KRE Options History — November 2010

In November 2010, KRE traded between $22.00 and $24.00. ATM implied volatility averaged 27.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.6% (HV 20d: 25.1%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2010-11-04: Highest Volume — 22,370 contracts
  • 2010-11-04: Largest IV drop — 17.0% change
  • 2010-11-02: Highest IV Rank — 43.6%
  • 2010-11-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.12$22.00$24.00$22.00$22.52
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV27.7%23.9%31.3%30.9%30.0%
Expected Move8.1%7.0%9.0%8.9%8.6%
HV 20d25.1%19.0%27.5%20.9%25.7%
HV 60d26.0%24.2%26.9%26.8%24.2%
IV Rank32.9%21.6%43.6%42.5%39.7%
IV Percentile29.7%11.9%46.4%42.9%44.8%
Term Structure0.4%-1.2%2.7%1.9%-1.2%
VWIV29.2%26.1%32.3%32.3%30.3%
Skew 25d4.5%2.2%6.3%6.3%5.6%
Skew 10d10.4%5.7%21.1%10.4%9.9%
Call IV 25d27.5%23.7%29.6%29.1%29.6%
Put IV 25d32.0%29.2%35.4%35.4%35.2%
Bid-Ask Spread %23.658.2773.9511.6820.11
Gamma HHI0.240.180.490.230.23
Net GEX-2.3M-5.7M-640.3K-3.0M-2.5M
Net DEX25.9M-2.6M61.4M61.4M38.7M
Net VEX-231.0K-250.9K-186.6K-235.4K-186.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.127.652.311.54
Total Volume3,067.71411422,3701,795241
Total OI114,025.952102,532125,070102,532111,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$22.00$23.0030.9%8.9%20.9%42.5%32.3%6.3%1.9%-3.0M61.4M-235.4K2.3111.685431,25228,65973,873
2010-11-02$22.31$23.0031.3%9.0%19.0%43.6%31.1%5.0%1.3%-3.1M56.1M-240.4K6.2212.758225,11229,03774,555
2010-11-03$22.81$23.0029.3%8.4%20.8%37.6%29.5%5.4%0.5%-3.4M47.6M-245.1K2.9614.254751,40830,04179,265
2010-11-04$23.60$23.0024.3%7.0%24.3%22.8%27.7%6.3%2.7%-2.4M24.8M-233.3K2.578.276,26816,10229,77877,667
2010-11-05$23.99$23.0024.4%8.1%24.9%23.2%29.2%2.2%0.1%-1.3M8.4M-250.2K0.1221.686,87179335,07775,060
2010-11-08$23.80$23.0023.9%7.9%25.0%21.6%29.7%2.2%0.5%-836.5K1.1M-246.5K1.1015.6819521440,77475,422
2010-11-09$23.49$23.0026.8%8.2%25.5%30.3%28.8%2.6%0.3%-1.7M13.0M-246.8K1.0623.5840242640,30975,494
2010-11-10$24.00$23.0024.9%7.7%25.8%24.5%27.8%3.2%0.4%-640.3K-2.6M-238.4K0.8925.7527724640,42875,697
2010-11-11$23.88$23.0027.0%7.7%25.4%30.8%28.0%3.1%0.9%-865.0K5.2M-250.9K0.8117.64635140,56775,747
2010-11-12$23.34$23.0029.8%8.5%26.2%39.0%32.2%4.5%-0.2%-1.8M18.6M-248.7K0.9317.103,0172,79740,58175,785
2010-11-15$23.51$23.0028.5%8.2%25.4%35.3%29.2%3.6%-0.2%-1.2M8.6M-238.8K0.2836.652467043,32577,644
2010-11-16$23.19$23.0029.8%8.5%25.8%39.2%31.0%5.4%-0.5%-2.3M22.8M-243.5K7.6517.885033,84943,38477,665
2010-11-17$22.83$23.0029.1%8.3%26.2%36.9%29.8%5.7%0.4%-3.1M33.6M-238.3K1.1019.591,7531,92543,56078,299
2010-11-18$23.12$23.0027.7%7.9%26.6%32.9%28.4%4.6%0.1%-2.9M25.3M-242.7K0.6035.9640624244,98979,854
2010-11-19$23.02$23.0027.1%7.8%26.7%31.0%27.6%4.7%0.7%-5.7M25.9M-231.4K1.3119.6642455745,13979,931
2010-11-22$22.88$23.0026.9%7.7%26.1%30.4%26.9%6.2%0.6%-2.0M29.4M-212.1K3.2773.9524680540,10870,039
2010-11-23$22.73$23.0027.8%8.0%26.2%33.2%27.9%5.0%0.6%-2.5M34.6M-212.1K6.9125.335333,68440,20570,633
2010-11-24$23.06$23.0026.0%7.4%26.7%27.8%26.1%4.0%0.7%-2.1M25.9M-211.1K0.1738.3964310740,40671,784
2010-11-26$22.60$23.0027.5%7.9%27.3%32.2%27.6%5.5%0.4%-2.3M35.5M-203.4K5.1629.074523240,26171,028
2010-11-29$22.83$23.0029.1%8.4%27.5%37.2%31.5%4.3%-1.1%-2.2M30.9M-194.8K0.4211.5740617140,29670,896
2010-11-30$22.52$23.0030.0%8.6%25.7%39.7%30.3%5.6%-1.2%-2.5M38.7M-186.6K1.5420.119514640,47570,808