KRE Options History — January 2011

In January 2011, KRE traded between $25.77 and $27.53. ATM implied volatility averaged 24.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.9% (HV 20d: 25.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.83.

Notable Days

  • 2011-01-31: Highest Volume — 31,438 contracts
  • 2011-01-05: Largest IV drop — 15.6% change
  • 2011-01-10: Highest IV Rank — 37.5%
  • 2011-01-10: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.55$25.77$27.53$26.97$26.13
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV24.5%19.9%29.3%24.6%23.1%
Expected Move7.1%5.7%8.2%7.1%6.6%
HV 20d25.4%20.1%30.2%20.1%26.1%
HV 60d24.7%23.2%25.8%23.2%24.5%
IV Rank20.2%3.8%37.5%23.7%13.7%
IV Percentile19.7%0.8%44.4%20.2%13.1%
Term Structure0.9%-0.8%2.3%1.5%1.6%
VWIV25.7%20.8%29.3%26.6%23.7%
Skew 25d4.5%2.7%6.9%5.9%3.3%
Skew 10d11.2%6.4%21.5%21.5%10.4%
Call IV 25d23.1%17.9%26.6%23.1%22.3%
Put IV 25d27.6%23.5%32.0%29.0%25.6%
Bid-Ask Spread %14.929.2729.1912.5415.30
Gamma HHI0.350.290.440.290.35
Net GEX-2.2M-4.4M972.1K972.1K-3.1M
Net DEX-6.2M-67.1M31.9M-51.4M31.9M
Net VEX-542.7K-581.6K-478.2K-530.4K-505.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.830.1913.782.291.72
Total Volume8,523.8563731,4384,64131,438
Total OI194,816.1164,507224,251179,676172,208

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$26.97$26.0024.6%7.1%20.1%23.7%26.6%5.9%1.5%972.1K-51.4M-530.4K2.2912.541,4113,23094,33685,340
2011-01-04$26.48$26.0028.2%8.1%21.8%34.3%26.5%6.7%-0.1%-203.7K-31.8M-529.7K8.1823.581,63213,35295,01888,281
2011-01-05$26.91$26.0023.8%6.8%22.1%21.3%25.0%6.9%2.3%-698.7K-35.8M-560.6K0.4829.191,10553195,963101,080
2011-01-06$26.54$26.0023.6%6.8%22.3%20.6%26.5%4.8%2.1%-1.4M-22.5M-555.7K10.4722.207888,24795,933101,462
2011-01-07$25.77$26.0027.2%7.8%25.1%31.5%27.4%4.2%-0.2%-3.1M24.4M-557.6K1.089.271,7511,89695,905106,917
2011-01-10$26.07$26.0029.3%8.2%24.9%37.5%29.3%5.4%-0.8%-3.5M14.2M-544.9K4.619.961,6187,45295,694107,872
2011-01-11$26.19$26.0025.5%7.8%24.7%26.5%28.4%3.6%-0.0%-3.9M1.1M-548.2K1.6311.352,7314,45396,890109,172
2011-01-12$26.39$26.0025.1%7.7%24.7%25.1%27.3%3.9%0.1%-3.3M-8.7M-573.4K13.5011.563594,84699,199109,845
2011-01-13$26.16$26.0026.1%7.5%24.9%23.3%27.1%2.7%0.1%-4.2M6.1M-557.4K11.9211.504575,44899,264111,364
2011-01-14$27.19$26.0024.6%7.0%28.1%18.5%25.9%3.9%1.0%-570.3K-50.1M-581.6K13.7818.8189512,33099,171114,951
2011-01-18$27.53$26.0024.8%7.1%28.2%19.2%27.1%3.2%0.0%-2.2K-67.1M-570.2K4.2515.367263,08398,857123,551
2011-01-19$26.83$26.0025.1%7.2%30.2%20.0%25.8%3.0%0.6%-3.2M-18.2M-559.1K0.7512.215,3724,02393,526119,802
2011-01-20$26.65$26.0024.7%7.1%29.4%18.8%26.7%2.9%1.4%-4.4M-7.6M-555.9K0.6213.475,4443,38296,020123,182
2011-01-21$26.71$26.0024.0%6.9%25.9%16.8%25.9%2.7%1.1%-2.1M-7.7M-571.0K0.3312.962,66987598,112126,139
2011-01-24$26.53$26.0022.9%6.6%25.6%13.1%25.3%5.9%1.1%-1.5M14.8M-534.0K13.6314.241,88625,71183,21481,293
2011-01-25$26.66$26.0022.0%6.3%25.5%10.3%21.1%6.8%1.5%-1.5M17.8M-510.3K0.1914.962,60748884,25281,384
2011-01-26$26.48$26.0022.7%6.5%25.5%12.5%25.2%5.0%1.4%-3.1M23.4M-478.2K2.8011.041,6894,72686,01481,762
2011-01-27$26.66$26.0019.9%5.7%25.7%3.8%20.8%5.6%2.3%-2.1M15.2M-511.0K0.3014.7449114687,41184,196
2011-01-28$26.21$26.0022.9%6.6%26.4%13.0%22.9%3.8%1.3%-2.7M27.1M-520.2K4.0414.1223695387,72884,014
2011-01-31$26.13$26.0023.1%6.6%26.1%13.7%23.7%3.3%1.6%-3.1M31.9M-505.4K1.7215.3011,54519,89387,87084,338