KRE Options History — February 2011

In February 2011, KRE traded between $26.11 and $27.30. ATM implied volatility averaged 23.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.0% (HV 20d: 20.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 7.90.

Notable Days

2011-02-11: Highest Volume — 31,416 contracts
2011-02-10: Largest IV spike — 14.3% change
2011-02-23: Highest IV Rank — 26.2%
2011-02-23: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.74	$26.11	$27.30	$26.59	$26.70
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	23.1%	20.2%	27.0%	20.2%	24.2%
Expected Move	6.8%	5.8%	7.7%	5.8%	6.9%
HV 20d	20.0%	15.0%	25.9%	25.9%	18.5%
HV 60d	22.9%	21.9%	23.8%	23.8%	21.9%
IV Rank	13.7%	4.5%	26.2%	4.5%	17.2%
IV Percentile	17.0%	1.2%	40.1%	1.2%	26.2%
Term Structure	0.9%	-1.2%	2.7%	2.7%	2.0%
VWIV	25.2%	20.4%	36.0%	20.4%	26.2%
Skew 25d	4.4%	2.9%	6.9%	5.1%	5.1%
Skew 10d	11.5%	5.6%	19.3%	15.1%	12.2%
Call IV 25d	22.4%	19.6%	25.6%	19.6%	23.5%
Put IV 25d	26.8%	24.6%	30.1%	24.7%	28.5%
Bid-Ask Spread %	25.98	14.01	37.58	23.88	31.44
Gamma HHI	0.24	0.20	0.29	0.29	0.29
Net GEX	-515.7K	-4.4M	2.8M	-1.2M	-3.7M
Net DEX	9.2M	-20.8M	55.7M	6.1M	31.9M
Net VEX	-581.8K	-659.6K	-517.5K	-564.2K	-576.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.90	0.00	76.56	10.30	1.29
Total Volume	5,686.526	220	31,416	11,269	220
Total OI	211,375.263	186,149	233,411	199,923	221,976

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$26.59	$26.00	20.2%	5.8%	25.9%	4.5%	20.4%	5.1%	2.7%	-1.2M	6.1M	-564.2K	10.30	23.88	997	10,272	98,631	101,292
2011-02-02	$26.35	$26.00	22.6%	6.5%	25.3%	12.3%	21.9%	3.1%	1.7%	-1.6M	16.5M	-557.4K	0.28	14.01	3,438	947	99,363	86,786
2011-02-03	$26.44	$26.00	22.4%	6.4%	24.6%	11.7%	21.1%	3.9%	1.9%	-587.6K	8.4M	-559.6K	13.59	14.56	1,031	14,009	102,644	85,287
2011-02-04	$26.54	$26.00	20.2%	6.6%	24.1%	4.5%	23.6%	3.5%	0.9%	-381.5K	5.3M	-599.9K	0.22	19.22	363	80	103,710	98,268
2011-02-07	$26.82	$26.00	20.4%	6.6%	21.7%	5.4%	24.8%	4.2%	0.4%	1.1M	-15.0M	-551.2K	4.57	20.57	387	1,767	103,345	98,324
2011-02-08	$26.81	$26.00	20.5%	6.7%	21.4%	5.6%	25.1%	4.0%	0.4%	928.5K	-12.3M	-534.8K	0.18	17.01	325	58	103,514	98,380
2011-02-09	$26.68	$26.00	20.9%	6.8%	21.5%	6.8%	25.6%	3.9%	0.8%	223.1K	-4.3M	-526.1K	10.37	36.59	83	861	103,549	97,992
2011-02-10	$26.56	$26.00	23.9%	6.8%	21.4%	16.2%	27.1%	4.5%	-0.0%	-1.6M	15.8M	-532.9K	0.10	37.58	4,318	453	103,583	98,827
2011-02-11	$27.16	$26.00	23.3%	6.7%	22.5%	14.3%	25.4%	6.9%	1.2%	2.4M	-20.8M	-517.5K	27.15	24.80	1,116	30,300	104,380	98,993
2011-02-14	$27.17	$26.00	23.8%	6.8%	17.8%	15.9%	23.3%	4.5%	0.6%	1.7M	-10.0M	-623.3K	0.00	16.67	3,307	4	103,191	115,081
2011-02-15	$26.91	$26.00	23.3%	6.7%	17.5%	14.5%	23.1%	4.2%	0.6%	314.6K	4.4M	-587.2K	76.56	27.69	231	17,685	103,021	114,736
2011-02-16	$27.16	$26.00	23.6%	6.8%	15.2%	15.4%	23.7%	4.8%	0.7%	1.5M	-818.1K	-659.6K	0.44	31.13	452	201	102,712	129,837
2011-02-17	$27.11	$26.00	23.3%	6.7%	15.0%	14.6%	23.5%	2.9%	0.5%	2.8M	-5.0M	-649.1K	0.32	36.67	4,932	1,567	102,977	129,887
2011-02-18	$27.30	$26.00	22.1%	6.3%	15.2%	10.7%	36.0%	4.4%	1.7%	1.3M	-6.8M	-610.7K	1.58	32.87	1,167	1,840	103,543	129,868
2011-02-22	$26.64	$26.00	25.1%	7.2%	17.5%	20.2%	25.7%	3.7%	-0.3%	-2.0M	25.7M	-613.4K	0.76	27.39	345	262	98,533	119,022
2011-02-23	$26.36	$26.00	27.0%	7.7%	17.8%	26.2%	26.2%	4.0%	2.5%	-4.4M	50.4M	-597.2K	0.36	24.07	823	298	98,698	119,122
2011-02-24	$26.11	$26.00	26.9%	7.7%	18.0%	25.7%	27.9%	4.9%	0.8%	-4.2M	55.7M	-601.7K	0.73	23.20	175	128	99,204	119,268
2011-02-25	$26.69	$26.00	24.4%	7.0%	19.5%	18.0%	27.3%	6.3%	-1.2%	-2.5M	29.7M	-592.9K	1.28	34.18	1,577	2,025	99,228	119,358
2011-02-28	$26.70	$26.00	24.2%	6.9%	18.5%	17.2%	26.2%	5.1%	2.0%	-3.7M	31.9M	-576.1K	1.29	31.44	96	124	100,784	121,192