KRE Options History — August 2010

In August 2010, KRE traded between $20.94 and $24.24. 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 above realized volatility by 1.8% (HV 20d: 31.8%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 11.11.

Notable Days

  • 2010-08-20: Highest Volume — 11,617 contracts
  • 2010-08-30: Largest IV spike — 13.1% change
  • 2010-08-30: Highest IV Rank — 64.2%
  • 2010-08-30: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$20.94$24.24$24.24$21.12
Max Pain$26.45$24.00$27.00$24.00$27.00
ATM IV33.6%29.1%38.7%31.4%37.4%
Expected Move9.7%8.8%11.1%9.0%10.7%
HV 20d31.8%24.1%40.0%39.9%27.4%
HV 60d35.0%31.5%38.5%38.5%31.6%
IV Rank49.4%36.2%64.2%43.0%60.2%
IV Percentile50.0%28.6%77.0%36.9%67.9%
Term Structure1.2%-0.4%2.9%1.4%2.3%
VWIV34.1%29.6%40.4%32.3%30.0%
Skew 25d5.9%4.3%7.1%6.2%5.5%
Skew 10d13.2%8.5%27.0%10.8%14.3%
Call IV 25d31.1%27.7%36.0%27.8%34.9%
Put IV 25d37.0%33.6%42.8%34.0%40.4%
Bid-Ask Spread %8.515.6312.0010.115.85
Gamma HHI0.160.150.180.150.15
Net GEX-3.0M-3.6M-2.2M-2.2M-3.2M
Net DEX92.0M53.2M113.8M53.2M111.2M
Net VEX-429.7K-514.4K-363.3K-514.4K-382.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.110.08100.321.900.79
Total Volume3,083.5918611,617608463
Total OI150,775.591142,909160,236147,662151,018

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$24.24$24.0031.4%9.0%39.9%43.0%32.3%6.2%1.4%-2.2M53.2M-514.4K1.9010.1121039850,55397,109
2010-08-03$24.11$24.0031.2%9.0%40.0%42.4%30.3%5.4%1.5%-2.4M56.5M-503.2K0.3511.392147450,65597,239
2010-08-04$24.16$24.0030.8%8.8%37.1%41.3%29.6%6.3%1.6%-2.3M55.6M-499.0K0.3910.60622450,76297,287
2010-08-05$23.94$24.0030.7%8.8%37.0%40.8%30.7%5.7%1.3%-2.5M61.4M-489.1K11.3112.003944150,80297,295
2010-08-06$23.64$27.0029.1%9.0%36.4%36.2%36.4%6.2%0.7%-2.7M70.1M-479.0K13.9211.392433450,83497,721
2010-08-09$24.05$27.0029.4%8.9%36.9%37.1%30.7%6.4%0.9%-2.6M58.6M-480.9K6.538.673824850,82697,892
2010-08-10$23.58$27.0030.4%9.0%34.0%40.2%30.9%6.4%1.0%-2.8M69.5M-469.0K1.068.92626650,83298,008
2010-08-11$22.53$27.0034.2%9.8%36.9%51.1%35.3%5.8%0.2%-3.0M93.3M-427.7K8.2310.327996,57950,82097,993
2010-08-12$22.15$27.0036.0%10.3%37.1%56.4%40.0%6.9%-0.4%-3.1M102.9M-421.0K4.059.406012,43251,458100,030
2010-08-13$21.95$27.0034.7%9.9%34.1%52.5%35.0%6.2%1.1%-3.2M107.9M-405.4K18.808.41661,24151,016101,329
2010-08-16$22.09$27.0034.5%9.9%34.2%51.8%36.2%7.1%0.2%-3.2M107.2M-397.3K1.228.452,6643,26351,048101,385
2010-08-17$22.40$27.0034.2%9.8%34.5%51.0%33.9%5.9%0.4%-3.3M100.6M-422.2K100.329.53373,71253,682103,749
2010-08-18$22.46$27.0033.2%9.5%30.1%48.1%33.8%5.2%0.7%-3.6M103.4M-427.3K2.717.298924153,695106,541
2010-08-19$21.91$27.0033.6%9.6%27.6%49.3%38.2%6.4%1.1%-3.3M111.2M-412.3K7.568.784013,03253,707105,951
2010-08-20$21.79$27.0031.7%9.1%26.9%43.7%29.9%6.4%2.4%-3.0M113.8M-399.4K1.525.934,6117,00653,981105,711
2010-08-23$21.43$27.0034.1%9.8%24.7%50.6%32.6%4.3%1.5%-3.0M105.6M-391.0K0.087.106,30748049,19798,611
2010-08-24$21.32$27.0035.6%10.2%24.1%55.1%35.4%4.7%1.0%-3.2M111.0M-363.3K55.036.771498,20044,11098,799
2010-08-25$21.37$27.0037.2%10.7%24.1%59.8%36.2%5.6%1.8%-3.1M109.3M-380.3K1.436.624,3206,15644,20999,980
2010-08-26$21.21$27.0037.7%10.8%24.1%61.1%37.3%5.4%2.3%-3.1M109.0M-396.9K3.705.6317163247,433102,619
2010-08-27$21.71$27.0034.2%9.8%26.2%51.1%34.3%5.9%2.9%-3.2M101.2M-409.6K0.876.8574865447,530102,720
2010-08-30$20.94$27.0038.7%11.1%26.9%64.2%40.4%6.8%1.6%-3.1M112.3M-382.5K2.587.3015439747,897103,029
2010-08-31$21.12$27.0037.4%10.7%27.4%60.2%30.0%5.5%2.3%-3.2M111.2M-382.4K0.795.8525920447,871103,147