KRE Options History — November 2009

In November 2009, KRE traded between $19.58 and $21.22. ATM implied volatility averaged 37.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.5% (HV 20d: 34.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 3.23.

Notable Days

  • 2009-11-19: Highest Volume — 26,028 contracts
  • 2009-11-06: Largest IV drop — 21.4% change
  • 2009-11-30: Highest IV Rank — 17.5%
  • 2009-11-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.51$19.58$21.22$20.10$21.03
Max Pain$20.13$20.00$22.50$20.00$20.00
ATM IV37.1%30.6%41.2%40.3%40.2%
Expected Move10.8%9.9%11.8%11.5%11.5%
HV 20d34.5%27.2%39.0%35.4%27.2%
HV 60d33.5%32.2%35.3%35.3%32.4%
IV Rank10.2%1.2%17.5%13.5%17.5%
IV Percentile7.5%1.2%14.3%7.9%14.3%
Term Structure2.1%-3.7%5.3%1.3%-3.7%
VWIV36.3%27.6%42.0%40.2%35.7%
Skew 25d7.2%2.5%9.7%5.6%6.0%
Skew 10d15.0%3.7%22.0%9.4%17.8%
Call IV 25d34.7%30.0%43.2%40.2%35.4%
Put IV 25d41.9%39.1%46.9%45.9%41.3%
Bid-Ask Spread %13.577.2032.0225.168.96
Gamma HHI0.440.360.500.470.38
Net GEX-2.4M-3.3M-701.9K-3.2M-1.4M
Net DEX56.9M27.0M86.4M80.6M37.4M
Net VEX-460.3K-494.1K-418.0K-494.1K-418.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.2622.101.551.70
Total Volume6,066.4530926,0285,4201,642
Total OI175,277.8161,870201,118163,690179,492

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$20.10$20.0040.3%11.5%35.4%13.5%40.2%5.6%1.3%-3.2M80.6M-494.1K1.5525.162,1283,29230,272133,418
2009-11-03$20.05$20.0040.8%11.7%34.7%14.1%40.3%5.5%1.3%-3.0M78.9M-493.1K5.5925.511,6909,44031,890133,562
2009-11-04$19.58$20.0041.2%11.8%35.4%14.6%41.1%3.6%-0.0%-3.0M86.4M-475.4K4.7618.025022,39031,955129,915
2009-11-05$19.91$20.0038.9%11.1%35.7%11.7%38.6%2.5%1.9%-2.9M80.2M-474.9K1.7732.0253093632,244130,461
2009-11-06$19.93$22.5030.6%9.9%35.0%1.2%35.3%7.6%3.9%-3.3M83.0M-457.8K1.0913.447,1267,75632,539130,967
2009-11-09$20.37$20.0032.3%10.1%36.2%3.4%27.6%9.6%4.3%-3.0M61.8M-470.6K1.3412.142,1492,88837,525133,933
2009-11-10$20.10$20.0033.1%9.9%36.4%4.4%36.0%8.1%4.4%-3.3M75.6M-463.8K6.519.2211272937,304133,789
2009-11-11$20.49$20.0032.6%10.0%36.2%3.8%32.5%9.6%4.5%-3.2M62.7M-465.7K2.2611.6333475537,311133,843
2009-11-12$19.99$20.0035.4%10.2%36.9%7.4%35.4%7.4%4.1%-3.3M77.9M-456.4K1.079.9893499737,274133,780
2009-11-13$20.11$20.0034.8%10.0%36.7%6.6%30.3%9.7%5.3%-3.2M71.2M-455.9K1.7814.706561,17038,033134,275
2009-11-16$20.75$20.0035.6%10.2%38.7%7.5%35.1%8.0%4.3%-3.0M51.7M-445.0K0.5411.901,47079138,238135,084
2009-11-17$21.13$20.0037.8%10.8%39.0%10.4%35.6%6.6%2.6%-2.7M41.3M-436.7K0.269.3819,3134,98538,163134,861
2009-11-18$21.15$20.0037.5%10.7%36.6%9.9%34.8%6.9%2.3%-1.6M29.4M-455.7K0.768.0169653252,694134,606
2009-11-19$20.74$20.0039.9%11.4%32.1%13.0%40.3%8.0%1.7%-1.9M40.5M-459.7K2.147.208,27717,75153,225134,279
2009-11-20$20.85$20.0038.0%10.9%31.2%10.6%36.5%7.0%2.8%-1.7M38.3M-483.4K0.6710.2099166560,235140,883
2009-11-23$21.22$20.0038.6%11.1%31.9%11.6%39.7%8.8%-1.0%-935.8K30.6M-454.3K0.2712.406,6591,77652,514127,822
2009-11-24$21.14$20.0037.6%10.8%31.8%13.2%36.2%7.3%0.7%-701.9K27.0M-472.6K5.4711.272491,36358,267127,663
2009-11-25$20.98$20.0038.1%10.9%31.9%14.1%32.4%7.6%0.6%-1.2M34.3M-443.4K3.078.167623353,137128,472
2009-11-27$20.57$20.0038.6%11.1%32.1%14.9%42.0%7.8%0.9%-1.8M48.3M-430.0K22.1012.083187,02853,175128,456
2009-11-30$21.03$20.0040.2%11.5%27.2%17.5%35.7%6.0%-3.7%-1.4M37.4M-418.0K1.708.966091,03353,327126,165