KRE Options History — February 2010

In February 2010, KRE traded between $22.81 and $24.90. ATM implied volatility averaged 32.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.9% (HV 20d: 27.2%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 5.31.

Notable Days

2010-02-19: Highest Volume — 25,315 contracts
2010-02-22: Largest IV drop — 11.7% change
2010-02-08: Highest IV Rank — 31.2%
2010-02-05: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.77	$22.81	$24.90	$24.01	$24.53
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	32.1%	25.0%	38.6%	33.7%	25.0%
Expected Move	9.3%	7.2%	11.3%	9.6%	7.2%
HV 20d	27.2%	22.3%	31.8%	31.1%	22.3%
HV 60d	25.7%	24.8%	26.9%	26.5%	24.8%
IV Rank	22.0%	11.9%	31.2%	24.2%	11.9%
IV Percentile	14.7%	2.4%	28.2%	16.7%	2.4%
Term Structure	0.1%	-3.9%	2.7%	1.3%	1.7%
VWIV	33.9%	25.3%	42.7%	34.4%	25.3%
Skew 25d	7.1%	4.2%	8.8%	5.6%	6.5%
Skew 10d	16.9%	-1.0%	25.6%	13.8%	9.0%
Call IV 25d	29.9%	23.5%	35.4%	31.9%	23.5%
Put IV 25d	36.9%	29.9%	43.2%	37.6%	29.9%
Bid-Ask Spread %	15.32	9.61	24.07	19.73	12.52
Gamma HHI	0.29	0.24	0.34	0.33	0.29
Net GEX	-4.2M	-6.5M	2.3M	-3.7M	-3.1M
Net DEX	57.4M	-3.9M	110.1M	38.1M	13.2M
Net VEX	-548.4K	-690.5K	-350.7K	-598.1K	-415.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.31	0.14	22.77	1.30	0.14
Total Volume	6,847.105	343	25,315	7,762	2,123
Total OI	299,519.316	282,265	315,979	282,265	292,282

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
2010-02-01	$24.01	$24.00	33.7%	9.6%	31.1%	24.2%	34.4%	5.6%	1.3%	-3.7M	38.1M	-598.1K	1.30	19.73	3,379	4,383	49,913	232,352
2010-02-02	$23.85	$24.00	32.3%	9.2%	30.7%	22.2%	32.4%	5.4%	2.0%	-3.6M	41.5M	-606.3K	17.07	23.34	486	8,295	52,750	236,124
2010-02-03	$23.38	$24.00	34.3%	9.8%	30.3%	25.2%	34.1%	5.8%	-0.9%	-5.0M	69.9M	-628.0K	0.99	24.07	1,287	1,280	52,891	242,677
2010-02-04	$22.81	$24.00	35.6%	10.2%	31.8%	27.0%	34.4%	4.2%	2.7%	-5.8M	96.9M	-662.2K	14.47	22.03	1,064	15,398	52,638	243,152
2010-02-05	$23.11	$24.00	37.4%	11.3%	29.6%	29.6%	42.7%	8.4%	-3.6%	-6.1M	103.6M	-690.5K	4.20	13.66	648	2,720	52,225	254,154
2010-02-08	$22.85	$24.00	38.6%	11.3%	29.0%	31.2%	41.8%	8.5%	-3.9%	-6.5M	110.1M	-660.6K	0.17	14.24	2,019	342	52,453	251,139
2010-02-09	$23.07	$24.00	36.5%	11.2%	28.8%	28.3%	37.0%	8.8%	-3.4%	-6.1M	99.1M	-648.6K	0.44	13.38	2,313	1,010	53,915	252,437
2010-02-10	$23.34	$24.00	33.4%	10.1%	29.0%	23.8%	40.4%	8.8%	-1.6%	-5.6M	84.2M	-622.8K	9.13	13.31	392	3,578	55,153	253,174
2010-02-11	$23.26	$24.00	34.3%	9.8%	28.8%	25.2%	36.5%	8.6%	-0.3%	-5.8M	87.8M	-617.3K	5.67	14.25	2,021	11,458	53,294	253,834
2010-02-12	$23.34	$24.00	32.8%	9.4%	26.6%	23.1%	34.3%	8.2%	0.8%	-5.8M	84.1M	-599.4K	22.77	17.16	265	6,034	54,525	256,750
2010-02-16	$23.86	$24.00	33.7%	9.7%	27.5%	24.2%	34.5%	7.9%	-0.2%	-4.8M	61.5M	-577.2K	7.41	15.66	200	1,481	54,719	259,755
2010-02-17	$23.72	$24.00	32.3%	9.3%	26.3%	22.3%	32.6%	7.8%	0.7%	-4.6M	61.6M	-526.7K	1.47	12.73	5,253	7,703	54,819	255,232
2010-02-18	$23.95	$24.00	31.2%	8.9%	26.6%	20.7%	30.8%	6.6%	1.2%	-2.8M	52.2M	-512.0K	0.96	14.60	175	168	55,389	260,590
2010-02-19	$24.04	$24.00	30.4%	8.7%	24.0%	19.7%	28.0%	6.6%	1.2%	2.3M	42.1M	-490.9K	0.95	14.86	12,974	12,341	50,980	260,624
2010-02-22	$24.51	$24.00	26.9%	7.7%	23.7%	14.6%	35.8%	7.5%	1.5%	-3.9M	18.8M	-415.8K	4.25	12.47	1,571	6,670	38,372	247,571
2010-02-23	$24.32	$24.00	29.4%	8.4%	23.7%	18.2%	29.8%	5.7%	0.6%	-4.0M	23.2M	-418.2K	1.66	12.28	295	490	38,874	245,724
2010-02-24	$24.90	$24.00	26.1%	7.5%	25.0%	13.5%	31.1%	7.2%	1.5%	-2.3M	-3.9M	-350.7K	1.67	9.61	996	1,662	38,968	245,976
2010-02-25	$24.75	$24.00	26.5%	7.6%	22.6%	14.0%	27.7%	6.8%	1.4%	-3.1M	5.8M	-379.2K	6.24	11.11	1,053	6,568	38,970	246,472
2010-02-26	$24.53	$24.00	25.0%	7.2%	22.3%	11.9%	25.3%	6.5%	1.7%	-3.1M	13.2M	-415.6K	0.14	12.52	1,859	264	39,826	252,456