KRE Options History — October 2011

In October 2011, KRE traded between $18.57 and $24.36. ATM implied volatility averaged 47.4%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 12.2% (HV 20d: 59.6%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 5.31.

Notable Days

  • 2011-10-25: Highest Volume — 22,032 contracts
  • 2011-10-07: Largest IV spike — 15.5% change
  • 2011-10-03: Highest IV Rank — 88.1%
  • 2011-10-03: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.79$18.57$24.36$18.57$23.46
Max Pain$20.24$20.00$21.00$20.00$21.00
ATM IV47.4%37.5%67.5%67.5%43.1%
Expected Move13.6%10.7%19.3%19.3%12.4%
HV 20d59.6%53.2%65.4%53.2%55.5%
HV 60d58.6%53.0%61.7%53.0%61.2%
IV Rank55.7%39.7%88.1%88.1%48.7%
IV Percentile86.9%76.6%99.2%99.2%81.0%
Term Structure-1.3%-5.7%1.0%-5.7%0.2%
VWIV51.5%39.2%76.3%68.1%47.2%
Skew 25d12.8%8.4%17.3%14.6%9.7%
Skew 10d27.3%14.5%42.6%24.8%18.1%
Call IV 25d41.7%33.9%61.4%61.4%38.4%
Put IV 25d54.5%42.3%76.0%76.0%48.1%
Bid-Ask Spread %38.3911.6866.7034.0511.68
Gamma HHI0.240.170.300.240.21
Net GEX-682.7K-1.4M313.3K-979.4K-663.5K
Net DEX14.7M-9.6M45.4M45.4M6.1M
Net VEX-249.4K-356.5K-192.7K-192.7K-352.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.310.2946.294.945.23
Total Volume4,259.04822022,0323,9251,290
Total OI90,407.57175,168107,08176,679107,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$18.57$20.0067.5%19.3%53.2%88.1%68.1%14.6%-5.7%-979.4K45.4M-192.7K4.9434.056613,26426,46450,215
2011-10-04$20.06$20.0060.1%17.2%60.6%76.2%63.5%15.9%-2.4%-1.2M36.3M-219.5K0.6223.433,0761,89426,44053,191
2011-10-05$20.32$20.0055.9%16.0%56.9%69.5%60.1%13.6%-0.4%-1.1M30.2M-235.2K4.4527.103981,77229,24154,364
2011-10-06$20.95$20.0049.9%14.3%56.8%59.7%61.8%13.6%1.0%-889.7K23.5M-239.3K1.5928.366541,03929,34154,234
2011-10-07$19.93$20.0057.6%15.9%58.6%72.2%0.0%17.3%-2.4%-1.1M35.3M-223.6K5.8123.683091,79629,37254,073
2011-10-10$21.04$20.0050.4%14.7%61.5%60.6%55.2%17.1%-1.5%-929.0K23.9M-229.3K46.2923.302079,58329,49755,114
2011-10-11$21.25$20.0050.1%14.4%61.2%60.1%76.3%15.8%-1.9%-1.1M23.0M-240.4K0.4335.671888029,58759,788
2011-10-12$21.81$20.0042.7%12.7%61.6%48.1%43.4%14.4%-0.7%-794.7K14.3M-233.0K0.2938.332,85382529,68359,812
2011-10-13$21.35$20.0046.5%13.3%61.5%54.2%51.1%13.8%-0.7%-955.1K19.1M-236.5K7.6329.102171,65531,83360,251
2011-10-14$21.54$20.0043.2%12.4%61.4%48.9%41.6%15.2%0.1%-846.2K16.3M-232.2K0.2946.202858431,93661,111
2011-10-17$20.63$20.0044.6%12.8%62.1%51.2%49.3%9.5%0.6%-1.4M27.9M-222.8K2.2659.021,2802,89032,04561,148
2011-10-18$21.88$20.0046.6%13.4%65.4%54.4%55.5%16.0%-2.9%-496.3K11.0M-224.0K0.9954.921,0411,02932,44961,444
2011-10-19$21.89$20.0043.2%12.4%60.0%49.0%42.4%12.8%-2.9%-272.7K8.0M-225.0K0.6566.701,5681,02533,02861,683
2011-10-20$22.25$20.0046.5%13.3%59.9%54.3%49.7%8.8%-3.6%-256.8K3.4M-225.7K2.5862.499452,44134,10162,598
2011-10-21$22.91$20.0041.2%11.8%60.4%45.7%39.2%8.7%-0.5%313.3K-7.0M-222.1K0.7344.761,18886934,66762,396
2011-10-24$23.44$20.0043.1%12.4%59.7%48.8%52.8%13.6%-0.6%-88.2K-4.5M-230.2K1.6254.142,7444,44630,25744,911
2011-10-25$22.64$21.0043.8%12.6%61.5%49.9%46.5%11.0%-1.2%-209.9K1.6M-239.1K18.9048.281,10720,92532,67446,311
2011-10-26$23.17$21.0043.1%12.4%58.2%48.7%41.4%10.0%-1.0%-650.7K8.7M-336.4K1.4032.3457780633,48765,769
2011-10-27$24.36$21.0039.0%11.2%58.7%42.1%42.9%8.7%-0.2%-295.4K-9.6M-321.5K4.0520.822,4169,79333,90266,011
2011-10-28$24.18$21.0037.5%10.7%56.5%39.7%42.2%8.4%-0.2%-457.5K-3.4M-356.5K0.7741.851249634,83672,245
2011-10-31$23.46$21.0043.1%12.4%55.5%48.7%47.2%9.7%0.2%-663.5K6.1M-352.2K5.2311.682071,08334,78872,262