KRE Options History — May 2011

In May 2011, KRE traded between $25.25 and $26.60. ATM implied volatility averaged 19.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.9% (HV 20d: 15.1%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 7.54.

Notable Days

  • 2011-05-19: Highest Volume — 24,337 contracts
  • 2011-05-23: Largest IV spike — 13.8% change
  • 2011-05-23: Highest IV Rank — 26.1%
  • 2011-05-23: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.91$25.25$26.60$26.49$25.89
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV19.0%16.6%21.8%19.0%17.1%
Expected Move5.6%4.8%6.2%5.4%4.9%
HV 20d15.1%13.0%16.6%15.8%16.0%
HV 60d17.5%16.3%18.2%17.8%16.5%
IV Rank16.9%11.0%26.1%16.3%12.3%
IV Percentile7.5%1.2%18.7%4.8%2.4%
Term Structure1.8%-1.4%3.1%1.9%1.3%
VWIV19.9%17.1%22.1%19.1%18.5%
Skew 25d4.4%3.5%6.4%3.8%6.4%
Skew 10d10.9%7.6%15.0%9.0%13.3%
Call IV 25d17.9%13.3%20.0%17.0%13.3%
Put IV 25d22.3%19.7%24.6%20.9%19.7%
Bid-Ask Spread %22.277.0260.8725.4110.81
Gamma HHI0.250.190.310.210.31
Net GEX-4.8M-7.7M-2.5M-3.5M-7.7M
Net DEX52.2M26.1M83.6M30.2M58.8M
Net VEX-396.9K-447.5K-357.2K-429.6K-447.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.540.07118.301.210.87
Total Volume2,991.76214824,3372743,785
Total OI140,035.476131,582163,947131,582163,947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$26.49$26.0019.0%5.4%15.8%16.3%19.1%3.8%1.9%-3.5M30.2M-429.6K1.2125.4112415028,385103,197
2011-05-03$26.60$26.0017.3%5.0%15.8%11.7%17.6%4.0%2.2%-3.1M26.1M-399.0K3.507.024816828,384103,271
2011-05-04$26.41$26.0018.4%5.3%15.8%14.8%17.1%3.6%3.1%-3.5M33.9M-423.7K2.3621.715312528,419103,299
2011-05-05$26.19$26.0019.1%5.5%14.0%16.6%19.1%3.5%2.3%-3.9M40.3M-422.1K2.4352.5416439928,408103,327
2011-05-06$25.99$26.0018.4%6.1%14.1%14.8%21.3%4.6%2.0%-4.3M45.8M-407.9K1.8111.2548387228,474103,531
2011-05-09$26.00$26.0018.3%6.2%13.0%14.5%22.0%4.2%1.6%-4.0M43.2M-382.0K0.3214.8838412228,775103,921
2011-05-10$26.38$26.0017.3%6.0%14.1%11.9%21.1%4.1%1.7%-4.0M33.7M-390.9K2.7112.5111330629,073103,877
2011-05-11$26.07$26.0018.2%6.0%14.6%14.1%20.8%4.3%2.2%-4.0M39.7M-379.2K0.0715.992711929,119103,967
2011-05-12$26.26$26.0020.5%5.9%14.0%20.4%20.5%4.5%2.4%-4.1M37.7M-386.4K0.6221.5530118729,266103,950
2011-05-13$25.69$26.0020.8%6.0%16.0%21.2%20.6%4.8%2.1%-4.7M57.5M-387.0K0.9915.712,1592,14629,446104,136
2011-05-16$25.61$26.0020.5%5.9%15.7%20.2%21.2%4.7%2.9%-4.8M60.2M-382.8K10.3015.113803,91531,559106,014
2011-05-17$25.90$26.0020.5%5.9%15.5%20.3%20.8%4.1%1.5%-3.8M49.2M-367.6K0.5122.61985031,766106,341
2011-05-18$26.00$26.0019.3%5.5%15.1%17.2%19.2%4.5%2.5%-3.2M40.3M-357.2K0.7812.9753241531,859103,521
2011-05-19$26.07$26.0018.9%5.4%15.1%16.2%19.0%5.3%2.8%-2.5M41.8M-374.9K118.3049.5620424,13332,256103,740
2011-05-20$25.73$26.0019.1%5.5%15.7%16.9%22.1%4.2%2.7%-4.7M59.5M-391.7K1.0318.3269872032,405119,407
2011-05-23$25.31$26.0021.8%6.2%16.6%26.1%21.7%4.7%-1.4%-7.0M81.3M-417.3K0.9960.8736335828,282118,489
2011-05-24$25.27$26.0020.6%5.9%15.6%22.7%20.1%3.9%0.5%-6.9M83.6M-399.9K0.4034.1086334128,625118,818
2011-05-25$25.25$26.0019.7%5.6%14.8%20.0%19.7%3.7%-0.4%-7.1M83.0M-382.5K0.2917.931,03230029,154118,904
2011-05-26$25.37$26.0018.4%5.3%14.8%16.3%17.8%4.0%1.6%-7.3M78.6M-379.5K7.6914.481,61612,42430,037118,934
2011-05-27$25.53$26.0016.6%4.8%15.1%11.0%19.4%5.4%1.7%-7.4M70.9M-426.9K1.0712.329711,03531,637130,825
2011-05-31$25.89$26.0017.1%4.9%16.0%12.3%18.5%6.4%1.3%-7.7M58.8M-447.5K0.8710.812,0241,76132,401131,546