KRE Options History — July 2009

In July 2009, KRE traded between $17.51 and $20.82. ATM implied volatility averaged 41.7%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 1.0% (HV 20d: 40.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.08.

Notable Days

  • 2009-07-02: Highest Volume — 27,434 contracts
  • 2009-07-15: Largest IV drop — 36.8% change
  • 2009-07-23: Highest IV Rank — 13.6%
  • 2009-07-23: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.62$17.51$20.82$18.45$20.82
Max Pain$18.64$17.50$20.00$20.00$20.00
ATM IV41.7%29.9%47.3%38.8%41.4%
Expected Move12.0%10.7%12.7%11.1%11.9%
HV 20d40.7%37.4%44.4%37.7%39.1%
HV 60d56.8%49.2%66.6%66.3%49.2%
IV Rank8.1%0.0%13.6%0.0%10.8%
IV Percentile2.8%0.0%6.7%0.0%4.4%
Term Structure0.6%-1.0%4.7%4.7%0.3%
VWIV42.4%33.4%48.3%33.4%40.8%
Skew 25d7.3%2.1%15.1%5.4%7.7%
Skew 10d15.2%1.6%33.8%1.6%15.6%
Call IV 25d36.1%31.5%39.9%33.3%35.6%
Put IV 25d43.4%35.4%47.9%38.7%43.3%
Bid-Ask Spread %19.599.2432.5212.5728.29
Gamma HHI0.310.250.460.320.26
Net GEX-3.3M-6.1M-1.8M-3.5M-1.8M
Net DEX73.1M11.0M122.5M91.4M11.0M
Net VEX-312.5K-365.2K-278.2K-328.3K-287.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.5122.633.473.91
Total Volume7,770.45516827,4349742,472
Total OI189,048.409161,332225,366175,657186,386

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$18.45$20.0038.8%11.1%37.7%0.0%33.4%5.4%4.7%-3.5M91.4M-328.3K3.4712.5721875639,742135,915
2009-07-02$17.62$20.0040.8%11.7%37.4%2.1%40.6%3.9%2.0%-3.2M105.1M-319.9K22.639.241,16126,27339,783135,854
2009-07-06$17.81$17.5046.0%12.6%37.8%7.4%48.3%5.7%2.0%-4.6M111.4M-351.8K5.0911.031,6428,36446,789158,498
2009-07-07$17.64$17.5042.8%12.1%37.8%4.2%42.5%2.3%1.5%-4.6M113.9M-347.6K6.0010.931,91811,50947,969159,864
2009-07-08$17.61$17.5047.3%12.7%37.6%8.7%44.0%4.7%0.4%-4.5M113.9M-365.2K10.2216.371,05710,80349,182162,456
2009-07-09$17.73$17.5042.0%12.3%37.9%3.3%42.9%3.8%1.0%-4.9M111.9M-355.3K1.9917.136,37712,67849,624160,559
2009-07-10$17.51$17.5037.4%12.3%37.6%0.0%48.1%2.1%-0.2%-6.1M122.5M-361.5K0.5114.913,4141,73055,877169,489
2009-07-13$18.43$17.5046.8%12.4%42.9%9.5%44.6%15.1%0.6%-3.6M89.8M-300.6K2.7619.851,2053,32346,489147,854
2009-07-14$18.25$17.5047.3%12.1%41.0%10.0%0.0%10.0%0.9%-3.5M92.1M-297.5K0.7720.04957347,034148,145
2009-07-15$18.85$17.5029.9%10.7%42.7%0.0%41.7%8.8%1.0%-2.9M77.3M-278.2K4.1222.494401,81247,013146,112
2009-07-16$18.89$17.5038.5%11.0%41.5%8.1%43.7%8.1%-0.1%-2.6M77.2M-290.1K1.3813.606,7499,30347,035145,404
2009-07-17$18.11$17.5043.0%12.3%43.9%12.3%42.3%8.7%0.5%-3.0M84.6M-284.3K2.1016.982,6395,53150,684148,740
2009-07-20$18.25$17.5042.8%12.3%42.7%12.1%41.7%8.3%-0.4%-3.1M61.7M-286.9K5.8027.001,3888,05139,168122,164
2009-07-21$17.64$20.0043.3%12.4%39.4%12.6%44.0%7.0%0.8%-3.4M77.1M-297.1K3.7419.552,0077,50540,072126,845
2009-07-22$17.79$20.0042.9%12.3%39.1%12.2%43.5%8.6%0.9%-3.4M74.9M-308.2K4.6926.346403,00441,584129,921
2009-07-23$18.72$20.0044.4%12.7%43.0%13.6%43.6%8.6%0.0%-3.1M55.1M-296.4K0.6217.056,7224,18141,784130,445
2009-07-24$18.84$20.0039.1%11.2%40.9%8.7%43.8%8.0%-1.0%-2.9M49.0M-317.4K1.5223.9752580047,913130,645
2009-07-27$19.78$17.5041.1%11.8%44.3%10.5%40.1%8.8%-1.0%-2.2M27.1M-309.1K5.7723.701,3647,86848,986130,265
2009-07-28$20.05$20.0040.9%11.7%44.4%10.3%40.4%8.6%-1.0%-2.3M24.0M-300.0K1.1224.1887498348,768136,310
2009-07-29$20.31$20.0040.8%11.7%43.5%10.3%39.8%7.6%-0.6%-2.2M22.1M-299.6K0.9423.2486280749,124136,289
2009-07-30$20.61$20.0041.3%11.8%43.6%10.7%41.3%7.8%0.2%-1.9M14.6M-291.9K0.5832.521,15767049,554136,731
2009-07-31$20.82$20.0041.4%11.9%39.1%10.8%40.8%7.7%0.3%-1.8M11.0M-287.6K3.9128.295031,96949,508136,878