KRE Options History — June 2009

In June 2009, KRE traded between $17.85 and $20.47. ATM implied volatility averaged 50.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 0.1% (HV 20d: 50.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 11.57.

Notable Days

  • 2009-06-02: Highest Volume — 69,187 contracts
  • 2009-06-18: Largest IV drop — 16.6% change
  • 2009-06-01: Highest IV Rank — 25.4%
  • 2009-06-02: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.25$17.85$20.47$20.19$18.24
Max Pain$21.02$20.00$22.50$20.00$20.00
ATM IV50.5%39.7%57.4%57.1%39.7%
Expected Move14.6%11.4%16.5%16.4%11.4%
HV 20d50.4%35.3%73.9%73.9%37.3%
HV 60d73.4%66.5%83.3%83.2%66.5%
IV Rank14.9%0.0%25.4%25.4%0.0%
IV Percentile10.2%0.0%24.6%23.8%0.0%
Term Structure2.6%-7.3%7.3%-7.3%4.6%
VWIV50.6%35.0%62.9%57.3%38.0%
Skew 25d9.4%2.7%13.0%7.2%2.7%
Skew 10d20.7%-2.2%36.6%28.0%-2.2%
Call IV 25d46.5%35.0%53.9%53.9%35.0%
Put IV 25d55.8%37.7%62.3%61.1%37.7%
Bid-Ask Spread %18.947.7931.288.4014.80
Gamma HHI0.320.250.520.320.31
Net GEX-6.6M-11.0M-2.8M-5.9M-3.3M
Net DEX135.3M79.8M229.3M101.8M93.1M
Net VEX-510.5K-676.8K-337.2K-616.3K-337.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.570.6052.877.974.13
Total Volume11,974.72789569,1874,0747,980
Total OI294,096.682163,577361,003314,188173,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$20.19$20.0057.1%16.4%73.9%25.4%57.3%7.2%-7.3%-5.9M101.8M-616.3K7.978.404543,62059,063255,125
2009-06-02$19.85$20.0057.4%16.5%66.8%25.3%58.2%9.0%-0.1%-6.1M107.0M-618.0K24.598.802,70466,48359,486255,531
2009-06-03$19.73$20.0055.8%16.0%66.5%23.7%62.9%10.6%1.0%-7.5M158.1M-676.8K0.6710.021,6111,08761,910288,613
2009-06-04$20.47$20.0054.0%15.5%64.6%22.1%55.1%9.8%-1.3%-6.6M116.2M-658.7K7.037.798926,27261,882288,992
2009-06-05$20.11$22.5052.7%16.0%64.0%20.8%55.4%11.3%-0.9%-7.7M151.4M-657.4K2.1622.591,2332,66462,542290,639
2009-06-08$19.96$22.5052.7%15.7%57.7%20.8%54.9%11.0%0.1%-7.8M142.0M-624.4K15.9724.58801,27863,539292,344
2009-06-09$20.05$22.5050.3%15.2%57.2%18.5%53.4%12.4%3.0%-7.8M134.2M-593.0K4.5424.896833,10263,563292,437
2009-06-10$19.87$22.5050.5%15.2%55.9%18.7%59.1%11.8%2.4%-8.2M149.8M-591.2K26.6419.642025,38263,904294,112
2009-06-11$20.03$22.5051.5%14.8%51.2%19.7%51.5%13.0%3.3%-8.2M135.8M-563.0K2.0621.137171,47563,985294,787
2009-06-12$20.02$22.5050.3%14.4%50.8%18.5%50.9%12.8%3.8%-8.1M133.9M-538.3K2.3420.1126862764,345295,960
2009-06-15$19.26$22.5052.3%15.0%51.8%20.4%52.2%12.6%1.1%-9.3M175.6M-515.2K3.6218.651,3925,03964,303296,016
2009-06-16$19.10$22.5051.5%14.8%46.4%19.7%51.6%10.7%1.7%-9.5M201.5M-517.3K1.1423.064,3314,94964,356296,647
2009-06-17$18.57$22.5057.0%16.3%44.4%24.9%49.4%9.4%4.1%-11.0M229.3M-463.0K52.8724.431,27867,57462,493294,895
2009-06-18$18.80$20.0047.5%13.6%42.1%13.4%55.9%12.4%2.6%-10.0M213.1M-485.4K18.5422.633456,39863,017296,745
2009-06-19$19.33$20.0047.2%13.5%43.0%13.0%50.9%7.1%4.7%-10.3M170.6M-493.9K8.2531.285014,13559,542297,510
2009-06-22$18.25$20.0053.0%15.2%47.5%9.8%49.8%7.4%4.3%-3.3M105.4M-411.1K0.6025.583,1941,92534,920142,653
2009-06-23$17.93$20.0049.8%14.3%40.0%6.4%43.2%9.4%5.0%-3.2M113.4M-401.7K9.8220.511,24912,26336,148143,865
2009-06-24$17.85$20.0048.5%13.9%35.3%5.0%44.4%6.9%6.1%-2.9M101.2M-383.7K41.4519.8131012,84936,840134,691
2009-06-25$18.56$20.0043.4%12.4%38.4%0.0%39.2%4.2%6.8%-2.8M81.3M-362.8K5.0212.861,4987,52436,926126,651
2009-06-26$18.64$20.0044.3%12.7%37.4%1.0%44.6%6.2%7.3%-3.0M79.8M-372.4K5.3812.6315885038,079129,641
2009-06-29$18.63$20.0044.0%12.6%37.1%0.7%35.0%7.8%4.2%-3.1M82.5M-350.5K9.8222.481,55915,30938,166130,181
2009-06-30$18.24$20.0039.7%11.4%37.3%0.0%38.0%2.7%4.6%-3.3M93.1M-337.2K4.1314.801,5566,42438,950134,133