KRE Options History — April 2011

In April 2011, KRE traded between $25.81 and $27.36. ATM implied volatility averaged 18.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.4% (HV 20d: 16.2%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-04-27: Highest Volume — 22,658 contracts
  • 2011-04-07: Largest IV spike — 40.9% change
  • 2011-04-13: Highest IV Rank — 27.1%
  • 2011-04-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.81$27.36$26.92$26.74
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV18.6%12.9%23.0%17.3%16.5%
Expected Move5.6%4.7%6.4%5.0%4.7%
HV 20d16.2%14.7%18.3%18.3%16.0%
HV 60d18.9%17.7%20.8%20.8%17.7%
IV Rank13.6%0.0%27.1%0.0%9.8%
IV Percentile3.2%0.0%13.1%0.0%0.8%
Term Structure2.1%1.4%3.0%2.4%2.6%
VWIV20.3%17.6%22.9%17.6%18.9%
Skew 25d3.9%2.5%5.4%3.5%2.5%
Skew 10d9.7%7.2%14.0%9.3%7.5%
Call IV 25d18.3%16.0%20.4%16.7%16.3%
Put IV 25d22.2%18.7%24.8%20.1%18.7%
Bid-Ask Spread %31.899.1567.1210.6126.66
Gamma HHI0.290.210.500.330.22
Net GEX-4.9M-10.2M-2.2M-5.5M-3.0M
Net DEX34.4M4.9M56.1M33.7M19.3M
Net VEX-475.6K-535.7K-375.0K-535.7K-395.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.068.040.140.06
Total Volume1,894.49622,658332595
Total OI135,695.6130,264143,879137,246131,132

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$26.92$26.0017.3%5.0%18.3%0.0%17.6%3.5%2.4%-5.5M33.7M-535.7K0.1410.612914124,104113,142
2011-04-04$27.03$26.0017.0%5.9%18.1%0.0%20.1%4.5%1.5%-4.7M25.3M-493.4K0.4915.0553326124,383113,152
2011-04-05$26.82$26.0016.7%5.6%15.8%0.0%22.4%4.5%1.8%-4.9M31.7M-500.6K0.6019.5034520824,855113,211
2011-04-06$27.36$26.0012.9%5.8%17.3%0.0%20.6%5.4%1.4%-3.6M15.9M-490.6K0.7420.9017012624,975113,184
2011-04-07$27.22$26.0018.1%5.7%14.7%14.1%20.1%3.6%1.6%-3.9M16.6M-469.1K0.7423.2925318825,087113,309
2011-04-08$26.76$26.0018.7%5.8%16.1%15.5%19.8%3.6%1.8%-5.3M33.7M-512.3K0.3246.6342513425,272113,446
2011-04-11$26.71$26.0018.4%6.0%15.7%14.8%20.9%4.9%1.5%-5.6M35.3M-505.9K1.8222.45346225,411113,555
2011-04-12$26.56$26.0019.3%6.0%15.6%17.0%22.0%4.6%1.6%-6.2M39.8M-500.6K1.1136.2828331325,397113,600
2011-04-13$26.19$26.0023.0%6.4%16.1%27.1%22.1%4.4%1.4%-8.7M56.1M-511.7K3.6929.0914352825,493113,746
2011-04-14$26.27$26.0021.3%6.1%16.1%22.5%21.4%3.9%2.2%-10.2M51.7M-499.6K1.1531.532,6083,01025,549114,148
2011-04-15$26.46$26.0021.1%6.0%15.9%21.9%20.9%4.1%2.0%-6.3M36.9M-495.7K1.0729.4810811628,064115,815
2011-04-18$26.07$26.0020.6%5.9%16.0%20.6%20.4%3.4%2.2%-3.8M43.0M-472.5K0.8357.3523219326,700103,564
2011-04-19$25.81$26.0019.9%5.7%16.2%18.8%22.9%4.1%2.5%-4.2M52.6M-485.3K8.0447.205544226,906103,737
2011-04-20$25.89$26.0019.8%5.7%15.7%18.5%22.9%4.3%2.4%-4.2M50.8M-477.0K1.9245.465561,07026,902103,916
2011-04-21$26.02$26.0018.9%5.4%15.8%16.0%21.1%3.5%2.9%-4.3M47.9M-479.9K1.0067.1222322427,258104,576
2011-04-25$26.14$26.0019.4%5.6%15.8%17.5%18.1%4.2%2.1%-4.2M43.1M-460.2K0.7231.4945733027,373104,679
2011-04-26$26.49$26.0019.6%5.6%16.4%18.0%17.8%3.6%2.6%-3.7M32.1M-449.0K0.5732.1818210327,464104,925
2011-04-27$26.78$26.0017.1%4.9%16.7%11.2%18.5%3.3%2.8%-3.1M17.0M-403.3K4.369.154,22818,43027,521105,019
2011-04-28$26.90$26.0016.4%4.7%16.0%9.3%17.7%2.6%3.0%-2.2M4.9M-375.0K0.6236.3124014830,291103,051
2011-04-29$26.74$26.0016.5%4.7%16.0%9.8%18.9%2.5%2.6%-3.0M19.3M-395.3K0.0626.665603527,944103,188