KRE Options History — July 2011

In July 2011, KRE traded between $24.67 and $26.14. ATM implied volatility averaged 20.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.0% (HV 20d: 19.6%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-07-26: Highest Volume — 26,391 contracts
  • 2011-07-11: Largest IV spike — 49.0% change
  • 2011-07-29: Highest IV Rank — 52.5%
  • 2011-07-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.35$24.67$26.14$25.86$24.78
Max Pain$25.15$25.00$26.00$25.00$25.00
ATM IV20.6%14.8%26.5%14.8%26.5%
Expected Move6.0%4.2%7.6%4.2%7.6%
HV 20d19.6%15.9%22.2%15.9%21.7%
HV 60d18.4%17.1%19.5%17.3%19.4%
IV Rank29.8%5.9%52.5%5.9%52.5%
IV Percentile24.5%0.4%60.3%0.4%60.3%
Term Structure1.4%-0.1%2.7%2.7%-0.1%
VWIV21.1%15.8%27.0%15.8%27.0%
Skew 25d4.1%3.1%4.9%4.6%4.3%
Skew 10d9.6%7.3%13.1%10.0%8.0%
Call IV 25d19.5%12.3%25.2%12.3%25.2%
Put IV 25d23.6%16.9%29.5%16.9%29.5%
Bid-Ask Spread %31.619.6150.8545.1530.67
Gamma HHI0.180.160.200.180.18
Net GEX-2.4M-3.4M-676.8K-2.9M-2.7M
Net DEX30.2M8.8M52.3M20.8M49.4M
Net VEX-400.7K-496.2K-356.3K-395.4K-496.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0212.210.560.22
Total Volume3,485.8549726,3912,0651,624
Total OI116,305.75102,450153,072102,450153,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$25.86$25.0014.8%4.2%15.9%5.9%15.8%4.6%2.7%-2.9M20.8M-395.4K0.5645.151,32574022,96479,486
2011-07-05$25.62$25.0016.1%5.1%16.2%10.0%18.4%4.2%1.6%-2.5M23.5M-389.3K1.2428.9422227524,16980,108
2011-07-06$25.75$25.0015.8%5.1%16.3%11.2%19.2%4.2%1.9%-2.5M22.6M-390.3K12.2122.24921,12324,33580,204
2011-07-07$26.14$25.0016.2%5.2%16.5%12.9%18.7%3.1%1.9%-2.2M8.8M-356.3K1.0337.541,0271,06124,40881,225
2011-07-08$25.72$25.0015.5%5.0%17.9%10.1%18.0%4.2%2.1%-2.6M20.5M-369.3K0.1740.2874712425,36482,183
2011-07-11$25.12$25.0023.1%6.0%19.8%39.5%20.5%4.7%1.1%-2.9M38.6M-384.0K0.4250.8535214825,66582,200
2011-07-12$25.39$25.0022.9%6.2%20.0%38.8%18.7%4.8%1.1%-3.0M35.3M-397.2K0.7427.6331122925,73682,238
2011-07-13$25.61$25.0018.7%5.8%19.3%22.5%19.7%4.3%1.5%-2.6M23.9M-367.2K1.1522.991,8552,13825,98282,397
2011-07-14$25.11$26.0022.3%6.4%20.0%36.5%21.6%3.1%1.5%-2.7M38.9M-382.6K0.4328.441,21452727,27783,982
2011-07-15$25.03$26.0021.2%6.1%19.5%32.2%21.6%3.9%1.7%-676.8K39.9M-375.8K0.4333.4077033128,23184,216
2011-07-18$24.67$26.0021.8%6.2%19.6%34.5%22.6%4.9%1.7%-3.4M52.3M-381.4K1.1439.561,4571,66724,20480,990
2011-07-19$25.14$25.0021.9%6.3%20.8%34.7%22.0%4.2%1.5%-3.2M41.2M-390.8K0.0224.756,95714025,46082,481
2011-07-20$25.36$25.0021.6%6.2%20.9%33.8%20.0%3.8%1.6%-2.0M25.3M-401.3K0.9630.051,2771,22532,19882,589
2011-07-21$25.81$25.0020.2%5.8%21.4%28.3%20.0%3.5%1.8%-1.6M10.4M-398.6K0.3543.371,84463933,44083,765
2011-07-22$25.66$25.0020.0%5.7%20.8%27.7%21.7%3.5%1.8%-1.6M11.6M-389.7K1.109.611,3201,44934,34884,325
2011-07-25$25.56$25.0021.2%6.1%20.8%32.2%22.6%4.1%1.1%-1.7M15.8M-391.9K1.1024.9647552435,41885,451
2011-07-26$25.28$25.0023.6%6.8%20.9%41.6%22.4%4.0%0.7%-1.8M25.0M-400.7K1.8833.859,16917,22235,51585,641
2011-07-27$24.75$25.0024.5%7.0%22.2%45.1%24.5%4.1%0.7%-2.7M48.3M-479.2K0.9033.5159253144,431102,685
2011-07-28$24.68$25.0025.0%7.2%21.8%46.9%27.0%4.1%0.8%-2.8M52.0M-476.2K1.5524.502,7484,24644,752102,980
2011-07-29$24.78$25.0026.5%7.6%21.7%52.5%27.0%4.3%-0.1%-2.7M49.4M-496.2K0.2230.671,33628847,369105,703