KRE Options History — February 2009

In February 2009, KRE traded between $16.96 and $22.43. ATM implied volatility averaged 72.7%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded below realized volatility by 2.5% (HV 20d: 75.1%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 6.11.

Notable Days

  • 2009-02-13: Highest Volume — 21,556 contracts
  • 2009-02-27: Largest IV spike — 29.5% change
  • 2009-02-17: Highest IV Rank — 57.4%
  • 2009-02-17: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.53$16.96$22.43$20.80$18.20
Max Pain$26.05$22.50$27.50$22.50$25.00
ATM IV72.7%59.1%86.2%73.7%76.5%
Expected Move20.7%16.9%24.7%21.1%21.9%
HV 20d75.1%65.4%84.2%73.4%65.4%
HV 60d78.1%67.5%81.5%80.6%67.5%
IV Rank40.5%32.6%57.4%36.2%49.2%
IV Percentile77.2%49.6%93.3%80.6%85.3%
Term Structure-6.7%-43.8%10.1%-0.2%-2.8%
VWIV69.8%47.9%85.5%74.6%78.7%
Skew 25d14.9%-8.6%27.5%10.1%12.8%
Skew 10d23.8%-4.9%53.9%9.2%24.2%
Call IV 25d65.5%57.1%81.6%68.1%68.8%
Put IV 25d80.4%73.0%87.3%78.2%81.6%
Bid-Ask Spread %16.7010.6122.4912.6215.62
Gamma HHI0.250.180.300.250.21
Net GEX-405.6K-890.5K323.6K-227.5K-389.7K
Net DEX41.2M9.1M64.9M31.2M40.6M
Net VEX-121.9K-159.6K-102.8K-132.1K-139.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.110.0155.480.651.50
Total Volume5,673.26337121,5561,0892,626
Total OI83,577.26371,946103,68874,78486,976

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$20.80$22.5073.7%21.1%73.4%36.2%74.6%10.1%-0.2%-227.5K31.2M-132.1K0.6512.6265943035,52039,264
2009-02-03$20.30$22.5074.8%21.4%72.8%37.0%70.6%5.3%-2.3%-281.1K34.1M-125.0K2.8022.499562,67735,71439,500
2009-02-04$20.34$22.5073.8%21.2%72.8%36.3%71.8%4.4%-2.1%-308.1K34.2M-123.4K0.8217.7420416735,54540,496
2009-02-05$20.69$22.5075.3%21.6%72.4%37.3%70.5%8.2%-2.1%-272.2K32.1M-127.2K0.0116.2110,81714035,50040,486
2009-02-06$22.36$27.5070.2%19.6%79.2%34.0%72.5%17.1%-7.5%323.6K9.1M-159.6K0.7415.912,4121,77541,18040,491
2009-02-09$22.43$27.5073.8%19.3%77.6%36.3%64.7%16.6%-7.3%67.4K12.9M-140.3K0.0517.262,17910437,19741,581
2009-02-10$20.44$27.5076.1%20.8%83.1%37.8%61.4%15.5%-11.4%-153.6K34.4M-112.0K1.2819.213,7114,76437,48141,545
2009-02-11$21.00$27.5070.9%20.4%83.5%34.4%62.5%20.1%-10.4%-152.1K34.8M-130.7K0.8319.1546038437,70845,372
2009-02-12$20.70$27.5070.7%20.3%81.1%34.3%70.7%13.1%-13.0%-184.5K36.5M-119.6K0.2418.231,98246837,81844,519
2009-02-13$19.87$27.5068.1%19.5%81.9%32.6%73.9%24.2%-12.7%-634.3K44.2M-104.3K36.0417.9058220,97438,47844,677
2009-02-17$18.68$27.5086.2%24.7%84.2%57.4%47.9%-8.6%-43.8%-890.5K62.2M-127.0K5.7415.975142,95038,51465,174
2009-02-18$18.38$27.5078.3%22.5%75.3%50.8%65.0%20.7%-7.5%-787.5K64.3M-117.1K1.7017.8619933938,23665,007
2009-02-19$17.34$27.5063.5%18.2%72.5%38.2%63.4%23.1%-8.7%-544.2K64.5M-102.8K55.4819.64653,60638,32465,077
2009-02-20$17.40$27.5073.5%21.1%69.5%46.6%85.5%18.1%-6.4%-605.4K64.9M-109.6K4.0715.322,3569,59038,31564,734
2009-02-23$16.96$27.5072.6%20.8%68.8%45.9%71.6%14.5%-1.6%-770.9K50.8M-111.8K0.1019.252,42624313,33961,459
2009-02-24$18.10$27.5069.0%19.8%73.7%42.9%78.7%21.1%10.1%-717.8K49.1M-110.4K2.5712.622,0205,18314,30362,136
2009-02-25$18.25$25.0074.8%21.4%73.0%47.7%72.9%19.5%-4.3%-551.9K42.8M-109.4K1.1610.612,0722,40215,94656,000
2009-02-26$18.79$25.0059.1%16.9%67.2%34.5%68.3%27.5%6.2%-626.1K40.2M-114.8K0.3913.6011,0394,31716,62557,731
2009-02-27$18.20$25.0076.5%21.9%65.4%49.2%78.7%12.8%-2.8%-389.7K40.6M-139.4K1.5015.621,0501,57626,41160,565