KRE Options History — May 2009

In May 2009, KRE traded between $19.28 and $23.81. ATM implied volatility averaged 58.2%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 21.5% (HV 20d: 79.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 14.31.

Notable Days

  • 2009-05-19: Highest Volume — 91,729 contracts
  • 2009-05-11: Largest IV spike — 22.4% change
  • 2009-05-13: Highest IV Rank — 41.3%
  • 2009-05-13: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.08$19.28$23.81$20.37$19.99
Max Pain$20.88$20.00$22.50$20.00$20.00
ATM IV58.2%49.0%71.9%63.7%54.0%
Expected Move16.3%14.0%18.5%18.3%15.5%
HV 20d79.7%71.6%89.5%83.0%74.3%
HV 60d85.0%83.6%86.1%84.4%85.4%
IV Rank29.0%19.4%41.3%37.8%22.5%
IV Percentile31.3%14.3%68.3%48.0%17.9%
Term Structure-1.7%-5.9%1.5%-2.6%0.6%
VWIV58.4%50.3%65.0%64.1%57.3%
Skew 25d12.9%7.5%16.2%7.5%16.2%
Skew 10d28.9%15.9%38.1%23.1%33.1%
Call IV 25d50.8%45.1%60.1%60.1%47.0%
Put IV 25d63.7%57.1%67.6%67.6%63.2%
Bid-Ask Spread %14.878.2624.4911.8012.36
Gamma HHI0.330.280.400.340.32
Net GEX-3.0M-6.0M-536.2K-1.9M-5.8M
Net DEX57.6M-12.3M127.8M52.3M106.1M
Net VEX-588.3K-668.6K-523.6K-581.4K-642.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.310.04148.4048.0017.61
Total Volume9,697.0579891,7291,4217,182
Total OI240,731.5198,845310,432200,006310,432

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$20.37$20.0063.7%18.3%83.0%37.8%64.1%7.5%-2.6%-1.9M52.3M-581.4K48.0011.80291,39245,429154,577
2009-05-04$22.18$20.0061.2%16.2%88.2%35.7%59.5%15.6%-0.6%-1.5M19.6M-569.8K18.8722.553276,17045,441155,819
2009-05-05$21.71$20.0060.6%16.7%87.7%35.2%60.6%15.2%-1.5%-1.4M26.4M-577.5K0.3916.1857522345,699153,146
2009-05-06$22.94$20.0060.6%16.8%88.4%34.6%63.0%11.1%-5.9%-1.2M2.9M-553.6K3.9124.491,0213,99445,842153,069
2009-05-07$22.21$20.0062.6%16.7%89.5%32.9%65.0%15.9%-3.5%-1.4M17.2M-559.9K4.8719.983111,51346,546155,751
2009-05-08$23.81$20.0052.4%14.9%84.7%23.6%57.1%15.0%-0.0%-1.1M-11.8M-543.3K0.0415.2216,32568946,600156,003
2009-05-11$23.07$20.0064.1%16.5%83.8%34.3%57.2%12.5%-3.0%-536.2K-12.3M-551.9K0.9321.6344741557,471156,391
2009-05-12$22.19$22.5058.9%16.6%78.3%29.6%62.8%13.3%-2.6%-928.4K12.3M-553.2K5.9916.532,76016,54554,761156,774
2009-05-13$20.76$22.5071.9%18.5%81.6%41.3%62.8%13.5%-5.8%-2.3M55.9M-569.2K2.9817.973671,09455,945170,771
2009-05-14$21.09$22.5060.6%17.4%81.6%30.1%54.7%14.8%-4.3%-2.2M45.9M-553.6K0.1413.682,16330256,099169,143
2009-05-15$20.56$22.5059.3%17.0%81.1%28.9%54.1%10.0%-4.8%-2.4M50.9M-547.4K15.8915.601352,14557,451169,243
2009-05-18$21.79$22.5049.0%14.0%73.4%19.4%50.9%12.0%1.1%-1.7M35.8M-531.7K0.2913.6194727547,570152,670
2009-05-19$20.74$22.5058.0%16.6%73.2%27.7%64.9%12.6%-1.2%-2.1M57.0M-523.6K148.4013.4561491,11548,418152,852
2009-05-20$19.80$22.5056.4%16.2%74.0%26.2%50.3%12.3%-1.0%-5.3M114.7M-668.6K1.588.844,5797,23048,971240,058
2009-05-21$19.45$20.0054.4%15.6%74.1%24.4%55.2%12.1%1.2%-5.5M124.6M-668.1K2.068.261,8063,72953,013243,170
2009-05-22$19.28$20.0054.1%15.5%71.6%24.1%57.2%10.7%-0.5%-5.8M127.8M-665.4K1.2010.532,4622,96454,764245,231
2009-05-26$20.61$20.0054.7%15.7%74.5%24.1%54.4%16.2%-0.3%-5.1M90.7M-652.1K2.1111.078201,72756,943246,104
2009-05-27$19.46$20.0053.0%15.2%77.2%22.5%57.9%10.1%1.5%-6.0M119.0M-628.9K7.9510.701351,07356,747246,197
2009-05-28$19.55$20.0055.2%15.8%74.4%24.3%58.8%11.4%-0.5%-5.9M116.2M-623.3K2.9613.022,1076,23456,780246,739
2009-05-29$19.99$20.0054.0%15.5%74.3%22.5%57.3%16.2%0.6%-5.8M106.1M-642.6K17.6112.363866,79658,823251,609