KRE Options History — August 2009

In August 2009, KRE traded between $20.77 and $23.28. ATM implied volatility averaged 45.1%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 4.3% (HV 20d: 40.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.65.

Notable Days

  • 2009-08-24: Highest Volume — 33,488 contracts
  • 2009-08-31: Largest IV spike — 14.3% change
  • 2009-08-31: Highest IV Rank — 18.6%
  • 2009-08-31: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$20.77$23.28$21.24$21.20
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV45.1%39.5%49.7%44.8%49.7%
Expected Move12.9%11.3%14.3%12.8%14.3%
HV 20d40.8%38.7%45.4%39.3%39.3%
HV 60d43.0%39.4%48.9%48.9%39.4%
IV Rank14.3%9.0%18.6%14.0%18.6%
IV Percentile11.5%2.0%22.6%9.1%22.6%
Term Structure-0.8%-2.7%1.0%-1.0%-1.3%
VWIV45.8%39.2%50.4%39.2%50.4%
Skew 25d6.0%1.6%8.6%6.6%3.2%
Skew 10d14.4%1.8%31.3%11.6%3.1%
Call IV 25d42.7%37.7%47.7%37.9%47.7%
Put IV 25d48.7%44.5%51.9%44.5%50.9%
Bid-Ask Spread %11.286.2323.2414.3411.10
Gamma HHI0.350.280.400.280.40
Net GEX-844.8K-2.0M536.1K-1.2M-1.4M
Net DEX-5.8M-42.4M14.8M-2.6M13.7M
Net VEX-284.9K-341.4K-234.9K-259.3K-318.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.229.393.198.70
Total Volume8,138.6191,10633,48811,1292,649
Total OI201,523.667171,118215,374186,500205,375

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$21.24$20.0044.8%12.8%39.3%14.0%39.2%6.6%-1.0%-1.2M-2.6M-259.3K3.1914.342,6538,47649,486137,014
2009-08-04$21.84$20.0040.8%11.7%39.2%10.2%43.7%7.9%-1.1%-874.3K-11.8M-277.5K0.3623.244,2731,53651,142142,130
2009-08-05$21.93$20.0039.5%11.3%39.0%9.0%46.1%7.2%0.2%-742.0K-10.3M-283.2K0.2214.283,67981951,567139,059
2009-08-06$21.82$20.0040.5%11.6%39.4%9.9%48.2%8.1%1.0%-812.9K-10.6M-271.3K2.8314.512,6287,44050,895139,255
2009-08-07$23.00$20.0043.5%12.1%41.2%12.7%41.4%8.2%-0.6%296.6K-35.3M-260.4K0.4916.844,3972,13351,396139,610
2009-08-10$23.28$20.0047.3%12.7%38.7%16.3%47.5%8.6%-1.3%536.1K-42.4M-261.2K4.5314.821,0584,78854,808144,260
2009-08-11$22.16$20.0047.3%13.3%43.8%16.3%45.4%8.1%-2.7%-606.9K-15.9M-291.5K1.336.234,5646,07955,053145,805
2009-08-12$22.32$20.0046.2%13.1%43.0%15.3%46.3%7.2%-1.5%-392.2K-21.1M-294.7K0.957.172,3512,22358,666149,436
2009-08-13$22.25$20.0045.9%13.2%43.1%15.0%43.0%7.9%-2.0%-384.3K-19.9M-295.2K9.399.366776,35959,667150,620
2009-08-14$21.83$20.0042.6%12.2%40.2%11.9%45.3%6.7%0.1%-852.2K-8.0M-275.5K0.328.855,2611,70259,380151,176
2009-08-17$20.77$20.0047.8%13.7%45.4%16.8%46.5%8.3%0.3%-2.0M14.8M-272.5K1.1411.923,5684,06161,745151,475
2009-08-18$20.82$20.0047.9%13.7%42.9%16.9%42.9%5.3%-1.1%-1.9M10.8M-275.6K2.4810.408,51621,11862,840152,534
2009-08-19$21.10$20.0047.5%13.6%42.9%16.5%46.3%7.8%0.0%-1.7M8.0M-274.9K1.867.796091,13559,831151,941
2009-08-20$21.21$20.0047.3%13.6%39.9%16.3%43.8%3.7%-0.8%-825.0K-370.6K-240.9K0.2410.591,13027659,173151,122
2009-08-21$21.99$20.0043.8%12.6%41.3%13.0%47.7%4.6%0.4%-261.8K-15.7M-245.1K0.479.5475235458,947151,191
2009-08-24$21.46$20.0045.7%13.1%39.8%14.9%49.9%5.2%-1.4%-544.8K-2.8M-234.9K8.389.813,57029,91853,603117,515
2009-08-25$21.36$20.0045.7%13.1%39.7%14.8%47.5%5.0%-0.8%-1.2M10.5M-340.4K1.898.336721,27156,880145,286
2009-08-26$21.69$20.0045.7%13.1%39.8%14.8%48.9%3.3%-1.7%-908.7K3.5M-335.6K3.968.422,68310,63857,129145,446
2009-08-27$21.48$20.0045.4%13.0%39.8%14.5%46.7%2.5%-1.2%-984.5K5.6M-341.4K0.8911.811,2241,08859,499145,025
2009-08-28$21.31$20.0043.5%12.5%39.8%12.8%45.9%1.6%0.3%-1.1M7.3M-332.7K2.047.508511,73259,826145,189
2009-08-31$21.20$20.0049.7%14.3%39.3%18.6%50.4%3.2%-1.3%-1.4M13.7M-318.1K8.7011.102732,37659,887145,488