KRE Options History — July 2010

In July 2010, KRE traded between $22.21 and $25.12. ATM implied volatility averaged 33.6%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 1.1% (HV 20d: 34.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.66.

Notable Days

  • 2010-07-29: Highest Volume — 49,355 contracts
  • 2010-07-12: Largest IV spike — 29.8% change
  • 2010-07-06: Highest IV Rank — 83.3%
  • 2010-07-06: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.61$22.21$25.12$22.74$23.77
Max Pain$24.48$24.00$25.00$25.00$24.00
ATM IV33.6%28.0%45.3%36.6%31.3%
Expected Move9.7%8.8%11.3%10.5%9.0%
HV 20d34.7%24.5%42.3%32.4%39.8%
HV 60d38.4%36.6%39.9%36.7%38.9%
IV Rank49.4%33.1%83.3%58.1%42.6%
IV Percentile43.9%26.2%86.9%52.8%35.3%
Term Structure1.6%-0.2%3.3%1.5%3.0%
VWIV33.8%23.9%44.1%38.4%31.5%
Skew 25d7.2%4.8%13.6%6.4%6.2%
Skew 10d13.3%-2.2%25.2%-2.2%10.4%
Call IV 25d30.1%23.7%35.4%35.4%28.0%
Put IV 25d37.3%33.1%44.0%41.7%34.2%
Bid-Ask Spread %26.8317.9542.5237.1517.95
Gamma HHI0.160.110.300.150.15
Net GEX-1.9M-2.6M-1.3M-1.8M-2.2M
Net DEX54.1M31.1M69.4M65.1M61.7M
Net VEX-326.2K-518.1K-277.9K-335.7K-518.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.660.0923.161.113.85
Total Volume3,686.33311149,3558282,021
Total OI101,384.1993,037146,80498,073146,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$22.74$25.0036.6%10.5%32.4%58.1%38.4%6.4%1.5%-1.8M65.1M-335.7K1.1137.1539243633,69264,381
2010-07-02$22.50$25.0036.4%10.4%24.5%57.6%35.2%6.0%3.3%-1.8M68.2M-320.3K15.0029.031902,85033,84864,537
2010-07-06$22.45$25.0045.3%11.3%24.5%83.3%44.1%10.2%0.5%-1.9M69.4M-322.4K3.2728.034815733,99466,507
2010-07-07$23.46$25.0034.9%9.9%29.5%53.2%34.0%4.8%2.3%-2.3M60.5M-329.4K0.6428.1330819734,01166,264
2010-07-08$23.75$25.0030.1%9.7%29.7%39.3%38.2%5.4%0.7%-2.3M56.2M-335.2K1.8526.91397234,24166,261
2010-07-09$24.27$25.0028.0%9.3%28.6%33.1%30.6%5.9%1.6%-2.3M47.4M-339.8K0.2827.302557134,27166,238
2010-07-12$24.10$25.0036.4%9.6%28.5%57.4%35.3%5.2%1.1%-2.3M48.9M-334.5K16.3423.651201,96134,34166,270
2010-07-13$25.12$25.0029.5%8.8%32.1%37.4%33.5%5.2%1.8%-1.7M31.1M-342.5K0.2326.231,79242134,42666,273
2010-07-14$24.67$25.0031.0%9.4%32.0%41.8%35.6%6.5%1.7%-1.9M38.4M-348.0K8.4619.231551,31135,50266,476
2010-07-15$24.40$25.0033.4%9.6%32.2%48.8%34.0%5.1%1.8%-2.6M44.1M-339.6K0.1125.951,40515634,80167,393
2010-07-16$23.34$24.0036.7%10.5%35.6%58.3%36.3%9.1%-0.2%-2.4M62.8M-316.9K1.5525.168001,24435,99767,452
2010-07-19$23.10$24.0034.8%10.0%35.7%52.7%33.8%8.0%1.0%-1.3M54.9M-296.0K1.1130.1418320434,35558,682
2010-07-20$23.28$24.0032.2%9.2%35.9%45.2%33.6%4.9%2.0%-1.5M54.9M-288.5K2.4338.189122134,41758,808
2010-07-21$22.21$24.0037.5%10.7%39.0%60.5%23.9%13.6%2.4%-1.4M60.1M-277.9K7.8242.523482,72234,49158,902
2010-07-22$23.10$24.0032.6%9.4%41.8%46.5%31.7%6.6%0.8%-1.7M60.3M-290.4K1.6028.646461,03234,74661,522
2010-07-23$23.42$24.0032.9%9.4%41.9%47.2%31.4%7.4%2.1%-1.6M56.8M-294.9K0.0921.095565135,33361,953
2010-07-26$24.06$24.0032.1%9.2%42.1%45.0%35.1%11.4%1.4%-1.7M48.5M-296.5K23.1625.931764,07735,37061,976
2010-07-27$24.29$24.0031.9%9.1%42.3%44.2%28.5%7.6%2.0%-1.8M45.3M-314.3K3.5418.9525891335,43765,989
2010-07-28$23.94$24.0031.6%9.0%40.6%43.4%33.5%8.0%1.4%-1.8M50.5M-307.5K3.3721.704113835,62766,176
2010-07-29$23.88$24.0031.2%8.9%40.2%42.3%30.9%7.4%1.8%-1.9M51.3M-301.2K2.0521.4816,17533,18035,58565,719
2010-07-30$23.77$24.0031.3%9.0%39.8%42.6%31.5%6.2%3.0%-2.2M61.7M-518.1K3.8517.954171,60450,51096,294