KRE Options History — December 2010

In December 2010, KRE traded between $23.28 and $26.88. ATM implied volatility averaged 24.2%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.4% (HV 20d: 22.8%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.67.

Notable Days

  • 2010-12-22: Highest Volume — 142,858 contracts
  • 2010-12-13: Largest IV spike — 21.4% change
  • 2010-12-01: Highest IV Rank — 34.5%
  • 2010-12-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.36$23.28$26.88$23.28$26.45
Max Pain$24.32$23.00$26.00$23.00$26.00
ATM IV24.2%20.7%28.2%28.2%26.9%
Expected Move6.8%5.9%8.1%8.1%7.7%
HV 20d22.8%19.1%27.8%27.8%19.5%
HV 60d23.6%21.8%24.9%24.6%22.9%
IV Rank22.6%12.2%34.5%34.5%30.6%
IV Percentile15.4%1.6%34.5%33.3%31.3%
Term Structure1.6%-1.2%3.3%-1.2%0.1%
VWIV24.9%21.2%28.7%27.1%27.0%
Skew 25d4.1%2.1%8.1%4.8%6.0%
Skew 10d10.3%4.2%18.9%8.7%10.4%
Call IV 25d22.7%19.8%26.4%26.4%24.2%
Put IV 25d26.8%23.2%31.1%31.1%30.2%
Bid-Ask Spread %19.757.9134.6712.747.91
Gamma HHI0.300.210.440.260.29
Net GEX1.1M-2.1M3.5M-2.1M-21.1K
Net DEX-29.6M-61.9M19.9M19.9M-32.4M
Net VEX-285.9K-531.2K-167.5K-187.9K-522.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.670.0275.110.231.83
Total Volume12,093.727284142,8583331,017
Total OI132,447.5111,360178,861111,401178,861

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$23.28$23.0028.2%8.1%27.8%34.5%27.1%4.8%-1.2%-2.1M19.9M-187.9K0.2312.742706340,53270,869
2010-12-02$23.75$23.0025.9%7.4%27.6%27.6%26.2%4.4%-0.1%-1.3M8.3M-190.4K0.2023.772374740,51070,850
2010-12-03$23.97$23.0024.6%7.1%25.1%23.8%28.4%2.1%0.9%-1.1M-1.2M-173.7K2.5429.4919148640,60470,827
2010-12-06$24.18$24.0025.7%7.3%24.6%27.1%28.7%3.8%2.2%-614.6K-6.5M-168.2K0.489.748,0783,85340,73971,011
2010-12-07$24.17$24.0025.0%7.2%24.4%24.8%25.7%3.6%2.2%-172.7K-12.7M-178.6K0.3315.4590330043,59171,547
2010-12-08$24.67$24.0024.3%6.7%24.7%23.0%24.0%2.8%2.3%701.0K-24.4M-173.8K0.3814.021,03638944,02471,548
2010-12-09$24.91$24.0023.3%6.5%23.9%20.0%24.3%3.4%2.9%1.7M-29.9M-171.7K2.6424.838762,31644,07471,632
2010-12-10$25.29$24.0022.4%6.5%24.2%17.0%24.0%3.4%2.5%2.7M-40.4M-167.8K0.0514.9410,68454544,74473,096
2010-12-13$25.11$24.0027.1%6.7%22.6%31.2%22.6%2.5%2.4%2.5M-35.8M-167.9K1.058.9366770144,94973,114
2010-12-14$25.18$24.0028.0%6.7%22.5%33.8%23.4%2.3%2.0%2.3M-37.0M-167.5K0.2018.4613,1722,64645,13973,203
2010-12-15$25.03$24.0024.5%7.0%21.9%23.3%25.5%2.8%1.7%3.4M-40.3M-199.5K0.2332.441,76240856,99774,058
2010-12-16$25.15$24.0023.3%6.7%20.7%19.8%24.2%2.7%2.5%3.5M-45.3M-193.4K0.4634.671,76181457,40574,366
2010-12-17$25.18$24.0021.8%6.2%20.5%15.3%21.9%2.4%3.3%2.5M-35.0M-193.8K75.1119.3751438,60451,69775,006
2010-12-20$25.28$24.0021.6%6.2%20.2%14.8%21.2%2.7%1.0%1.0M-15.0M-290.1K0.9223.3331629041,16971,186
2010-12-21$25.86$24.0020.7%5.9%20.8%12.2%21.3%3.6%0.5%1.4M-29.1M-282.2K0.2522.455,1721,27941,23771,385
2010-12-22$26.88$24.0021.6%6.2%23.2%14.7%23.3%4.5%2.2%1.5M-61.9M-277.3K0.9926.6971,94370,91545,97971,972
2010-12-23$26.51$24.0022.6%6.5%24.3%17.9%25.3%5.3%1.0%2.6M-48.1M-499.5K15.1320.3898414,88692,85865,420
2010-12-27$26.70$26.0024.2%6.9%22.1%22.5%27.2%5.7%0.8%993.5K-45.0M-505.8K0.8915.0828225292,94379,683
2010-12-28$26.82$26.0023.8%6.8%22.2%21.4%23.4%6.3%1.5%1.3M-50.5M-522.6K0.029.581,2352293,10979,781
2010-12-29$26.77$26.0023.9%6.9%21.0%21.6%27.2%7.1%1.5%1.3M-48.2M-523.8K20.5222.762505,12993,68379,779
2010-12-30$26.75$26.0023.3%6.7%19.1%19.8%26.0%8.1%2.5%568.6K-40.0M-531.2K0.3227.4357918893,89084,778
2010-12-31$26.45$26.0026.9%7.7%19.5%30.6%27.0%6.0%0.1%-21.1K-32.4M-522.1K1.837.9135965894,07784,784