KRE Options History — March 2010

In March 2010, KRE traded between $24.38 and $26.81. ATM implied volatility averaged 23.2%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.3% (HV 20d: 17.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.70.

Notable Days

  • 2010-03-02: Highest Volume — 18,536 contracts
  • 2010-03-02: Largest IV drop — 20.0% change
  • 2010-03-01: Highest IV Rank — 16.1%
  • 2010-03-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.79$24.38$26.81$24.38$26.22
Max Pain$24.17$24.00$25.00$24.00$25.00
ATM IV23.2%20.8%27.9%27.9%21.9%
Expected Move6.7%6.1%8.0%8.0%6.3%
HV 20d17.8%15.6%21.2%21.1%15.7%
HV 60d23.7%22.9%24.9%24.9%22.9%
IV Rank9.7%6.0%16.1%16.1%9.6%
IV Percentile3.2%0.4%9.9%9.9%2.4%
Term Structure2.5%0.0%4.2%0.5%2.5%
VWIV24.4%20.3%28.2%28.2%20.3%
Skew 25d4.7%0.7%10.0%7.5%3.5%
Skew 10d8.2%-0.1%18.4%8.0%5.2%
Call IV 25d21.6%18.4%24.0%24.0%20.0%
Put IV 25d26.2%23.5%31.5%31.5%23.5%
Bid-Ask Spread %20.737.0131.519.6322.67
Gamma HHI0.220.110.350.290.11
Net GEX-1.5M-3.2M-692.4K-3.1M-1.1M
Net DEX-12.8M-65.9M20.5M12.9M-334.6K
Net VEX-472.9K-519.8K-401.7K-405.8K-470.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.127.337.330.13
Total Volume4,800.0871,16318,5368,2593,184
Total OI257,606.565123,479347,048293,976130,731

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$24.38$24.0027.9%8.0%21.1%16.1%28.2%7.5%0.5%-3.1M12.9M-405.8K7.339.639927,26741,440252,536
2010-03-02$24.52$24.0022.3%6.4%21.2%8.2%24.2%10.0%2.6%-2.6M8.1M-401.7K5.0611.033,05715,47942,090256,171
2010-03-03$24.48$24.0025.9%7.4%21.0%13.3%23.3%7.8%0.0%-3.1M19.3M-492.3K0.417.013,6231,49844,663269,884
2010-03-04$24.51$24.0021.1%6.1%19.5%6.4%24.5%9.1%3.1%-3.2M20.5M-511.2K0.7310.741,6071,17944,976270,692
2010-03-05$25.17$24.0020.8%6.5%18.5%6.0%23.9%3.9%2.8%-1.5M-17.4M-464.8K0.7626.872,7622,08846,286276,136
2010-03-08$25.07$24.0021.8%6.7%18.5%7.7%23.6%4.2%1.8%-1.5M-15.4M-474.2K1.9727.1346491247,118277,002
2010-03-09$25.07$24.0023.0%6.6%17.7%9.3%24.7%3.8%2.9%-1.6M-12.8M-458.8K1.7431.511,9283,35747,081277,369
2010-03-10$25.49$24.0024.9%7.1%18.1%12.2%25.3%3.4%2.3%-980.8K-29.9M-471.2K4.5926.542,57811,83148,295278,279
2010-03-11$25.83$24.0023.5%6.8%18.2%10.4%26.8%3.3%3.2%-1.0M-34.1M-505.6K0.3526.583,0101,04548,693288,251
2010-03-12$25.70$24.0023.3%6.7%18.3%10.1%26.4%4.2%3.3%-897.8K-32.2M-519.8K0.6819.851,4961,01350,917288,632
2010-03-15$25.72$24.0023.9%6.9%18.3%11.0%26.3%4.7%2.8%-692.4K-34.2M-514.6K6.1422.454202,57751,513288,977
2010-03-16$26.08$24.0023.9%6.9%17.5%11.0%25.5%2.7%2.7%-725.7K-51.3M-477.0K0.5327.011,86899451,538290,884
2010-03-17$26.51$24.0023.4%6.7%17.6%10.2%23.8%0.7%3.0%-1.1M-65.9M-428.3K0.3717.723,5401,31151,985291,499
2010-03-18$26.41$24.0022.8%6.5%17.8%9.4%23.5%3.6%4.2%-917.5K-59.5M-486.9K0.7121.912,1361,51754,322292,726
2010-03-19$26.42$24.0024.5%7.0%17.9%11.8%23.9%4.3%3.2%-1.7M6.9M-481.6K4.6721.7920595827,097294,098
2010-03-22$26.77$24.0022.2%6.4%17.3%8.5%23.7%4.3%3.5%-1.5M143.8K-461.2K1.3626.471,6412,23324,88198,598
2010-03-23$26.81$24.0021.9%6.3%16.8%8.0%25.4%3.7%3.2%-1.2M-3.6M-459.6K0.1218.692,65132126,23199,058
2010-03-24$26.55$24.0022.4%6.4%16.0%8.6%22.7%3.7%1.7%-1.0M-5.3M-471.2K7.2616.982691,95228,77598,976
2010-03-25$26.61$24.0021.9%6.3%15.6%8.0%22.3%3.1%2.1%-1.1M-4.7M-479.6K0.8029.202,3841,89628,922100,752
2010-03-26$26.33$25.0022.9%6.6%15.8%9.4%25.2%6.8%2.6%-1.4M131.4K-485.9K4.6019.784512,07430,411102,072
2010-03-29$26.21$25.0023.4%6.7%15.7%10.2%23.5%4.7%1.7%-1.5M4.2M-495.5K6.2418.181,0306,42330,781103,747
2010-03-30$26.23$25.0022.4%6.4%15.7%8.6%25.1%4.6%2.7%-1.2M-1.1M-459.9K5.5616.921801,00131,29098,576
2010-03-31$26.22$25.0021.9%6.3%15.7%9.6%20.3%3.5%2.5%-1.1M-334.6K-470.9K0.1322.672,80637831,31999,412