KRE Options History — September 2011

In September 2011, KRE traded between $19.02 and $21.66. ATM implied volatility averaged 51.1%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 3.8% (HV 20d: 54.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.18.

Notable Days

  • 2011-09-02: Highest Volume — 10,651 contracts
  • 2011-09-09: Largest IV spike — 29.4% change
  • 2011-09-12: Highest IV Rank — 81.6%
  • 2011-09-30: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.28$19.02$21.66$21.26$19.31
Max Pain$21.00$20.00$25.00$25.00$20.00
ATM IV51.1%41.8%63.5%45.1%60.1%
Expected Move14.3%12.0%17.2%12.9%17.2%
HV 20d54.9%48.8%71.9%70.2%54.2%
HV 60d48.5%44.2%52.6%44.2%52.6%
IV Rank61.7%46.7%81.6%51.9%76.1%
IV Percentile95.7%90.5%99.2%96.0%98.8%
Term Structure-2.1%-6.1%2.9%-4.0%-1.9%
VWIV49.8%37.9%60.0%44.8%60.0%
Skew 25d12.9%9.3%14.9%12.0%13.6%
Skew 10d24.7%17.9%32.0%22.8%22.7%
Call IV 25d43.4%36.4%51.5%39.0%51.5%
Put IV 25d56.3%46.5%65.1%51.0%65.1%
Bid-Ask Spread %36.5418.7259.6228.0239.74
Gamma HHI0.300.220.540.220.26
Net GEX-2.4M-6.8M-817.3K-3.3M-1.0M
Net DEX92.7M28.2M156.7M122.8M40.3M
Net VEX-230.8K-310.5K-185.6K-310.5K-209.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.180.7931.135.410.79
Total Volume2,757.33326610,6511,3471,681
Total OI124,184.38163,650178,504168,57175,461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$21.26$25.0045.1%12.9%70.2%51.9%44.8%12.0%-4.0%-3.3M122.8M-310.5K5.4128.022101,13759,067109,504
2011-09-02$20.24$25.0050.2%14.4%71.9%60.2%50.0%14.2%-3.9%-2.8M147.5M-264.9K1.9628.203,5977,05459,080110,346
2011-09-06$20.18$20.0054.6%13.7%62.3%67.3%47.6%14.4%-2.9%-2.8M156.2M-248.1K31.1338.591534,76360,621113,571
2011-09-07$21.37$20.0045.6%12.3%62.4%52.7%37.9%12.4%-2.2%-3.8M127.1M-291.1K1.0418.7290794357,662114,698
2011-09-08$20.66$21.0046.2%12.4%55.8%53.8%43.5%12.7%-1.7%-3.4M147.7M-261.2K1.5124.6833650858,360115,254
2011-09-09$20.04$21.0059.8%15.5%53.9%75.7%53.5%14.9%-6.1%-2.7M156.7M-245.2K1.5722.381,3442,10558,587115,580
2011-09-12$20.40$21.0063.5%15.3%53.9%81.6%53.1%14.6%-4.8%-3.2M154.9M-246.0K2.1934.0331068059,491116,868
2011-09-13$20.82$21.0049.2%14.0%52.9%58.5%49.7%13.8%-2.9%-3.8M152.5M-240.5K2.5350.398012,03059,626116,984
2011-09-14$21.16$21.0045.6%13.6%52.9%52.7%45.2%11.2%-2.8%-4.4M147.8M-242.0K1.4340.698281,18759,844117,964
2011-09-15$21.66$21.0044.6%12.8%53.6%51.2%46.8%10.6%-0.9%-6.8M128.9M-242.7K2.2842.188118559,668118,836
2011-09-16$21.38$21.0041.8%12.0%49.4%46.7%41.3%10.1%-0.2%-3.5M143.6M-226.0K1.5638.859111,41755,624118,900
2011-09-19$20.64$21.0043.9%12.6%49.8%50.0%46.2%10.8%0.3%-817.3K28.2M-211.9K1.9741.098031,58022,05541,595
2011-09-20$20.45$21.0044.7%12.8%50.0%51.3%46.6%9.3%2.9%-825.8K29.9M-208.5K1.4834.9228742522,63541,674
2011-09-21$19.14$21.0050.4%14.5%52.1%60.5%49.4%12.1%-0.2%-867.1K38.2M-185.6K4.4946.385702,56122,89142,000
2011-09-22$19.02$21.0057.3%16.4%51.0%71.7%57.8%13.9%-4.1%-874.3K40.2M-189.5K2.6259.621,0262,68723,06443,646
2011-09-23$19.09$20.0057.3%16.4%50.7%71.6%55.6%13.7%-2.0%-862.1K38.9M-196.8K8.5444.075084,34023,95344,293
2011-09-26$19.82$20.0051.2%14.7%52.5%61.9%51.1%13.0%-0.3%-1.0M36.3M-206.8K3.4428.885711,96224,32146,413
2011-09-27$20.11$20.0051.5%14.8%48.8%62.3%51.7%14.6%-1.8%-971.1K33.7M-210.8K4.3231.513651,57624,76846,776
2011-09-28$19.15$20.0059.0%16.9%51.2%74.3%59.2%14.6%-4.0%-986.2K40.7M-194.9K4.4548.487733,43624,75646,944
2011-09-29$20.03$20.0052.6%15.1%54.2%64.1%55.6%14.0%-1.2%-1.0M35.0M-213.6K3.0126.0031695025,52048,972
2011-09-30$19.31$20.0060.1%17.2%54.2%76.1%60.0%13.6%-1.9%-1.0M40.3M-209.8K0.7939.7493974225,73549,726