KRE Options History — December 2009

In December 2009, KRE traded between $20.78 and $22.67. ATM implied volatility averaged 30.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.7% (HV 20d: 24.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2009-12-02: Highest Volume — 16,440 contracts
  • 2009-12-07: Largest IV spike — 60.9% change
  • 2009-12-07: Highest IV Rank — 23.3%
  • 2009-12-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.68$20.78$22.67$21.00$22.25
Max Pain$20.61$20.00$22.50$20.00$21.00
ATM IV30.6%24.1%39.1%39.1%25.6%
Expected Move8.9%7.0%11.2%11.2%7.3%
HV 20d24.9%21.4%28.6%26.8%21.9%
HV 60d30.3%28.1%32.9%32.4%28.1%
IV Rank9.8%0.0%23.3%15.7%2.4%
IV Percentile4.0%0.0%12.7%12.3%1.6%
Term Structure5.4%-7.1%43.9%-0.5%6.1%
VWIV30.9%17.5%37.7%36.4%25.6%
Skew 25d5.2%-5.6%10.2%6.5%1.7%
Skew 10d10.9%-6.3%22.5%7.5%-6.3%
Call IV 25d29.2%23.5%36.8%31.7%27.2%
Put IV 25d34.3%27.4%40.4%38.2%28.9%
Bid-Ask Spread %16.475.1227.757.1613.92
Gamma HHI0.350.270.480.390.27
Net GEX-641.2K-2.9M760.5K-1.2M698.6K
Net DEX18.0M-10.2M43.8M33.3M-1.7M
Net VEX-387.0K-426.2K-335.6K-409.2K-392.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0810.592.071.60
Total Volume4,255.59115616,4404,064578
Total OI179,673.682127,415214,748183,120151,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$21.00$20.0039.1%11.2%26.8%15.7%36.4%6.5%-0.5%-1.2M33.3M-409.2K2.077.161,3252,73953,382129,738
2009-12-02$21.31$20.0024.9%7.2%27.1%0.0%35.2%5.1%3.9%-660.0K24.7M-405.3K1.159.167,6508,79054,244129,520
2009-12-03$20.78$20.0038.7%11.1%27.3%22.2%32.7%-5.6%-7.1%-1.8M43.8M-426.2K0.845.122,1101,77461,418133,538
2009-12-04$21.39$20.0024.1%9.5%28.4%0.0%37.7%10.2%4.2%-214.2K21.0M-422.5K1.7116.621,3482,29963,397133,640
2009-12-07$21.24$20.0038.7%11.0%28.6%23.3%34.1%9.4%2.5%-354.0K24.4M-414.9K6.8816.863022,07863,589135,325
2009-12-08$21.23$20.0034.3%10.4%27.8%16.3%34.1%6.7%3.1%-818.7K28.8M-412.1K0.3420.761,18740063,613137,101
2009-12-09$21.08$20.0033.3%10.2%27.4%14.7%37.2%6.4%3.4%-1.4M33.9M-401.3K1.8819.2426549963,170137,368
2009-12-10$21.14$20.0035.1%10.1%26.7%17.5%35.7%7.6%3.6%-1.6M35.2M-390.9K0.2413.5643310263,307137,494
2009-12-11$21.20$20.0034.1%9.8%24.8%15.9%36.0%7.4%4.9%-1.6M32.7M-385.2K1.6919.04589863,734137,535
2009-12-14$21.55$20.0035.0%10.0%25.3%17.4%35.0%5.8%4.0%120.8K18.9M-361.6K10.5922.712472,61663,522137,333
2009-12-15$21.33$20.0034.1%9.8%23.4%16.0%36.6%5.0%2.1%-1.5M26.9M-364.7K0.9616.336,3796,12663,639139,405
2009-12-16$21.32$20.0033.0%9.5%22.6%14.1%32.6%7.8%4.3%-2.1M26.0M-368.4K0.7714.7133826069,789144,959
2009-12-17$21.18$20.0032.6%9.3%22.7%13.5%17.5%7.1%4.7%-2.9M34.8M-368.9K0.0813.7812,7281,01367,057145,024
2009-12-18$21.87$22.5028.1%8.1%24.1%6.4%29.3%8.6%7.2%116.8K27.9M-343.4K0.9116.311,02893662,189145,969
2009-12-21$22.13$22.5026.4%7.6%24.4%3.8%26.8%5.7%43.9%-1.0M13.5M-335.6K0.7820.304,2243,29630,91796,498
2009-12-22$22.38$22.5026.5%7.6%23.9%3.9%26.6%4.4%4.7%-827.1K6.9M-370.2K0.1918.859,6371,79134,72799,499
2009-12-23$22.35$21.0026.0%7.5%23.9%3.1%27.4%1.7%5.4%225.0K-3.1M-400.1K0.6027.751,10166344,112101,184
2009-12-24$22.65$21.0025.3%7.2%23.8%1.9%24.8%3.3%4.4%589.5K-8.2M-382.9K1.2414.311,7252,14144,046101,732
2009-12-28$22.56$21.0026.8%7.7%22.4%4.3%26.8%5.1%2.7%597.1K-7.9M-387.5K1.0421.00838645,756103,291
2009-12-29$22.67$21.0026.0%7.5%21.4%3.1%26.3%1.9%3.6%704.8K-10.2M-384.4K0.7517.8589367445,826103,300
2009-12-30$22.41$21.0024.5%7.0%22.0%0.6%24.7%2.1%7.4%760.5K-6.2M-385.7K1.4316.9865994446,528103,826
2009-12-31$22.25$21.0025.6%7.3%21.9%2.4%25.6%1.7%6.1%698.6K-1.7M-392.6K1.6013.9222235647,161104,419