KRE Options History — June 2010

In June 2010, KRE traded between $23.09 and $25.35. ATM implied volatility averaged 36.2%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.5% (HV 20d: 39.7%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 14.10.

Notable Days

  • 2010-06-09: Highest Volume — 8,142 contracts
  • 2010-06-29: Largest IV spike — 23.4% change
  • 2010-06-07: Highest IV Rank — 75.1%
  • 2010-06-04: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.29$23.09$25.35$24.54$23.09
Max Pain$24.41$23.00$26.00$26.00$25.00
ATM IV36.2%28.5%46.9%42.5%38.9%
Expected Move10.3%8.2%12.3%12.2%11.1%
HV 20d39.7%32.3%47.9%44.2%32.3%
HV 60d35.8%32.9%37.3%32.9%36.7%
IV Rank51.0%32.8%75.1%63.4%64.6%
IV Percentile49.2%27.0%87.3%69.4%63.1%
Term Structure0.8%-1.8%4.2%-1.8%0.1%
VWIV36.2%28.1%45.7%43.1%36.8%
Skew 25d8.8%5.3%11.9%11.9%10.3%
Skew 10d19.8%6.6%33.8%18.5%6.6%
Call IV 25d32.3%25.6%38.9%38.9%32.9%
Put IV 25d41.0%33.0%50.7%50.7%43.2%
Bid-Ask Spread %23.9514.9739.1819.8528.27
Gamma HHI0.180.120.400.120.16
Net GEX-2.7M-5.2M-1.2M-3.0M-1.8M
Net DEX69.3M34.5M108.6M75.5M60.7M
Net VEX-420.2K-518.7K-346.9K-518.7K-346.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.100.09129.501.150.78
Total Volume2,185.6822058,142594434
Total OI140,443.04591,104171,667164,23398,028

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$24.54$26.0042.5%12.2%44.2%63.4%43.1%11.9%-1.8%-3.0M75.5M-518.7K1.1519.8527631846,660117,573
2010-06-02$25.33$26.0039.4%11.3%44.6%55.8%37.5%10.7%-1.2%-2.7M56.4M-516.9K0.0918.833623146,804117,632
2010-06-03$25.35$26.0038.2%10.9%44.5%53.3%40.1%8.6%-1.8%-2.7M54.9M-507.9K2.9114.976719547,037117,639
2010-06-04$23.81$23.0044.2%12.3%47.9%68.4%44.3%11.1%-1.4%-3.1M91.2M-476.5K22.3925.191262,82147,076117,748
2010-06-07$23.62$24.0046.9%12.2%47.6%75.1%40.1%11.5%-1.5%-3.3M100.9M-461.1K1.2719.7932441046,976119,600
2010-06-08$23.61$24.0042.8%11.6%42.2%64.7%38.3%10.5%-1.1%-3.5M104.3M-442.6K2.0720.971,3932,88547,174119,593
2010-06-09$23.40$24.0038.5%12.2%41.4%54.1%45.7%11.2%-1.5%-3.4M108.6M-414.7K24.2122.163237,81947,234118,464
2010-06-10$24.13$24.0038.3%11.0%41.7%53.7%38.3%9.2%-0.5%-3.3M90.2M-435.2K0.3322.5431510547,298119,400
2010-06-11$24.37$24.0038.1%10.9%42.1%53.2%37.6%9.4%-0.9%-3.5M84.6M-432.4K0.4022.9125910347,448119,406
2010-06-14$24.31$24.0038.7%11.1%41.6%54.6%35.3%6.5%0.2%-3.4M86.1M-417.8K1.7129.0512120747,595119,366
2010-06-15$24.84$24.0033.2%9.5%42.7%41.0%39.7%7.2%2.1%-3.3M71.1M-420.3K16.9823.483095,24747,499119,337
2010-06-16$24.88$24.0032.2%9.2%41.8%38.5%35.2%7.6%2.5%-4.0M79.2M-433.8K15.5321.192063,20047,338124,329
2010-06-17$24.91$24.0030.6%8.8%41.7%34.6%33.9%5.3%4.2%-5.2M73.9M-398.5K129.5018.99425,43947,252120,177
2010-06-18$24.88$24.0029.2%8.4%35.8%34.6%31.2%7.3%3.7%-3.6M72.2M-394.9K18.0824.731182,13345,776116,536
2010-06-21$24.84$24.0028.5%8.2%35.2%32.8%28.1%7.3%3.6%-1.2M34.5M-379.7K0.4820.6685740932,43558,669
2010-06-22$24.46$24.0031.9%9.1%34.6%42.1%33.9%8.2%2.3%-1.3M38.5M-375.8K13.6629.563454,71333,12658,974
2010-06-23$24.13$24.0031.4%9.0%34.9%42.9%29.9%9.3%3.2%-1.4M44.0M-372.1K15.3428.531462,24033,33859,901
2010-06-24$23.78$24.0033.1%9.5%35.1%48.0%32.7%6.8%1.3%-1.6M49.6M-375.4K32.5425.44692,24533,45262,724
2010-06-25$24.37$25.0031.2%8.9%34.1%42.2%30.9%8.3%2.6%-1.7M45.7M-381.6K8.1727.439073533,46963,914
2010-06-28$24.27$25.0030.8%8.8%33.6%41.2%29.1%6.9%3.5%-1.7M45.4M-381.1K1.7523.1016128233,50264,300
2010-06-29$23.44$25.0038.0%10.9%34.5%62.1%33.6%8.3%1.1%-1.7M56.7M-360.6K0.9339.181069933,61064,338
2010-06-30$23.09$25.0038.9%11.1%32.3%64.6%36.8%10.3%0.1%-1.8M60.7M-346.9K0.7828.2724419033,64564,383