KRE Options History — September 2010

In September 2010, KRE traded between $21.94 and $23.07. ATM implied volatility averaged 32.2%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.3% (HV 20d: 30.9%). Max pain ranged from $21.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.60.

Notable Days

  • 2010-09-13: Highest Volume — 12,129 contracts
  • 2010-09-20: Largest IV drop — 10.1% change
  • 2010-09-10: Highest IV Rank — 54.1%
  • 2010-09-07: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.50$21.94$23.07$21.99$22.91
Max Pain$22.33$21.00$27.00$27.00$23.00
ATM IV32.2%29.2%35.2%33.5%30.8%
Expected Move9.4%8.4%10.3%9.6%8.8%
HV 20d30.9%27.1%33.8%32.0%27.1%
HV 60d32.9%32.1%33.5%32.7%32.1%
IV Rank45.9%37.2%54.1%48.9%42.1%
IV Percentile45.0%29.0%63.5%52.0%35.3%
Term Structure2.3%1.4%3.3%2.8%2.3%
VWIV33.1%29.4%38.5%33.7%30.1%
Skew 25d6.6%3.8%7.7%4.3%4.8%
Skew 10d13.6%9.0%18.1%9.8%10.5%
Call IV 25d30.0%26.6%33.2%31.8%29.3%
Put IV 25d36.6%33.5%40.6%36.1%34.2%
Bid-Ask Spread %8.085.2113.116.2113.11
Gamma HHI0.200.170.270.170.21
Net GEX-2.8M-4.0M-1.4M-3.5M-1.7M
Net DEX66.6M33.3M97.6M97.6M33.9M
Net VEX-344.9K-394.3K-299.8K-391.1K-309.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.600.1715.450.900.84
Total Volume2,552.23827512,129699715
Total OI126,371.14390,012153,691151,25195,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$21.99$27.0033.5%9.6%32.0%48.9%33.7%4.3%2.8%-3.5M97.6M-391.1K0.906.2136833148,000103,251
2010-09-02$22.10$27.0033.3%9.6%32.2%48.5%34.4%3.8%2.9%-3.5M95.4M-394.3K2.875.217120448,143103,416
2010-09-03$22.48$21.0031.0%10.0%32.8%41.8%33.7%7.7%2.2%-3.5M86.1M-393.0K2.907.244001,16248,152103,366
2010-09-07$21.94$21.0033.5%10.3%32.8%49.1%38.5%7.4%1.4%-3.7M97.0M-369.5K15.457.702473,81648,316103,519
2010-09-08$22.16$21.0033.5%10.3%32.7%49.0%33.2%7.5%1.6%-3.6M93.0M-378.5K3.796.024511,71048,496103,420
2010-09-09$22.31$21.0035.2%10.1%28.7%54.0%37.3%7.3%1.9%-4.0M92.6M-372.0K1.828.015701,03748,459104,847
2010-09-10$22.37$21.0034.8%10.0%28.1%54.1%33.7%7.2%2.3%-4.0M90.1M-369.0K1.208.5716419648,716104,861
2010-09-13$23.07$21.0032.8%9.4%29.8%47.9%37.0%7.3%2.5%-3.9M74.3M-368.5K6.288.361,66710,46248,804104,887
2010-09-14$22.65$21.0032.1%9.2%30.6%45.8%33.7%6.7%3.0%-3.6M81.2M-370.3K12.509.174705,87448,863104,525
2010-09-15$22.69$21.0031.9%9.2%30.3%45.4%32.4%6.9%3.2%-3.7M78.8M-361.1K1.109.491,4661,61548,594103,114
2010-09-16$22.43$21.0033.5%9.6%30.6%49.9%31.2%6.9%2.9%-3.6M84.4M-355.4K2.087.4229461349,906103,179
2010-09-17$22.39$21.0032.4%9.3%29.2%46.9%29.7%7.5%3.3%-2.5M78.1M-320.7K0.868.0755447747,89496,637
2010-09-20$23.02$21.0029.2%8.4%30.5%37.2%32.7%7.0%3.0%-1.4M33.3M-320.1K2.736.211,5724,29426,02163,991
2010-09-21$22.83$23.0029.3%8.4%29.9%37.6%29.4%6.9%2.6%-1.6M36.6M-317.8K0.178.732,08434727,04265,556
2010-09-22$22.19$23.0031.8%9.1%31.9%45.0%32.5%6.1%1.8%-1.8M45.6M-307.8K3.517.0515454126,00465,671
2010-09-23$22.04$23.0032.7%9.4%32.0%47.8%32.6%7.2%1.5%-1.8M47.6M-299.8K7.1210.9512991825,62565,108
2010-09-24$22.79$23.0030.0%8.6%33.8%39.7%32.2%6.8%2.3%-1.7M37.8M-312.7K2.237.157301,62625,67565,677
2010-09-27$22.52$23.0031.5%9.0%33.3%44.3%31.8%7.0%1.4%-1.8M41.9M-306.5K5.318.732671,41826,12666,720
2010-09-28$22.80$23.0031.6%9.1%30.3%44.4%33.3%6.3%1.8%-1.8M37.8M-312.8K1.218.249121,10726,22467,285
2010-09-29$22.82$23.0031.7%9.1%30.3%44.8%31.6%5.0%1.7%-1.8M36.4M-312.9K0.638.161,57598926,83767,704
2010-09-30$22.91$23.0030.8%8.8%27.1%42.1%30.1%4.8%2.3%-1.7M33.9M-309.6K0.8413.1138932627,75567,408