KRE Options History — April 2010

In April 2010, KRE traded between $26.28 and $29.70. ATM implied volatility averaged 24.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.5% (HV 20d: 22.1%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2010-04-13: Highest Volume — 33,584 contracts
  • 2010-04-15: Largest IV spike — 24.9% change
  • 2010-04-27: Highest IV Rank — 27.2%
  • 2010-04-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.98$26.28$29.70$26.28$27.92
Max Pain$27.14$25.00$28.00$25.00$28.00
ATM IV24.6%18.7%31.6%20.4%31.4%
Expected Move7.5%5.8%9.1%5.8%9.0%
HV 20d22.1%13.5%32.9%15.6%32.9%
HV 60d22.1%21.2%23.5%22.3%23.5%
IV Rank14.4%3.9%27.2%6.8%26.8%
IV Percentile13.3%0.4%31.3%0.4%31.3%
Term Structure0.4%-2.0%4.0%3.7%0.1%
VWIV26.8%18.9%33.3%18.9%31.0%
Skew 25d5.5%3.2%8.1%3.9%6.9%
Skew 10d12.5%4.8%21.3%6.5%13.5%
Call IV 25d23.9%17.9%28.9%17.9%28.7%
Put IV 25d29.4%21.8%36.2%21.8%35.7%
Bid-Ask Spread %22.0515.5928.9728.8019.21
Gamma HHI0.130.100.160.100.16
Net GEX-1.9M-6.0M-671.1K-987.2K-6.0M
Net DEX-24.3M-56.6M28.7M-3.5M28.7M
Net VEX-568.2K-768.9K-440.3K-485.2K-768.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.1414.130.893.20
Total Volume8,443.61976733,5843,8802,491
Total OI165,510.952133,318214,729133,318213,815

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$26.28$25.0020.4%5.8%15.6%6.8%18.9%3.9%3.7%-987.2K-3.5M-485.2K0.8928.802,0491,83133,55399,765
2010-04-05$26.59$27.0019.8%6.6%13.5%5.8%25.8%4.0%4.0%-848.9K-13.4M-454.5K1.2720.742,0432,59734,599101,042
2010-04-06$27.50$27.0021.8%6.9%17.1%9.3%24.2%3.2%0.8%-781.6K-31.9M-440.3K0.7916.914,5973,63135,776103,195
2010-04-07$27.20$27.0021.9%7.1%17.9%9.5%24.8%4.3%0.8%-747.9K-28.1M-481.7K1.4915.592,5523,79338,988105,435
2010-04-08$27.41$27.0022.5%7.1%17.4%10.6%26.5%4.7%0.7%-697.4K-32.9M-472.3K2.9524.521,7225,07838,988105,435
2010-04-09$27.54$27.0018.7%6.8%17.0%3.9%24.3%4.8%2.0%-671.1K-37.9M-485.7K1.9221.105561,06542,038104,233
2010-04-12$27.82$27.0020.8%6.7%16.9%7.5%23.2%4.5%1.6%-716.4K-45.6M-456.2K0.4920.7483840841,898104,271
2010-04-13$27.48$27.0023.4%8.5%17.8%12.3%29.5%5.3%-2.0%-823.7K-35.0M-484.6K4.9824.165,61227,97242,066104,374
2010-04-14$28.32$27.0020.9%7.5%19.9%7.8%26.6%5.8%-1.7%-2.2M-42.8M-536.1K0.6925.057,8535,40245,959127,658
2010-04-15$28.40$27.0026.2%7.5%19.4%17.2%26.4%4.7%-1.8%-1.9M-45.7M-574.4K2.1623.153,5627,68748,788122,508
2010-04-16$27.59$28.0027.3%7.8%22.4%19.2%28.0%5.1%-0.3%-2.6M-18.2M-638.8K2.4921.942,9887,42851,923128,319
2010-04-19$27.73$27.0026.7%7.7%22.4%18.2%26.3%6.6%0.3%-2.7M190.2K-634.1K0.2818.055,2661,46844,186121,973
2010-04-20$28.18$27.0026.3%7.5%22.7%17.4%27.8%6.8%-0.3%-2.2M-14.6M-606.5K1.7920.6827549244,554121,761
2010-04-21$28.76$27.0024.0%6.9%23.5%13.3%25.5%5.9%0.2%-1.6M-33.2M-580.2K1.4821.661,6612,46044,598122,008
2010-04-22$29.58$27.0022.7%6.5%24.5%11.1%24.8%5.1%1.0%-1.0M-56.6M-530.2K3.1316.041,3084,09545,807123,088
2010-04-23$29.70$27.0023.4%6.7%24.5%12.3%25.9%5.5%0.5%-1.0M-56.4M-552.0K0.1419.521,52021346,671125,736
2010-04-26$28.61$27.0027.6%7.9%28.4%19.9%29.9%5.5%0.1%-1.9M-27.6M-609.3K2.3128.975,11011,79947,540125,909
2010-04-27$28.00$28.0031.6%9.1%29.7%27.2%31.7%7.3%-0.7%-2.7M-349.0K-718.0K0.6226.632,2921,42252,239136,265
2010-04-28$28.09$28.0031.3%9.0%29.6%26.6%33.3%8.0%-0.3%-2.5M-5.7M-688.5K14.1324.192,10629,75752,346131,694
2010-04-29$28.78$28.0027.9%8.0%30.5%20.5%28.9%8.1%-0.5%-4.5M-10.6M-734.8K0.2925.311,80151654,079160,650
2010-04-30$27.92$28.0031.4%9.0%32.9%26.8%31.0%6.9%0.1%-6.0M28.7M-768.9K3.2019.215931,89853,426160,389