KRE Options History — October 2009

In October 2009, KRE traded between $20.34 and $21.91. ATM implied volatility averaged 39.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.1% (HV 20d: 31.9%). 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 22 of 22 days. Put/call ratio averaged 4.25.

Notable Days

  • 2009-10-28: Highest Volume — 46,481 contracts
  • 2009-10-30: Largest IV spike — 31.3% change
  • 2009-10-14: Highest IV Rank — 17.0%
  • 2009-10-05: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.17$20.34$21.91$20.62$20.34
Max Pain$21.02$20.00$22.50$20.00$20.00
ATM IV39.0%29.7%47.9%45.6%41.1%
Expected Move11.2%8.5%13.8%13.1%11.8%
HV 20d31.9%25.5%36.1%35.5%35.5%
HV 60d36.5%33.6%39.3%39.2%36.9%
IV Rank9.7%0.0%17.0%14.7%14.5%
IV Percentile8.8%0.0%28.6%18.7%11.1%
Term Structure2.1%0.4%5.9%2.3%0.7%
VWIV39.3%30.5%48.0%45.1%38.2%
Skew 25d6.0%-4.1%8.6%-4.1%8.2%
Skew 10d13.5%-6.0%22.4%-6.0%17.7%
Call IV 25d36.6%27.1%45.8%43.8%38.9%
Put IV 25d42.6%32.6%51.9%39.7%47.1%
Bid-Ask Spread %17.8811.6731.0011.9323.51
Gamma HHI0.430.350.530.350.46
Net GEX-1.2M-2.8M-105.6K-1.0M-2.8M
Net DEX34.2M17.5M70.3M34.8M70.3M
Net VEX-335.5K-471.6K-289.7K-339.8K-471.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.6121.750.921.46
Total Volume5,951.86431146,4811,92816,143
Total OI110,114.36497,404152,519102,814152,519

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$20.62$20.0045.6%13.1%35.5%14.7%45.1%-4.1%2.3%-1.0M34.8M-339.8K0.9211.931,00392523,18079,634
2009-10-02$20.40$20.0045.7%13.1%35.4%14.8%45.7%3.5%2.1%-1.1M37.4M-341.6K0.8816.191,2221,07823,43679,920
2009-10-05$20.65$20.0047.2%13.8%35.6%16.3%47.7%8.6%0.6%-1.0M34.3M-333.6K4.4416.295152,28723,99880,305
2009-10-06$21.02$20.0047.9%13.8%36.1%16.9%48.0%8.6%0.5%-876.5K29.6M-336.7K6.3414.864803,04424,38580,397
2009-10-07$21.08$20.0046.0%13.7%35.9%15.1%46.8%8.0%0.4%-969.9K31.2M-335.9K1.4315.891,7732,53524,35582,091
2009-10-08$21.35$20.0043.0%12.2%34.4%12.2%43.9%8.6%0.7%-668.9K25.6M-325.5K2.9615.3524973824,64680,030
2009-10-09$21.68$20.0037.7%11.7%34.8%7.3%42.7%8.1%2.1%-491.1K21.8M-324.6K3.7416.703401,27124,57279,977
2009-10-12$21.49$20.0044.4%11.9%35.0%13.6%45.4%7.6%1.0%-556.8K23.6M-317.4K9.2617.102262,09324,73180,413
2009-10-13$21.44$20.0037.7%11.7%34.5%8.7%42.8%7.9%1.6%-591.4K25.1M-318.8K7.4120.303727424,88681,525
2009-10-14$21.91$20.0045.2%12.0%26.8%17.0%42.2%7.8%1.1%-105.6K17.5M-307.2K2.9619.791,2093,58224,88681,560
2009-10-15$21.84$22.5040.3%11.6%25.6%11.5%40.6%7.9%2.0%-235.8K23.4M-312.8K11.7624.262412,83424,59383,983
2009-10-16$21.43$22.5036.8%10.5%26.3%8.8%38.8%5.2%1.4%-1.4M33.1M-315.2K0.6131.002,9351,77624,61086,416
2009-10-19$21.48$22.5029.7%8.5%25.6%0.0%30.5%7.1%3.8%-1.4M28.7M-289.7K3.1511.672,8198,88518,22179,183
2009-10-20$21.17$22.5033.4%9.6%25.5%4.7%31.0%4.6%4.7%-1.6M37.2M-312.5K1.2214.3870085119,70282,869
2009-10-21$20.43$22.5033.1%9.5%28.1%4.4%32.0%5.9%5.9%-1.6M44.7M-308.4K1.0724.881,0731,14320,11182,943
2009-10-22$21.53$22.5029.7%8.5%32.1%0.1%31.3%7.3%1.7%-1.6M30.9M-304.0K0.9913.383,2763,23720,19883,072
2009-10-23$21.06$22.5035.0%10.0%33.1%6.7%34.8%1.9%2.9%-1.6M36.8M-326.1K5.7613.794312,48322,66285,115
2009-10-26$21.05$22.5034.7%9.9%32.1%6.4%33.9%-0.0%2.9%-1.7M38.7M-323.8K1.3812.9457178922,63986,797
2009-10-27$21.20$22.5034.9%10.0%32.2%6.6%31.4%4.6%1.9%-1.7M37.0M-329.9K2.5616.232,1675,55722,95389,445
2009-10-28$21.10$20.0038.2%11.0%32.2%10.9%36.8%7.4%2.8%-1.6M38.3M-349.4K21.7528.262,04344,43823,84390,380
2009-10-29$21.42$20.0031.3%9.0%30.2%2.1%36.1%6.7%2.3%-2.6M51.4M-455.6K1.3814.7770296624,920126,415
2009-10-30$20.34$20.0041.1%11.8%35.5%14.5%38.2%8.2%0.7%-2.8M70.3M-471.6K1.4623.516,5759,56825,130127,389