KRE Options History — June 2011

In June 2011, KRE traded between $24.14 and $25.45. ATM implied volatility averaged 21.8%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.9% (HV 20d: 19.9%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 8.07.

Notable Days

  • 2011-06-06: Highest Volume — 17,063 contracts
  • 2011-06-08: Largest IV spike — 55.6% change
  • 2011-06-06: Highest IV Rank — 36.7%
  • 2011-06-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.76$24.14$25.45$24.94$25.45
Max Pain$25.05$24.00$26.00$26.00$25.00
ATM IV21.8%15.7%25.4%21.7%18.6%
Expected Move6.3%5.3%6.9%6.2%5.3%
HV 20d19.9%16.2%21.2%20.3%16.3%
HV 60d17.2%16.7%18.1%18.1%17.5%
IV Rank27.3%8.6%36.7%25.8%17.6%
IV Percentile23.2%0.4%42.5%20.2%7.9%
Term Structure1.0%-0.7%2.2%-0.7%1.6%
VWIV21.4%14.1%24.5%14.1%19.8%
Skew 25d4.0%3.0%5.4%3.3%3.7%
Skew 10d9.5%5.7%17.6%7.9%8.9%
Call IV 25d20.3%16.0%22.5%19.7%16.0%
Put IV 25d24.3%19.7%27.3%23.0%19.7%
Bid-Ask Spread %34.1010.5467.4123.8047.80
Gamma HHI0.240.180.570.260.18
Net GEX-5.2M-10.4M-2.7M-7.4M-2.8M
Net DEX83.5M31.3M137.2M100.7M31.3M
Net VEX-397.3K-441.6K-371.1K-431.0K-395.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.070.2774.269.194.06
Total Volume3,585.40935217,06311,9893,337
Total OI140,424.13688,323184,406167,28299,217

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$24.94$26.0021.7%6.2%20.3%25.8%14.1%3.3%-0.7%-7.4M100.7M-431.0K9.1923.801,17610,81334,007133,275
2011-06-02$24.99$26.0021.4%6.1%20.4%24.9%22.4%3.6%-0.4%-7.4M99.6M-426.4K1.8440.4020738034,454133,154
2011-06-03$24.60$25.0022.5%6.0%20.8%28.4%19.9%4.1%1.1%-7.1M112.7M-407.4K0.3848.932569634,611133,114
2011-06-06$24.48$25.0025.4%6.7%20.7%36.7%23.8%3.9%1.1%-6.9M118.4M-391.2K22.9327.1071316,35034,819133,193
2011-06-07$24.51$25.0015.7%6.1%20.8%8.6%20.8%4.6%1.5%-8.4M131.8M-441.6K2.1721.448181,77835,064149,342
2011-06-08$24.37$25.0024.4%6.7%19.7%35.4%21.4%3.9%1.4%-6.9M123.2M-384.5K1.2010.541,5231,82635,831135,024
2011-06-09$24.38$25.0022.1%6.3%19.5%28.5%21.3%4.6%1.2%-6.8M126.6M-389.2K2.2967.414591,05237,328136,606
2011-06-10$24.14$25.0022.9%6.6%19.3%30.8%23.5%3.4%0.7%-6.2M137.2M-385.7K5.7429.151,0576,07137,364137,623
2011-06-13$24.26$25.0022.3%6.4%18.3%29.0%21.9%4.1%1.2%-5.5M122.0M-371.1K0.2714.2891124838,387133,634
2011-06-14$24.69$24.0020.5%5.9%19.7%23.5%20.5%4.1%1.8%-6.0M108.7M-384.8K0.2945.612,03758239,265133,807
2011-06-15$24.34$25.0023.6%6.8%19.5%33.2%22.9%3.9%1.1%-5.0M120.7M-374.8K74.2636.52876,46141,208134,327
2011-06-16$24.69$25.0024.1%6.9%20.4%34.5%24.5%4.8%0.3%-4.8M95.2M-383.6K27.2048.841965,33141,280128,627
2011-06-17$25.01$25.0023.2%6.6%21.0%31.7%22.5%3.6%1.5%-10.4M81.1M-397.6K3.8515.513591,38339,835133,760
2011-06-20$25.08$25.0022.4%6.4%20.7%29.2%22.0%4.6%0.9%-2.7M38.7M-389.3K1.8059.468631,55719,27569,048
2011-06-21$25.27$25.0022.1%6.3%20.1%28.5%20.5%4.2%0.8%-2.7M34.9M-385.6K4.5922.004061,86219,57470,537
2011-06-22$25.04$25.0021.6%6.2%20.3%27.0%20.0%3.0%0.8%-2.8M39.2M-397.7K0.4127.951,20149419,86771,867
2011-06-23$24.67$25.0022.4%6.4%21.0%29.5%24.5%4.1%1.1%-2.8M47.2M-397.0K7.4525.503072,28620,82472,237
2011-06-24$24.59$25.0021.6%6.2%20.9%27.0%23.1%3.4%0.5%-3.0M48.1M-402.2K2.6049.4429175821,11274,276
2011-06-27$24.88$25.0021.7%6.2%21.2%27.2%21.6%4.5%0.5%-3.0M42.5M-400.9K3.4325.634321,48121,36074,854
2011-06-28$25.01$25.0020.1%5.8%20.6%22.2%18.6%3.6%2.2%-3.0M41.9M-402.6K0.7211.7321815821,74576,319
2011-06-29$25.29$25.0019.8%5.7%16.2%21.4%19.8%5.4%1.6%-3.0M35.2M-402.2K0.7851.2359646221,85576,425
2011-06-30$25.45$25.0018.6%5.3%16.3%17.6%0.0%3.7%1.6%-2.8M31.3M-395.1K4.0647.806602,67722,34776,870