KRE Options History — April 2009

In April 2009, KRE traded between $19.48 and $22.81. ATM implied volatility averaged 63.1%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 25.4% (HV 20d: 88.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 57.44.

Notable Days

  • 2009-04-27: Highest Volume — 99,011 contracts
  • 2009-04-20: Largest IV spike — 19.4% change
  • 2009-04-20: Highest IV Rank — 45.5%
  • 2009-04-20: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.86$19.48$22.81$19.87$20.86
Max Pain$19.88$17.50$22.50$17.50$20.00
ATM IV63.1%52.4%72.1%70.5%62.2%
Expected Move18.1%15.0%20.7%20.2%17.8%
HV 20d88.5%81.8%100.1%100.1%83.3%
HV 60d83.6%81.4%86.2%81.9%84.3%
IV Rank37.8%28.2%45.5%44.1%36.6%
IV Percentile47.2%21.8%69.0%63.5%44.4%
Term Structure-1.5%-5.7%3.1%-3.6%-0.9%
VWIV64.1%52.0%74.5%73.9%57.5%
Skew 25d12.2%8.8%16.0%14.3%10.8%
Skew 10d27.9%19.6%50.8%38.3%30.2%
Call IV 25d57.4%49.7%66.1%66.1%53.8%
Put IV 25d69.7%60.6%80.5%80.5%64.6%
Bid-Ask Spread %21.9112.2731.7218.7314.10
Gamma HHI0.330.250.460.410.29
Net GEX-237.9K-1.1M366.0K211.5K-1.1M
Net DEX-1.7M-27.5M30.8M-7.1M26.5M
Net VEX-179.0K-520.8K-104.2K-122.9K-519.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio57.440.35957.890.8053.94
Total Volume9,781.52432799,0111,08122,194
Total OI86,825.85760,430178,56461,934178,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$19.87$17.5070.5%20.2%100.1%44.1%73.9%14.3%-3.6%211.5K-7.1M-122.9K0.8018.7360247923,29938,635
2009-04-02$20.54$17.5070.4%20.2%93.3%44.0%64.8%16.0%-3.7%220.7K-12.1M-120.7K4.3918.232671,17123,38739,090
2009-04-03$20.92$20.0065.9%18.0%92.8%40.2%71.5%13.8%-0.6%234.2K-14.7M-117.5K0.8031.7218214523,56039,780
2009-04-06$20.25$20.0064.1%18.1%94.0%38.7%74.5%14.2%-1.5%309.2K-9.7M-113.6K14.4423.744376,31223,68939,903
2009-04-07$19.60$20.0061.9%18.1%85.2%36.8%63.3%15.3%-1.1%229.4K-2.9M-121.0K957.8925.6398,62123,88445,925
2009-04-08$19.48$20.0056.9%17.6%85.3%32.6%63.8%11.5%2.5%93.1K1.4M-132.5K11.9029.902222,64123,88552,600
2009-04-09$21.69$20.0055.0%15.8%86.1%31.0%60.9%11.6%3.1%72.7K-19.6M-123.0K0.3726.603,6691,36224,00454,466
2009-04-13$22.81$20.0057.0%16.3%86.7%32.7%52.0%12.9%2.1%-110.1K-27.5M-111.8K0.8124.4848138923,86154,622
2009-04-14$20.85$20.0064.6%18.5%93.9%39.1%60.7%13.8%1.9%366.0K-11.3M-119.8K4.9720.914382,17923,46954,625
2009-04-15$21.34$20.0062.0%17.8%92.7%36.9%66.5%10.7%-2.0%200.1K-15.3M-114.6K81.3421.88957,72723,80854,894
2009-04-16$21.73$20.0059.0%16.9%90.4%34.4%58.7%11.4%-0.1%-157.5K-17.0M-117.0K6.1126.533201,95423,65359,750
2009-04-17$22.41$20.0060.4%17.3%88.7%35.6%60.2%11.6%-1.2%-1.1M-22.2M-104.2K4.7222.718113,83223,77461,310
2009-04-20$20.06$22.5072.1%20.7%96.9%45.5%72.1%14.3%-5.7%-564.8K13.5M-116.2K0.5519.024,5672,49310,74749,683
2009-04-21$21.20$20.0071.5%20.5%88.0%45.0%68.8%13.3%-5.2%-464.9K5.1M-129.0K4.0619.601,1124,51515,15152,041
2009-04-22$20.46$20.0070.9%20.3%83.8%44.4%70.5%11.3%-4.5%-570.9K11.4M-138.2K0.3523.001,29945315,94655,371
2009-04-23$20.27$20.0068.4%19.6%83.3%42.3%70.1%10.9%-3.7%-427.0K8.6M-132.6K3.8925.595001,94617,13053,435
2009-04-24$21.30$20.0057.9%16.6%84.7%33.5%59.1%9.0%-2.1%-436.1K3.0M-132.2K0.7619.163,4822,65417,49754,619
2009-04-27$20.42$20.0065.3%18.7%84.7%39.7%65.4%11.3%-2.3%-402.5K9.7M-138.3K2.9412.2725,12573,88619,82356,433
2009-04-28$20.42$20.0057.1%16.4%81.8%32.3%55.9%10.6%1.9%-921.5K30.8M-520.8K16.4515.033185,23144,883127,631
2009-04-29$21.55$20.0052.4%15.0%82.9%28.2%56.1%8.8%-4.1%-754.9K13.2M-513.9K34.8521.1931510,97745,070129,446
2009-04-30$20.86$20.0062.2%17.8%83.3%36.6%57.5%10.8%-0.9%-1.1M26.5M-519.8K53.9414.1040421,79045,203133,361