26714,68842,890
2009-01-14$23.24$25.0074.8%19.8%51.9%36.9%60.1%13.9%0.6%-867.1K45.4M-177.5K0.5524.4596152425,42147,235
2009-01-15$22.71$25.0066.2%19.0%44.0%31.3%67.4%18.5%0.5%-843.4K40.2M-146.5K1.1014.921,1811,29725,90441,370
2009-01-16$22.63$25.0064.2%18.4%43.9%30.0%63.1%15.3%4.7%-2.0M39.4M-145.8K10.5114.551541,61826,99441,533
2009-01-20$20.26$25.0079.3%22.7%56.4%39.9%75.4%13.5%-0.6%-435.5K36.5M-115.7K2.1228.803,3837,17921,81332,764
2009-01-21$21.68$22.5068.2%19.6%63.7%32.7%67.9%19.5%3.4%-444.1K33.6M-140.9K1.6719.773,0295,07225,03136,555
2009-01-22$20.28$22.5073.1%21.0%66.7%35.9%72.2%17.0%0.5%-543.9K40.5M-132.1K3.7024.217432,74924,79339,372
2009-01-23$20.78$22.5082.6%23.7%68.1%42.1%79.5%12.8%-3.4%-400.8K34.2M-133.7K0.0814.3114,1211,08125,38536,857
2009-01-26$20.46$22.5080.9%23.2%67.1%40.9%79.9%10.3%-0.9%-154.0K29.2M-146.1K0.6516.695,1653,35134,60937,189
2009-01-27$20.99$22.5076.9%22.1%68.0%38.4%73.9%10.3%-1.1%-178.5K27.4M-147.3K0.3217.7940213034,48038,393
2009-01-28$22.70$22.5065.3%18.7%75.4%30.8%57.8%14.0%-2.1%-49.8K15.8M-153.7K0.6216.013,7112,30934,55037,426
2009-01-29$21.44$22.5067.8%19.4%75.1%32.4%67.5%7.6%-6.1%-170.5K22.4M-155.3K0.1718.4266511335,74639,299
2009-01-30$20.74$22.5070.1%20.1%73.3%33.9%68.1%3.0%7.8%-216.2K30.4M-145.1K1.1818.3743050635,25739,340