KRE Options History — November 2011

In November 2011, KRE traded between $21.44 and $24.24. ATM implied volatility averaged 44.6%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 4.0% (HV 20d: 48.6%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 15.26.

Notable Days

  • 2011-11-23: Highest Volume — 21,695 contracts
  • 2011-11-09: Largest IV spike — 23.5% change
  • 2011-11-01: Highest IV Rank — 60.3%
  • 2011-11-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.90$21.44$24.24$22.30$23.60
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV44.6%35.0%50.2%50.2%35.0%
Expected Move12.8%10.0%14.4%14.4%10.0%
HV 20d48.6%41.5%55.3%54.1%46.0%
HV 60d53.8%51.1%58.3%58.3%53.1%
IV Rank51.2%35.7%60.3%60.3%35.7%
IV Percentile82.1%67.5%90.5%90.5%67.5%
Term Structure-0.5%-1.6%4.0%-1.3%4.0%
VWIV48.0%40.0%60.1%54.8%44.5%
Skew 25d11.3%8.5%14.3%10.0%10.2%
Skew 10d24.3%14.2%30.5%20.4%27.3%
Call IV 25d39.8%30.2%46.9%46.9%30.2%
Put IV 25d51.1%40.5%57.7%56.9%40.5%
Bid-Ask Spread %33.5416.0760.4633.5360.46
Gamma HHI0.240.180.310.230.18
Net GEX-981.7K-1.8M-484.4K-1.0M-484.4K
Net DEX18.8M-1.6M47.3M25.7M2.5M
Net VEX-326.6K-362.9K-244.0K-360.8K-244.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.260.03108.3828.813.68
Total Volume3,390.9529821,6952,8024,054
Total OI109,766.667101,208118,422107,960103,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$22.30$22.0050.2%14.4%54.1%60.3%54.8%10.0%-1.3%-1.0M25.7M-360.8K28.8133.53942,70834,95173,009
2011-11-02$23.18$22.0047.0%13.5%55.3%55.0%55.7%11.5%-1.6%-914.9K14.1M-362.9K20.8027.09501,04034,98874,744
2011-11-03$23.76$22.0042.5%12.2%55.0%47.8%54.4%13.1%-1.2%-585.6K4.4M-358.5K22.0622.421737535,01673,846
2011-11-04$23.53$22.0040.7%12.1%51.3%44.9%43.5%12.2%-0.6%-765.4K10.9M-357.1K3.0636.775215935,02274,051
2011-11-07$23.72$22.0041.1%11.9%48.3%45.6%43.2%13.1%-1.5%-617.5K4.4M-340.0K0.4032.371144635,05474,179
2011-11-08$24.24$22.0040.4%11.7%48.6%44.5%40.0%11.5%-0.8%-533.1K-1.6M-342.0K1.7346.336251,08335,15274,225
2011-11-09$22.87$22.0050.0%13.9%53.2%59.8%60.1%14.3%-1.6%-913.7K17.9M-347.2K4.0537.8811546635,35574,929
2011-11-10$23.11$22.0046.5%13.3%52.5%54.3%41.1%13.5%0.3%-851.5K13.3M-343.6K0.0332.99116335,30875,209
2011-11-11$23.60$22.0042.1%12.1%52.8%47.1%47.2%12.2%-0.5%-646.1K5.2M-334.9K108.3837.67616,61135,26175,212
2011-11-14$23.03$22.0045.3%13.0%50.9%52.3%49.0%13.1%-0.3%-1.0M17.7M-349.4K0.8146.6019916135,28081,771
2011-11-15$23.33$22.0044.9%12.9%47.0%51.7%49.6%11.5%-0.7%-893.0K13.4M-346.3K0.0433.711,1355135,28281,763
2011-11-16$23.09$22.0045.0%12.9%47.3%51.7%43.4%10.9%-0.9%-939.5K16.6M-344.3K0.0639.881,2797635,83181,780
2011-11-17$22.85$22.0047.1%13.5%47.2%55.1%44.9%11.9%-1.4%-966.2K19.6M-345.7K3.7126.6412747136,57281,825
2011-11-18$23.15$22.0043.6%12.5%46.3%49.6%45.2%10.0%1.0%-968.5K13.9M-340.0K0.7839.1556444236,67581,747
2011-11-21$22.42$22.0046.4%13.3%46.8%54.1%55.4%10.8%0.8%-1.2M32.8M-329.1K93.9429.86171,59731,43072,139
2011-11-22$22.27$22.0043.0%12.3%45.3%48.6%52.4%8.5%-0.2%-1.4M35.0M-320.7K0.0021.30020,73031,43873,695
2011-11-23$21.47$22.0047.8%13.7%46.1%56.3%46.6%9.3%-0.4%-1.8M47.3M-312.5K8.5916.072,26319,43231,43877,440
2011-11-25$21.44$22.0048.6%13.9%41.5%57.7%46.6%9.0%-0.8%-1.5M38.4M-260.5K1.6725.581,5502,59633,44067,768
2011-11-28$22.06$22.0045.5%13.0%43.3%52.6%45.9%10.1%-1.4%-1.3M31.6M-264.0K0.9230.2533030334,95369,771
2011-11-29$21.98$22.0044.0%12.6%42.2%50.3%43.8%11.2%-0.9%-1.3M32.5M-254.2K1.5827.69386035,09868,678
2011-11-30$23.60$22.0035.0%10.0%46.0%35.7%44.5%10.2%4.0%-484.4K2.5M-244.0K3.6860.468663,18835,10668,669