KRE Options History — January 2012

In January 2012, KRE traded between $25.00 and $26.48. ATM implied volatility averaged 26.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.5% (HV 20d: 23.5%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.00.

Notable Days

  • 2012-01-30: Highest Volume — 21,787 contracts
  • 2012-01-12: Largest IV spike — 22.2% change
  • 2012-01-17: Highest IV Rank — 27.6%
  • 2012-01-17: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.98$25.00$26.48$25.00$25.81
Max Pain$25.20$24.00$26.00$24.00$26.00
ATM IV26.0%22.9%30.0%29.7%25.1%
Expected Move7.7%6.6%8.6%8.5%7.2%
HV 20d23.5%16.9%31.5%31.5%17.0%
HV 60d38.0%32.0%43.8%43.8%32.0%
IV Rank21.2%16.1%27.6%27.1%19.7%
IV Percentile49.1%34.5%60.7%60.3%46.4%
Term Structure1.3%0.2%3.8%2.6%0.5%
VWIV27.8%22.5%32.0%28.6%24.8%
Skew 25d6.0%3.8%7.6%6.9%4.4%
Skew 10d13.9%9.6%22.0%22.0%14.2%
Call IV 25d24.5%20.3%27.8%27.8%23.7%
Put IV 25d30.5%25.3%35.2%34.7%28.1%
Bid-Ask Spread %34.9520.0048.0935.9745.91
Gamma HHI0.200.150.310.180.16
Net GEX876.8K-1.6M2.3M390.8K-1.6M
Net DEX-26.1M-45.5M13.0M-11.6M13.0M
Net VEX-287.3K-382.9K-234.1K-261.0K-382.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.000.0651.211.6551.21
Total Volume6,21542321,7871,85514,461
Total OI98,839.7585,169120,64187,398114,335

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$25.00$24.0029.7%8.5%31.5%27.1%28.6%6.9%2.6%390.8K-11.6M-261.0K1.6535.976991,15634,49252,906
2012-01-04$25.15$24.0028.5%8.2%30.9%25.2%29.3%5.0%3.2%612.1K-16.3M-257.1K0.1223.703794434,84652,836
2012-01-05$25.63$24.0025.3%7.3%31.2%20.1%31.1%5.6%3.8%961.8K-25.0M-247.7K0.3839.891,31550335,11851,949
2012-01-06$25.53$24.0025.5%8.4%31.3%20.4%32.0%7.6%0.9%760.5K-22.2M-253.5K0.5838.811,13765436,17251,974
2012-01-09$25.93$25.0025.4%8.4%28.2%20.2%30.0%7.3%0.5%1.1M-32.4M-234.1K0.2533.503,21981636,84352,345
2012-01-10$26.11$25.0024.9%8.4%26.9%19.4%29.8%7.5%0.2%1.4M-39.2M-245.3K1.7626.293,3395,87439,04252,814
2012-01-11$26.22$25.0024.0%8.4%25.9%17.9%30.1%7.1%0.5%1.6M-42.5M-269.8K7.2940.239216,71641,55758,135
2012-01-12$26.33$25.0029.3%8.4%24.6%26.5%31.2%7.3%0.5%1.4M-42.4M-287.4K0.5935.192,1251,25842,23264,488
2012-01-13$26.22$25.0029.2%8.4%24.4%26.3%30.9%7.5%0.7%1.5M-39.5M-295.4K0.0648.093,97524043,24265,560
2012-01-17$26.10$25.0030.0%8.6%24.6%27.6%29.8%7.2%0.7%1.7M-40.1M-290.9K0.7720.001,28398244,87065,679
2012-01-18$26.28$25.0028.8%8.3%24.6%25.7%29.3%7.0%0.9%1.9M-45.1M-290.7K10.5638.3095410,07545,25566,476
2012-01-19$26.18$25.0026.8%7.7%22.4%22.4%26.7%4.7%1.6%2.3M-40.2M-316.0K0.3934.772,8821,11445,49175,150
2012-01-20$26.46$26.0025.2%7.2%18.4%19.8%25.0%6.6%1.6%977.6K-45.5M-289.1K0.6041.192,2611,35942,96676,061
2012-01-23$26.32$26.0024.6%7.0%18.4%18.8%24.1%4.8%1.5%538.8K-19.6M-290.0K0.2229.034,20792427,36957,800
2012-01-24$26.35$26.0023.8%6.8%17.0%17.6%24.0%5.4%1.6%610.3K-22.4M-312.9K0.6034.211,06163232,06359,295
2012-01-25$26.48$26.0022.9%6.6%16.9%16.1%22.5%5.0%1.5%782.2K-24.6M-280.1K3.9920.266342,53129,81259,648
2012-01-26$25.79$26.0023.3%6.7%20.0%16.8%23.2%4.8%0.7%172.4K-9.4M-284.0K0.7544.656,5834,95028,42461,316
2012-01-27$25.94$26.0023.6%6.8%18.5%17.3%23.3%3.8%0.9%308.8K-10.7M-334.2K0.1024.2610,2331,01733,61065,390
2012-01-30$25.79$26.0024.7%7.1%17.9%19.1%29.8%4.6%0.8%181.5K-6.1M-324.2K38.1944.7455621,23133,21166,023
2012-01-31$25.81$26.0025.1%7.2%17.0%19.7%24.8%4.4%0.5%-1.6M13.0M-382.9K51.2145.9127714,18429,70284,633