KRE Options History — May 2010

In May 2010, KRE traded between $24.70 and $28.31. ATM implied volatility averaged 39.7%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.7% (HV 20d: 40.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 6.88.

Notable Days

  • 2010-05-06: Highest Volume — 52,360 contracts
  • 2010-05-06: Largest IV spike — 36.9% change
  • 2010-05-20: Highest IV Rank — 82.7%
  • 2010-05-20: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.39$24.70$28.31$27.97$25.21
Max Pain$26.70$26.00$28.00$28.00$26.00
ATM IV39.7%28.9%50.3%31.8%39.0%
Expected Move11.5%8.8%14.4%9.1%11.2%
HV 20d40.5%32.8%44.5%32.8%43.6%
HV 60d28.7%22.8%32.9%22.8%32.9%
IV Rank50.5%22.3%82.7%27.6%54.9%
IV Percentile58.7%27.4%92.1%32.5%57.1%
Term Structure-3.0%-13.6%2.7%-0.2%0.4%
VWIV43.2%33.6%59.3%33.6%42.1%
Skew 25d12.9%6.9%29.7%8.3%10.2%
Skew 10d27.3%13.5%39.0%18.6%25.4%
Call IV 25d34.3%18.5%44.2%29.7%34.1%
Put IV 25d47.1%38.0%61.7%38.0%44.4%
Bid-Ask Spread %25.7814.48108.8024.4418.78
Gamma HHI0.150.090.350.160.10
Net GEX-4.5M-7.1M-2.3M-6.0M-2.3M
Net DEX53.3M-23.2M127.9M27.6M53.7M
Net VEX-646.9K-748.0K-542.2K-743.3K-542.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.880.1944.120.3216.89
Total Volume9,310.984552,3608705,099
Total OI191,463.4156,037214,742214,624159,311

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$27.97$28.0031.8%9.1%32.8%27.6%33.6%8.3%-0.2%-6.0M27.6M-743.3K0.3224.4466021053,563161,061
2010-05-04$26.95$28.0036.0%10.3%33.5%35.1%34.7%8.1%-3.0%-7.1M75.6M-748.0K2.7719.192,0145,58253,554161,188
2010-05-05$27.13$28.0036.4%10.4%33.4%35.8%36.2%6.9%-3.5%-6.8M65.8M-742.0K0.1923.743,76770554,208159,194
2010-05-06$26.14$28.0049.8%14.3%35.7%60.0%41.6%29.7%-13.6%-6.4M104.8M-722.5K8.17108.805,70746,65353,450158,343
2010-05-07$25.65$26.0044.1%12.6%36.1%49.8%45.6%9.8%-5.0%-6.5M127.9M-709.9K2.0650.729,05718,69752,487157,989
2010-05-10$27.10$26.0033.1%10.3%41.4%29.9%39.2%12.4%-0.4%-4.1M28.5M-681.3K1.3525.141,4651,98455,727136,630
2010-05-11$27.52$26.0030.4%10.2%41.6%25.1%39.5%10.9%-1.2%-3.5M4.6M-677.6K13.4414.4894212,66056,807137,440
2010-05-12$28.31$27.5028.9%8.8%41.5%22.3%34.0%10.4%2.7%-2.9M-23.2M-647.4K0.9816.5570769256,975140,853
2010-05-13$28.01$27.5036.1%10.4%41.6%35.4%36.1%10.6%-2.1%-3.1M-12.6M-657.3K0.4217.952,33798256,971140,746
2010-05-14$27.32$27.5038.3%11.0%41.3%49.4%45.2%11.5%-1.6%-4.5M22.5M-680.7K9.5819.538858,47857,721141,154
2010-05-17$27.37$26.0038.9%11.2%41.2%52.3%42.9%13.3%-2.5%-4.6M18.6M-652.4K0.6518.061,19577957,862143,396
2010-05-18$26.59$27.5042.5%12.2%41.9%62.6%40.6%13.2%-6.2%-5.5M55.8M-647.2K5.2318.871,2766,67957,513143,444
2010-05-19$26.37$26.0043.8%12.5%41.0%65.6%59.3%15.0%-4.9%-6.2M70.4M-639.4K12.1218.0689310,82557,441143,842
2010-05-20$24.83$26.0050.3%14.4%43.6%82.7%53.1%17.5%-7.8%-5.2M111.6M-608.3K44.1226.8940918,04457,277137,888
2010-05-21$25.29$26.0049.9%14.3%44.5%81.5%52.0%18.4%-5.4%-5.5M93.4M-603.8K3.2426.811,0173,29957,063133,789
2010-05-24$24.70$26.0045.3%13.0%43.5%70.3%50.0%14.7%-2.7%-2.5M67.9M-564.4K2.2915.2425758845,433110,604
2010-05-25$24.73$26.0043.8%12.6%43.3%66.6%51.9%13.9%-2.0%-2.5M67.2M-561.4K3.1718.931,5154,80845,498110,879
2010-05-26$24.84$26.0040.4%11.6%43.3%58.4%39.1%11.0%-0.4%-2.5M63.4M-551.5K0.5415.5869137146,317114,495
2010-05-27$25.68$26.0035.3%10.1%44.3%45.7%46.5%11.1%0.3%-2.3M43.6M-557.1K9.9717.813913,89846,445114,710
2010-05-28$25.21$26.0039.0%11.2%43.6%54.9%42.1%10.2%0.4%-2.3M53.7M-542.2K16.8918.782854,81446,547112,764