KRE Options History — August 2011

In August 2011, KRE traded between $19.56 and $24.76. ATM implied volatility averaged 45.9%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 8.0% (HV 20d: 53.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 4.93.

Notable Days

2011-08-18: Highest Volume — 30,186 contracts
2011-08-08: Largest IV spike — 66.3% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.68	$19.56	$24.76	$24.76	$22.06
Max Pain	$25.43	$25.00	$26.00	$25.00	$25.00
ATM IV	45.9%	26.7%	74.9%	26.7%	38.9%
Expected Move	12.7%	7.7%	18.1%	7.7%	11.1%
HV 20d	53.9%	20.8%	71.5%	20.8%	70.9%
HV 60d	35.4%	19.4%	43.6%	19.4%	43.6%
IV Rank	62.6%	41.4%	100.0%	53.5%	41.9%
IV Percentile	93.8%	60.7%	100.0%	60.7%	93.3%
Term Structure	-4.6%	-16.0%	3.5%	-0.9%	-1.8%
VWIV	45.3%	22.7%	60.4%	26.6%	43.2%
Skew 25d	13.5%	3.6%	20.1%	4.0%	12.3%
Skew 10d	22.4%	-8.2%	31.1%	8.0%	25.8%
Call IV 25d	38.7%	25.7%	53.9%	25.7%	33.7%
Put IV 25d	52.2%	29.7%	71.0%	29.7%	46.0%
Bid-Ask Spread %	25.49	16.44	43.41	43.41	25.98
Gamma HHI	0.21	0.19	0.28	0.19	0.21
Net GEX	-3.2M	-4.1M	-2.4M	-3.0M	-3.4M
Net DEX	124.4M	47.9M	171.0M	47.9M	98.6M
Net VEX	-366.7K	-476.1K	-255.5K	-474.1K	-335.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.93	0.31	54.17	9.23	54.17
Total Volume	6,576.652	450	30,186	450	4,248
Total OI	166,784.739	153,699	184,839	153,699	168,562

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$24.76	$25.00	26.7%	7.7%	20.8%	53.5%	26.6%	4.0%	-0.9%	-3.0M	47.9M	-474.1K	9.23	43.41	44	406	46,464	107,235
2011-08-02	$24.19	$25.00	28.2%	8.1%	21.9%	59.5%	22.7%	3.6%	-0.2%	-3.8M	72.1M	-460.0K	0.88	40.17	1,406	1,242	46,465	107,286
2011-08-03	$24.60	$25.00	28.6%	8.2%	22.9%	60.7%	29.6%	4.0%	-1.7%	-3.2M	57.3M	-473.2K	1.06	32.38	3,828	4,041	47,583	106,972
2011-08-04	$23.48	$25.00	36.9%	10.6%	26.8%	93.0%	35.8%	4.1%	3.5%	-4.1M	96.2M	-472.0K	1.51	33.46	1,638	2,472	48,987	109,311
2011-08-05	$23.15	$26.00	43.4%	11.7%	26.7%	100.0%	38.7%	7.6%	-7.4%	-4.0M	108.0M	-476.1K	1.54	40.38	3,911	6,027	50,450	111,460
2011-08-08	$20.89	$26.00	72.1%	17.5%	43.4%	100.0%	60.4%	14.5%	-14.4%	-2.7M	141.4M	-398.5K	3.20	23.82	2,825	9,034	50,602	112,266
2011-08-09	$22.11	$26.00	54.0%	12.8%	49.0%	69.5%	47.2%	13.7%	1.1%	-3.9M	137.2M	-433.3K	4.34	38.73	2,771	12,021	52,124	117,867
2011-08-10	$20.33	$26.00	74.9%	18.1%	55.6%	100.0%	56.0%	20.1%	-16.0%	-2.7M	156.6M	-343.0K	2.44	20.52	1,376	3,360	53,272	114,638
2011-08-11	$21.34	$26.00	57.8%	16.6%	59.5%	72.4%	60.0%	18.7%	-12.3%	-3.2M	144.0M	-389.3K	10.67	17.68	709	7,564	53,929	116,228
2011-08-12	$20.86	$26.00	53.1%	15.2%	59.6%	64.8%	46.0%	18.2%	-9.6%	-3.2M	149.2M	-352.2K	0.31	22.89	6,959	2,151	54,122	113,189
2011-08-15	$21.58	$26.00	40.6%	11.6%	61.5%	44.7%	41.6%	14.4%	-3.4%	-3.7M	142.3M	-361.4K	1.44	18.39	1,741	2,500	60,206	114,726
2011-08-16	$21.22	$26.00	42.7%	12.3%	60.8%	48.2%	44.1%	13.8%	-3.5%	-3.7M	151.4M	-335.7K	0.84	18.92	334	281	61,448	115,641
2011-08-17	$21.36	$26.00	38.9%	11.2%	60.8%	42.0%	38.6%	12.9%	-2.2%	-4.1M	151.6M	-325.0K	1.54	21.25	1,221	1,877	61,494	115,572
2011-08-18	$20.18	$26.00	50.8%	14.6%	62.2%	61.1%	45.6%	17.8%	-7.9%	-2.9M	165.9M	-284.8K	6.12	25.14	4,238	25,948	62,229	115,230
2011-08-19	$19.56	$25.00	52.6%	15.1%	62.5%	64.0%	52.7%	18.0%	-7.8%	-2.4M	171.0M	-269.3K	2.95	18.53	1,087	3,207	66,895	117,944
2011-08-22	$19.62	$25.00	53.2%	15.2%	62.7%	65.0%	51.0%	18.3%	-5.8%	-2.4M	149.0M	-255.5K	0.60	17.31	6,259	3,776	49,880	104,850
2011-08-23	$20.63	$25.00	44.2%	12.7%	66.7%	50.5%	47.3%	16.9%	-3.2%	-2.8M	136.5M	-304.2K	0.33	16.44	3,670	1,210	55,474	106,394
2011-08-24	$21.16	$25.00	44.3%	12.7%	67.7%	50.6%	47.4%	17.0%	-0.8%	-3.0M	122.0M	-336.2K	3.29	19.57	1,688	5,557	57,640	107,044
2011-08-25	$20.70	$25.00	49.7%	14.3%	67.8%	59.4%	57.6%	18.2%	-5.7%	-2.7M	130.5M	-338.4K	1.57	21.38	919	1,445	58,337	110,670
2011-08-26	$20.96	$25.00	46.5%	13.3%	68.1%	54.3%	55.9%	17.1%	-3.4%	-2.9M	127.6M	-334.1K	2.07	22.50	597	1,235	58,540	110,108
2011-08-29	$22.10	$25.00	38.5%	11.0%	71.5%	41.4%	47.4%	13.6%	-1.6%	-3.3M	99.9M	-345.6K	2.25	22.62	1,167	2,626	58,722	109,775
2011-08-30	$21.90	$25.00	39.2%	11.2%	71.2%	42.5%	46.8%	12.6%	-1.1%	-3.4M	104.4M	-337.7K	0.98	24.91	327	320	58,797	109,421
2011-08-31	$22.06	$25.00	38.9%	11.1%	70.9%	41.9%	43.2%	12.3%	-1.8%	-3.4M	98.6M	-335.0K	54.17	25.98	77	4,171	59,064	109,498