KRE Options History — March 2011

In March 2011, KRE traded between $25.52 and $26.97. ATM implied volatility averaged 25.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.1% (HV 20d: 21.0%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 40.55.

Notable Days

  • 2011-03-07: Highest Volume — 27,457 contracts
  • 2011-03-10: Largest IV spike — 17.5% change
  • 2011-03-16: Highest IV Rank — 34.5%
  • 2011-03-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.16$25.52$26.97$26.31$26.63
Max Pain$26.48$26.00$27.00$26.00$26.00
ATM IV25.0%17.8%29.6%27.4%17.8%
Expected Move7.2%5.1%8.5%7.9%5.1%
HV 20d21.0%18.2%23.6%19.3%18.2%
HV 60d22.1%20.9%23.1%21.9%20.9%
IV Rank20.0%0.0%34.5%27.4%0.0%
IV Percentile27.8%0.0%55.6%42.5%0.0%
Term Structure0.8%-1.4%2.6%-0.2%2.6%
VWIV25.6%20.2%33.6%27.6%20.9%
Skew 25d6.0%4.0%10.1%5.5%4.4%
Skew 10d13.8%7.7%20.4%13.2%9.0%
Call IV 25d23.0%16.9%27.4%25.0%17.7%
Put IV 25d29.0%22.1%35.5%30.5%22.1%
Bid-Ask Spread %35.7112.6875.3719.2312.68
Gamma HHI0.380.210.790.320.34
Net GEX-7.0M-27.1M-2.1M-4.9M-5.7M
Net DEX63.8M14.8M113.6M48.8M46.1M
Net VEX-587.0K-638.7K-522.1K-567.2K-564.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.550.05533.676.28533.67
Total Volume4,135.6095327,4574738,020
Total OI193,478.522124,664246,422219,128137,242

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$26.31$26.0027.4%7.9%19.3%27.4%27.6%5.5%-0.2%-4.9M48.8M-567.2K6.2819.2365408100,818118,310
2011-03-02$26.12$26.0027.4%7.9%18.3%27.4%26.5%4.2%-1.4%-4.8M52.3M-562.1K1.2819.05311397100,809118,562
2011-03-03$26.70$26.0023.4%6.7%19.7%14.7%26.9%7.1%0.8%-2.4M20.6M-575.7K2.0926.35268559100,938118,520
2011-03-04$26.46$27.0026.9%7.5%20.0%25.7%26.6%5.7%0.7%-4.6M41.4M-549.9K0.4749.7311152100,770118,417
2011-03-07$26.27$27.0027.9%7.8%20.1%28.8%25.2%4.0%0.4%-7.0M51.0M-522.1K52.3129.1351526,942100,814118,452
2011-03-08$26.97$27.0023.1%6.9%21.9%13.7%24.1%6.5%2.0%-2.1M14.8M-545.7K1.8131.86530958100,977121,817
2011-03-09$26.89$27.0023.5%7.3%22.0%15.0%26.0%6.1%0.4%-2.6M21.1M-546.5K16.8122.7763310,642101,281121,768
2011-03-10$26.24$27.0027.6%7.9%23.6%28.0%27.9%5.0%0.9%-6.7M60.2M-602.8K2.0130.215861,180101,301131,956
2011-03-11$26.17$27.0026.8%7.7%23.6%25.4%25.8%5.7%1.1%-7.7M65.6M-599.2K21.8924.8952211,429101,686132,974
2011-03-14$25.95$27.0027.3%7.8%22.1%27.0%29.2%6.2%0.7%-10.6M91.0M-638.7K2.6742.7380214102,106142,985
2011-03-15$25.77$27.0027.7%7.9%22.1%28.2%33.6%10.1%1.1%-11.3M100.2M-636.2K2.1636.592,1834,713102,102142,158
2011-03-16$25.52$27.0029.6%8.5%22.1%34.5%31.2%7.3%0.0%-9.1M113.6M-620.7K251.6749.47215,285102,105141,979
2011-03-17$25.61$26.0027.8%8.0%21.8%28.6%26.9%7.0%1.1%-10.5M113.1M-628.2K0.0659.273,210181102,126144,296
2011-03-18$25.87$27.0027.4%7.9%22.3%27.4%27.4%6.4%1.1%-27.1M105.1M-619.3K8.4275.3759497101,213144,358
2011-03-21$26.26$27.0025.5%7.3%22.9%21.5%25.6%6.5%0.8%-3.6M51.9M-589.6K18.3158.4856810,39822,602102,062
2011-03-22$26.07$26.0025.0%7.2%21.4%19.9%24.4%6.0%0.2%-5.2M65.0M-614.1K1.3041.94233022,951112,108
2011-03-23$25.78$26.0023.5%6.7%21.5%15.1%23.5%6.5%1.2%-5.6M75.1M-604.0K4.9639.527637722,965112,120
2011-03-24$25.74$26.0023.4%6.7%21.2%14.9%25.5%6.7%-0.1%-5.7M75.5M-599.3K1.9829.026631,31223,011112,162
2011-03-25$25.85$26.0022.3%6.4%19.6%11.3%20.6%5.3%0.9%-6.0M71.2M-592.7K0.3128.4935511023,397112,890
2011-03-28$25.89$26.0022.0%6.3%19.6%10.2%21.8%4.5%0.9%-6.0M70.0M-580.9K0.2227.35491123,856112,971
2011-03-29$26.06$26.0021.6%6.2%19.2%9.1%21.6%5.0%1.1%-6.0M64.2M-575.9K1.8545.0617131723,883112,970
2011-03-30$26.45$26.0020.7%5.9%19.7%6.1%20.2%6.5%1.5%-5.9M50.2M-565.9K0.0522.2184424,034113,184
2011-03-31$26.63$26.0017.8%5.1%18.2%0.0%20.9%4.4%2.6%-5.7M46.1M-564.7K533.6712.68158,00524,100113,142