KRE Options History — December 2011

In December 2011, KRE traded between $22.80 and $24.73. ATM implied volatility averaged 35.6%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 4.2% (HV 20d: 39.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.81.

Notable Days

  • 2011-12-15: Highest Volume — 53,057 contracts
  • 2011-12-12: Largest IV spike — 22.2% change
  • 2011-12-08: Highest IV Rank — 52.7%
  • 2011-12-08: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$22.80$24.73$23.38$24.41
Max Pain$23.81$22.00$24.00$22.00$24.00
ATM IV35.6%27.5%45.6%41.5%31.2%
Expected Move10.0%7.9%12.3%11.9%8.9%
HV 20d39.7%30.4%44.2%44.2%30.6%
HV 60d49.3%43.9%51.9%51.9%43.9%
IV Rank36.6%23.6%52.7%46.2%29.5%
IV Percentile65.7%57.1%83.3%72.2%61.5%
Term Structure1.5%-3.0%3.7%-3.0%3.6%
VWIV36.9%29.2%63.7%40.8%34.0%
Skew 25d8.8%5.7%11.2%7.0%5.7%
Skew 10d19.8%12.6%28.1%14.1%13.4%
Call IV 25d31.2%25.9%36.9%36.5%27.8%
Put IV 25d40.0%32.5%48.1%43.5%33.5%
Bid-Ask Spread %32.765.6150.8934.525.61
Gamma HHI0.180.160.230.180.17
Net GEX-224.7K-942.8K238.4K-534.3K147.5K
Net DEX2.3M-11.3M26.0M3.9M-4.3M
Net VEX-250.7K-284.0K-216.3K-239.0K-271.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.810.1278.141.081.02
Total Volume4,649.85711353,0571,4801,420
Total OI99,071.42977,129120,340103,98487,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$23.38$22.0041.5%11.9%44.2%46.2%40.8%7.0%-3.0%-534.3K3.9M-239.0K1.0834.5271176935,65468,330
2011-12-02$23.59$22.0038.5%11.0%43.4%41.3%41.7%9.9%-0.8%-475.5K1.3M-246.1K0.1946.483,39365136,09769,071
2011-12-05$24.04$24.0038.9%10.7%43.7%42.0%34.5%10.4%-0.1%2.9K-11.3M-243.1K0.2234.832,36952039,37669,514
2011-12-06$23.82$24.0038.7%10.8%43.8%41.6%41.9%10.8%-0.1%-104.1K-7.3M-241.9K4.0033.022610440,30169,709
2011-12-07$23.92$24.0042.1%11.2%43.1%47.1%36.2%10.5%-0.9%-130.0K-8.2M-248.8K0.5235.4265633940,29669,739
2011-12-08$23.11$24.0045.6%12.3%39.6%52.7%63.7%11.2%-2.9%-535.5K7.8M-241.9K1.4045.4252673840,33469,869
2011-12-09$23.77$24.0035.6%10.4%40.6%36.7%36.5%10.3%0.8%106.8K-9.5M-227.6K0.9650.8922321540,82769,853
2011-12-12$23.43$24.0043.5%11.2%40.3%49.4%36.9%10.1%0.2%-110.5K-789.5K-219.1K3.5242.15258841,02870,054
2011-12-13$23.04$24.0041.1%11.2%39.8%45.5%36.9%10.8%1.5%-310.3K7.5M-216.3K17.9418.102244,01941,01470,069
2011-12-14$22.89$24.0038.3%11.1%39.6%41.0%46.5%10.4%1.7%-316.5K11.6M-223.1K78.1437.51866,72041,20673,168
2011-12-15$23.20$24.0037.3%10.7%39.7%39.4%43.4%10.1%3.0%95.1K6.3M-253.3K0.1235.8447,4325,62541,21579,125
2011-12-16$23.34$24.0036.2%10.4%39.6%37.7%33.5%9.1%3.0%-285.9K12.4M-271.1K0.9820.331,5041,47835,90184,340
2011-12-19$22.80$24.0034.5%9.9%40.2%34.8%34.1%9.7%3.1%-942.8K26.0M-262.4K1.2627.8455169423,88653,243
2011-12-20$23.77$24.0031.7%9.1%41.1%30.4%32.0%7.4%2.8%-679.0K14.0M-253.6K1.7731.0649988324,02353,643
2011-12-21$24.10$24.0029.8%8.5%41.1%27.3%29.2%7.4%3.2%-684.4K13.3M-256.8K2.2632.9123953924,30654,049
2011-12-22$24.67$24.0028.0%8.0%38.7%24.3%30.5%7.4%3.7%-408.2K4.8M-254.2K0.1736.227,5181,26524,48754,129
2011-12-23$24.60$24.0027.5%7.9%38.8%23.6%33.1%6.4%3.6%-59.8K-1.1M-284.0K0.2535.432,14054431,37854,598
2011-12-27$24.72$24.0028.5%8.2%37.9%25.2%29.2%7.1%3.1%223.7K-8.0M-269.8K1.7235.8933357333,48552,766
2011-12-28$24.28$24.0030.9%8.9%38.7%29.1%31.8%6.0%2.9%43.2K-1.6M-272.1K3.8318.3619373933,73352,726
2011-12-29$24.73$24.0028.0%8.0%30.4%24.3%29.4%6.9%3.6%238.4K-8.3M-267.8K0.7530.2161546133,87152,934
2011-12-30$24.41$24.0031.2%8.9%30.6%29.5%34.0%5.7%3.6%147.5K-4.3M-271.5K1.025.6170371734,21852,935