KRE Options History — September 2009

In September 2009, KRE traded between $19.96 and $22.81. ATM implied volatility averaged 44.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 8.2% (HV 20d: 35.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.83.

Notable Days

  • 2009-09-17: Highest Volume — 27,630 contracts
  • 2009-09-10: Largest IV drop — 11.8% change
  • 2009-09-09: Highest IV Rank — 19.9%
  • 2009-09-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.22$19.96$22.81$20.33$21.32
Max Pain$20.95$20.00$22.50$20.00$20.00
ATM IV44.0%40.0%51.1%48.2%41.9%
Expected Move12.6%11.5%13.8%13.8%12.0%
HV 20d35.8%28.7%41.2%40.5%33.9%
HV 60d39.6%38.5%40.5%40.3%38.5%
IV Rank13.2%9.5%19.9%17.2%11.2%
IV Percentile11.6%2.8%25.0%21.0%8.3%
Term Structure1.4%-2.3%3.2%3.2%1.6%
VWIV44.4%41.3%49.3%45.4%46.6%
Skew 25d6.9%3.6%9.2%6.6%6.5%
Skew 10d12.8%-3.3%28.0%15.7%5.7%
Call IV 25d40.9%36.8%46.8%46.1%40.3%
Put IV 25d47.8%44.8%52.7%52.7%46.7%
Bid-Ask Spread %18.567.9830.568.9811.45
Gamma HHI0.430.290.660.450.32
Net GEX-1.4M-2.6M181.5K-2.2M-622.3K
Net DEX19.4M-25.2M41.4M32.6M23.6M
Net VEX-284.6K-344.3K-205.9K-308.0K-337.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.830.0846.940.3510.96
Total Volume6,173.85749227,63023,9174,866
Total OI162,309.1987,550210,252205,05099,171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$20.33$20.0048.2%13.8%40.5%17.2%45.4%6.6%3.2%-2.2M32.6M-308.0K0.358.9817,7656,15260,065144,985
2009-09-02$19.96$20.0046.4%13.3%40.7%15.4%46.8%4.3%2.2%-2.3M41.4M-293.8K7.5610.671781,34659,995141,601
2009-09-03$20.24$20.0047.0%13.5%41.2%16.0%48.9%3.6%-2.3%-2.2M35.8M-290.2K0.787.9852040860,065142,107
2009-09-04$20.37$22.5044.8%13.3%35.7%13.9%49.3%7.8%0.8%-2.3M31.2M-282.5K1.0330.5669571660,223141,960
2009-09-08$20.49$22.5047.4%13.4%35.4%16.4%44.8%8.1%2.1%-2.3M26.5M-262.7K0.8329.3762151360,687142,580
2009-09-09$20.30$20.0051.1%13.1%31.6%19.9%44.7%7.2%0.8%-2.3M26.0M-257.4K3.3922.637832,65360,903142,683
2009-09-10$20.94$20.0045.1%12.9%33.8%14.2%43.0%6.5%2.3%-2.6M19.1M-250.4K0.4220.7891638260,607142,709
2009-09-11$21.04$20.0046.3%13.3%33.9%15.4%43.9%8.1%1.1%-2.3M15.7M-247.9K6.1221.222661,62961,132142,690
2009-09-14$21.08$20.0046.3%13.3%33.4%15.4%45.5%8.7%0.9%-2.4M10.6M-228.0K22.7521.06481,09260,456143,109
2009-09-15$21.42$20.0041.1%11.8%28.7%10.5%48.0%8.3%1.2%-1.8M11.6M-234.4K3.4127.287182,45160,073144,157
2009-09-16$22.81$20.0041.9%12.0%36.0%11.3%43.4%5.5%1.1%181.5K-25.2M-205.9K2.8812.912,5917,47459,813145,790
2009-09-17$22.27$22.5041.6%11.9%37.2%11.0%43.5%6.5%1.6%-172.9K-9.8M-219.5K0.1124.1624,7922,83857,794152,458
2009-09-18$22.17$22.5040.4%11.6%37.3%9.9%41.3%8.0%3.0%-207.2K14.3M-223.3K46.9426.0853124,92548,389153,689
2009-09-21$21.77$22.5042.0%12.0%35.7%11.4%42.1%5.3%0.0%-994.4K23.4M-320.5K0.0820.167,51658415,03272,518
2009-09-22$22.06$22.5040.5%11.6%34.8%10.0%42.7%8.2%1.4%-702.4K16.7M-330.4K1.2418.9451763919,05372,804
2009-09-23$21.84$22.5040.0%11.5%35.0%9.5%42.6%5.1%1.8%-757.9K18.2M-327.6K1.7320.226511,12519,01173,053
2009-09-24$21.12$22.5044.5%12.7%36.6%13.7%41.9%8.4%2.5%-745.2K24.3M-336.1K1.1322.523,3893,82620,67873,477
2009-09-25$21.04$20.0043.6%12.5%36.5%12.8%42.0%4.7%2.0%-838.0K28.2M-344.3K3.9410.652741,07921,24875,541
2009-09-28$21.50$20.0042.9%12.3%37.3%12.2%44.1%9.2%0.6%-709.7K22.2M-341.5K5.0110.042811,40921,39975,695
2009-09-29$21.48$20.0041.1%11.8%37.2%10.6%42.1%9.0%2.1%-560.1K20.7M-334.7K1.8012.0817631623,01476,079
2009-09-30$21.32$20.0041.9%12.0%33.9%11.2%46.6%6.5%1.6%-622.3K23.6M-337.3K10.9611.454074,45923,06676,105