KRE Options History — January 2010

In January 2010, KRE traded between $22.18 and $24.93. ATM implied volatility averaged 27.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.2% (HV 20d: 25.6%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 9.02.

Notable Days

2010-01-22: Highest Volume — 86,345 contracts
2010-01-14: Largest IV spike — 60.6% change
2010-01-29: Highest IV Rank — 24.5%
2010-01-29: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.72	$22.18	$24.93	$22.70	$24.07
Max Pain	$22.68	$22.00	$24.00	$22.00	$24.00
ATM IV	27.8%	16.6%	33.9%	26.4%	33.9%
Expected Move	8.6%	7.6%	9.7%	8.5%	9.7%
HV 20d	25.6%	20.1%	31.3%	20.2%	31.3%
HV 60d	28.5%	26.2%	29.9%	28.4%	26.5%
IV Rank	12.6%	0.0%	24.5%	3.6%	24.5%
IV Percentile	7.2%	0.0%	16.7%	2.8%	16.7%
Term Structure	2.0%	-0.5%	3.8%	3.1%	1.8%
VWIV	30.1%	25.6%	34.1%	30.3%	33.2%
Skew 25d	5.5%	3.8%	6.9%	5.8%	6.4%
Skew 10d	12.9%	7.2%	25.3%	12.5%	18.5%
Call IV 25d	27.5%	23.6%	30.9%	27.5%	30.8%
Put IV 25d	33.0%	28.7%	37.5%	33.3%	37.2%
Bid-Ask Spread %	23.00	15.40	28.96	25.77	21.61
Gamma HHI	0.26	0.20	0.35	0.28	0.32
Net GEX	198.5K	-3.4M	1.8M	1.2M	-3.4M
Net DEX	-18.3M	-56.5M	33.7M	-11.4M	33.7M
Net VEX	-395.8K	-617.0K	-278.6K	-372.0K	-617.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.02	0.08	57.73	1.29	0.50
Total Volume	9,272.895	480	86,345	755	2,102
Total OI	186,227.737	148,395	281,727	151,705	281,727

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$22.70	$22.00	26.4%	8.5%	20.2%	3.6%	30.3%	5.8%	3.1%	1.2M	-11.4M	-372.0K	1.29	25.77	329	426	47,258	104,447
2010-01-05	$22.18	$23.00	25.2%	9.0%	20.3%	1.8%	31.4%	6.4%	1.0%	934.5K	551.0K	-365.8K	0.67	28.50	798	532	47,405	104,814
2010-01-06	$22.35	$22.00	25.3%	8.9%	20.1%	1.9%	31.1%	5.5%	1.0%	1.2M	-2.5M	-363.6K	3.10	25.76	146	452	48,054	105,259
2010-01-07	$23.14	$22.00	24.7%	8.3%	23.1%	1.0%	27.5%	5.3%	3.5%	1.5M	-27.7M	-334.1K	0.08	24.95	8,690	677	48,152	105,679
2010-01-08	$23.57	$22.00	21.6%	7.8%	23.2%	0.0%	28.3%	5.9%	2.5%	1.6M	-41.3M	-328.2K	1.73	25.22	343	593	51,356	106,122
2010-01-11	$23.21	$22.00	28.7%	8.2%	24.3%	10.8%	30.4%	4.7%	3.8%	1.7M	-34.3M	-323.8K	57.73	21.25	102	5,888	51,490	106,166
2010-01-12	$23.05	$22.00	26.4%	8.1%	24.7%	7.4%	31.0%	5.2%	2.8%	1.8M	-27.2M	-349.7K	6.27	28.96	66	414	51,537	109,536
2010-01-13	$23.26	$22.00	16.6%	8.3%	24.3%	0.0%	27.3%	5.0%	-0.5%	1.0M	-37.6M	-329.5K	0.94	27.53	2,775	2,608	51,598	109,595
2010-01-14	$23.97	$22.00	26.7%	7.6%	25.4%	14.3%	27.0%	3.8%	2.7%	951.7K	-56.5M	-305.5K	0.27	21.52	2,470	674	52,489	109,246
2010-01-15	$23.68	$22.00	26.8%	7.7%	26.1%	14.5%	28.4%	3.9%	2.5%	841.7K	-47.7M	-314.3K	4.27	22.22	508	2,168	53,025	110,442
2010-01-19	$24.22	$22.00	26.6%	7.6%	26.4%	14.2%	25.6%	5.3%	3.8%	965.7K	-30.6M	-289.3K	1.38	27.77	609	840	40,972	107,423
2010-01-20	$24.18	$22.00	27.6%	7.9%	24.8%	15.6%	30.6%	5.5%	1.4%	971.1K	-29.2M	-300.0K	11.91	23.82	102	1,215	41,542	107,635
2010-01-21	$24.93	$22.00	28.3%	8.1%	26.3%	16.7%	28.0%	3.9%	1.2%	1.2M	-44.7M	-278.6K	1.31	15.40	9,337	12,236	41,621	108,498
2010-01-22	$24.35	$24.00	33.2%	9.5%	28.2%	23.6%	34.1%	6.6%	1.6%	828.3K	-25.6M	-385.6K	19.29	18.54	4,255	82,090	49,174	120,287
2010-01-25	$24.16	$24.00	33.5%	9.6%	28.5%	24.1%	31.1%	6.9%	1.8%	-1.9M	8.0M	-541.2K	25.28	21.18	482	12,184	49,430	201,010
2010-01-26	$24.13	$24.00	33.2%	9.5%	28.3%	23.6%	32.6%	6.3%	1.0%	-2.8M	20.4M	-578.4K	8.65	20.53	817	7,069	49,332	216,845
2010-01-27	$24.89	$24.00	31.1%	8.9%	29.8%	20.6%	33.4%	6.3%	1.1%	-2.2M	-3.0M	-559.9K	9.78	20.17	400	3,911	49,406	224,134
2010-01-28	$24.57	$24.00	31.7%	9.1%	30.5%	21.4%	30.6%	5.5%	2.0%	-2.6M	9.4M	-583.6K	17.03	16.31	437	7,440	49,580	226,041
2010-01-29	$24.07	$24.00	33.9%	9.7%	31.3%	24.5%	33.2%	6.4%	1.8%	-3.4M	33.7M	-617.0K	0.50	21.61	1,400	702	49,538	232,189