KRE Options History — March 2009

In March 2009, KRE traded between $14.68 and $21.04. ATM implied volatility averaged 72.9%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded below realized volatility by 11.7% (HV 20d: 84.7%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2009-03-19: Highest Volume — 56,339 contracts
  • 2009-03-18: Largest IV spike — 35.0% change
  • 2009-03-05: Highest IV Rank — 58.1%
  • 2009-03-05: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$14.68$21.04$17.38$19.22
Max Pain$18.41$15.00$25.00$25.00$17.50
ATM IV72.9%45.0%87.0%80.1%72.2%
Expected Move21.0%12.9%24.9%23.0%20.7%
HV 20d84.7%62.5%101.1%66.2%100.0%
HV 60d73.5%65.6%81.8%65.7%81.8%
IV Rank46.2%22.5%58.1%52.2%45.5%
IV Percentile73.0%25.4%93.7%88.1%69.4%
Term Structure-8.8%-19.2%0.7%-10.9%-4.9%
VWIV76.9%63.4%89.4%79.3%79.5%
Skew 25d17.1%3.7%24.3%13.1%15.0%
Skew 10d32.6%-6.7%55.6%17.0%36.1%
Call IV 25d67.1%54.6%86.8%76.0%67.4%
Put IV 25d84.2%68.1%95.6%89.1%82.4%
Bid-Ask Spread %20.219.0934.1412.3516.63
Gamma HHI0.330.220.440.220.41
Net GEX-85.0K-562.5K605.8K-385.4K125.6K
Net DEX25.0M-10.7M59.2M42.1M-1.7M
Net VEX-115.4K-130.7K-83.0K-126.8K-122.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0311.771.090.27
Total Volume6,551.95546856,3394,7621,353
Total OI85,045.18256,064106,10488,15961,078

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$17.38$25.0080.1%23.0%66.2%52.2%79.3%13.1%-10.9%-385.4K42.1M-126.8K1.0912.352,2832,47926,91061,249
2009-03-03$16.57$25.0070.8%20.3%67.4%44.4%83.1%24.3%0.7%-433.9K48.0M-115.2K0.579.6559934226,68461,712
2009-03-04$16.40$25.0074.4%21.3%67.3%47.4%74.7%9.2%-2.4%-432.9K48.9M-116.3K0.859.093,1302,67127,18561,897
2009-03-05$15.00$25.0087.0%24.9%72.6%58.1%86.6%3.7%-9.6%-459.0K56.0M-87.8K5.8511.099135,33928,15562,289
2009-03-06$14.86$17.5060.6%23.7%71.6%35.7%89.4%22.2%-13.5%-562.5K59.2M-86.6K0.7223.7627219627,99065,600
2009-03-09$14.68$17.5079.9%24.3%62.5%52.1%83.0%18.1%-14.9%-521.4K55.7M-83.0K1.5632.781,2181,89828,04763,392
2009-03-10$16.71$17.5085.0%20.8%82.0%56.4%71.5%20.5%-9.7%-462.8K49.6M-104.5K0.1830.7616,0132,80427,76664,033
2009-03-11$16.66$15.0080.0%20.7%76.7%52.1%74.2%23.1%-13.9%-294.4K43.7M-114.5K0.1730.422,92349933,93963,525
2009-03-12$18.45$15.0071.4%20.5%85.6%44.9%72.4%20.9%-8.7%-20.1K31.6M-126.8K0.3116.633,7431,17138,97763,720
2009-03-13$18.10$15.0073.3%21.0%85.7%46.5%85.1%16.8%-19.2%11.5K33.4M-120.8K0.8134.1453242940,32864,055
2009-03-16$18.12$15.0068.8%19.7%84.8%42.7%68.4%13.2%-17.1%-3.3K35.1M-112.3K0.7313.141,8761,36840,08664,186
2009-03-17$19.06$17.5045.0%12.9%84.1%22.5%73.9%21.2%-2.9%90.6K24.4M-109.3K0.5419.172,8481,54139,72864,589
2009-03-18$20.29$17.5060.7%17.4%86.6%35.9%63.4%12.8%-12.0%605.8K-815.2K-111.5K0.5825.259,7025,64040,67065,434
2009-03-19$19.34$17.5068.5%19.6%85.6%42.4%79.8%19.3%-13.2%153.1K22.8M-121.5K0.3927.7740,52115,81839,63564,754
2009-03-20$18.56$17.5079.9%22.9%87.2%52.1%75.4%13.2%-6.9%-125.1K38.2M-127.4K0.3919.312,19785633,46669,335
2009-03-23$21.04$17.5073.1%21.0%96.6%46.3%73.1%20.4%-6.3%59.8K-10.7M-124.1K0.0318.824,43412720,11835,946
2009-03-24$19.40$17.5072.7%20.8%99.6%46.0%72.7%16.6%-4.8%240.2K-6.3M-130.7K0.2414.2758013924,39335,993
2009-03-25$19.95$17.5072.9%20.9%99.9%46.1%76.6%18.9%-5.1%145.4K-7.0M-124.6K1.1723.2438144521,62435,996
2009-03-26$20.45$17.5074.3%21.3%99.8%47.3%73.9%20.2%-6.9%148.5K-9.4M-125.7K2.4418.935231,27721,79236,165
2009-03-27$19.60$17.5071.2%20.4%100.4%44.7%71.5%14.8%-5.0%146.3K-4.9M-125.0K0.8920.9373064721,75037,025
2009-03-30$18.52$17.5083.3%23.9%101.1%55.0%83.4%17.8%-6.8%103.9K2.7M-122.3K11.7716.471321,55422,24837,530
2009-03-31$19.22$17.5072.2%20.7%100.0%45.5%79.5%15.0%-4.9%125.6K-1.7M-122.9K0.2716.631,06628722,36038,718