KRE Options History — October 2010

In October 2010, KRE traded between $22.66 and $23.72. ATM implied volatility averaged 29.2%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.5% (HV 20d: 22.7%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.10.

Notable Days

  • 2010-10-13: Highest Volume — 9,026 contracts
  • 2010-10-14: Largest IV spike — 23.5% change
  • 2010-10-19: Highest IV Rank — 46.2%
  • 2010-10-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$22.66$23.72$22.85$22.67
Max Pain$22.81$22.00$23.00$23.00$23.00
ATM IV29.2%25.9%32.2%29.4%27.0%
Expected Move8.7%7.7%9.2%8.4%7.7%
HV 20d22.7%17.7%27.1%27.1%18.2%
HV 60d28.4%26.2%32.2%32.0%26.3%
IV Rank37.3%27.5%46.2%37.9%30.9%
IV Percentile32.7%17.5%52.4%30.2%25.0%
Term Structure2.0%0.5%3.1%2.9%3.1%
VWIV31.1%27.2%35.6%29.5%27.3%
Skew 25d5.9%3.9%7.6%3.9%6.0%
Skew 10d10.9%8.6%13.4%9.0%11.7%
Call IV 25d28.2%26.4%30.2%28.7%27.3%
Put IV 25d34.0%32.7%36.5%32.7%33.3%
Bid-Ask Spread %11.065.3122.5410.0917.60
Gamma HHI0.240.210.330.210.24
Net GEX-2.2M-3.0M-1.5M-1.8M-3.0M
Net DEX35.7M21.4M49.9M35.4M49.9M
Net VEX-286.5K-309.1K-255.4K-301.8K-255.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.100.1425.863.774.91
Total Volume2,306.9052209,0268822,565
Total OI100,188.14395,436104,57695,436103,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$22.85$23.0029.4%8.4%27.1%37.9%29.5%3.9%2.9%-1.8M35.4M-301.8K3.7710.0918569727,89367,543
2010-10-04$22.68$22.0029.3%9.2%26.6%37.8%35.6%6.3%1.8%-1.9M39.4M-297.3K6.355.3113485128,01467,640
2010-10-05$23.30$22.0029.2%9.0%26.5%37.3%32.6%6.3%1.8%-1.6M28.2M-295.8K0.936.5420919528,11068,168
2010-10-06$23.32$22.0028.3%9.0%26.4%34.6%34.5%5.5%2.2%-1.5M26.4M-295.1K15.625.551412,20328,15467,709
2010-10-07$23.27$22.0028.2%9.0%26.4%34.4%32.7%5.0%2.1%-1.7M29.1M-296.8K25.866.052656,85428,19569,770
2010-10-08$23.36$23.0026.8%8.9%26.4%30.3%32.5%5.3%2.3%-2.3M32.0M-309.1K2.177.7428461728,18976,387
2010-10-11$23.22$23.0028.4%8.9%24.3%34.9%31.7%5.1%2.1%-2.4M34.4M-299.7K3.208.0419462128,33075,276
2010-10-12$23.30$23.0028.9%8.8%23.3%36.3%32.5%4.9%2.1%-2.0M30.8M-293.5K0.457.5254224628,47573,820
2010-10-13$23.72$23.0025.9%8.4%24.0%27.5%31.4%4.5%2.2%-1.6M21.4M-295.7K0.1412.497,8891,13728,84173,825
2010-10-14$23.42$23.0031.9%9.2%24.1%45.5%31.9%5.1%1.7%-1.8M26.2M-293.5K1.638.839601,56129,10073,802
2010-10-15$23.07$23.0031.3%9.0%24.8%43.6%31.9%4.1%1.8%-2.9M32.6M-293.9K5.0111.465182,59629,62574,924
2010-10-18$23.52$23.0028.5%8.2%23.8%35.3%28.5%6.4%2.9%-2.0M30.0M-292.3K0.2422.5475117726,13470,529
2010-10-19$23.41$23.0032.2%9.2%23.6%46.2%34.2%7.6%0.5%-2.0M34.1M-294.9K1.7711.8137466126,46370,578
2010-10-20$23.19$23.0030.5%8.7%21.3%41.2%32.6%6.4%1.7%-2.1M36.0M-280.7K20.1911.381392,80726,44870,957
2010-10-21$23.14$23.0029.9%8.6%21.1%39.5%29.5%6.9%1.8%-2.6M40.2M-283.7K1.0214.1421521926,51173,570
2010-10-22$23.18$23.0029.4%8.4%17.7%38.1%27.2%6.6%1.8%-2.6M40.0M-280.8K3.5513.901,2834,55126,55473,550
2010-10-25$22.80$23.0030.2%8.7%18.2%40.4%30.2%7.1%1.4%-2.6M45.2M-264.2K2.5712.418822627,67573,184
2010-10-26$22.89$23.0029.8%8.6%17.7%39.3%29.9%6.5%1.5%-2.7M44.9M-265.0K5.5013.306823,75027,69073,247
2010-10-27$22.94$23.0028.7%8.2%17.7%35.9%28.0%6.2%2.1%-2.8M44.2M-266.6K2.0113.437314728,20074,696
2010-10-28$22.66$23.0029.0%8.3%18.2%36.8%29.3%7.1%1.8%-2.9M49.4M-260.5K0.2612.1366417428,23474,783
2010-10-29$22.67$23.0027.0%7.7%18.2%30.9%27.3%6.0%3.1%-3.0M49.9M-255.4K4.9117.604342,13128,30074,858