KRE Options History — February 2012

In February 2012, KRE traded between $26.29 and $27.40. ATM implied volatility averaged 24.3%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.6% (HV 20d: 19.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 10.76.

Notable Days

  • 2012-02-22: Highest Volume — 62,702 contracts
  • 2012-02-09: Largest IV spike — 12.5% change
  • 2012-02-15: Highest IV Rank — 22.8%
  • 2012-02-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$26.29$27.40$26.29$26.89
Max Pain$25.80$25.00$26.00$26.00$26.00
ATM IV24.3%21.1%27.0%24.3%24.0%
Expected Move7.1%6.6%7.7%7.0%6.9%
HV 20d19.7%16.2%23.8%16.2%21.8%
HV 60d28.7%23.4%32.2%31.9%23.4%
IV Rank18.5%13.2%22.8%18.4%17.9%
IV Percentile40.5%22.2%51.6%42.9%39.3%
Term Structure0.9%-1.6%2.5%1.3%-0.5%
VWIV25.6%21.9%29.7%25.6%23.9%
Skew 25d5.8%4.1%8.7%4.2%4.8%
Skew 10d13.5%7.4%27.2%7.9%9.2%
Call IV 25d22.8%21.3%25.4%22.1%22.9%
Put IV 25d28.6%25.7%32.5%26.3%27.7%
Bid-Ask Spread %24.2813.9734.3029.2822.88
Gamma HHI0.200.140.330.180.33
Net GEX-4.1M-7.0M-1.6M-1.7M-6.9M
Net DEX10.0M-12.9M27.0M10.4M18.9M
Net VEX-428.2K-490.9K-365.3K-423.6K-394.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.760.0965.072.491.01
Total Volume7,402.189562,7025,68610,102
Total OI169,397.7126,317195,794126,317195,794

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$26.29$26.0024.3%7.0%16.2%18.4%25.6%4.2%1.3%-1.7M10.4M-423.6K2.4929.281,6304,05629,61796,700
2012-02-02$26.44$26.0024.1%6.9%16.2%18.0%24.4%4.3%1.8%-1.9M4.9M-421.9K31.1020.4733910,54430,560100,402
2012-02-03$27.20$25.0022.5%7.1%17.7%15.6%22.6%6.2%1.7%-1.7M-5.5M-424.6K0.1129.403,61640930,850109,214
2012-02-06$26.92$25.0021.1%6.8%18.2%13.2%24.0%6.2%2.5%-1.6M-4.0M-418.3K7.7634.302932,27333,549109,397
2012-02-07$26.96$25.0022.1%7.1%17.6%14.9%24.8%5.7%1.7%-1.7M-11.4M-378.7K0.9215.901,4401,31933,529110,873
2012-02-08$27.10$25.0022.6%7.2%17.5%15.6%29.1%6.6%1.3%-1.7M-3.6M-423.2K35.2413.9758520,61434,377111,586
2012-02-09$26.95$26.0025.4%7.3%17.7%20.2%29.3%5.7%1.2%-3.4M5.5M-460.9K28.1624.5337810,64434,881131,864
2012-02-10$26.52$26.0026.2%7.5%18.7%21.5%28.4%6.2%1.4%-4.8M26.2M-477.4K3.7424.275962,22934,953142,291
2012-02-13$26.94$26.0025.6%7.3%19.4%20.5%26.4%6.6%1.5%-4.2M9.4M-447.1K0.7920.5186268535,425143,591
2012-02-14$26.64$26.0026.3%7.5%19.8%21.6%26.3%7.6%1.6%-5.0M26.4M-478.1K1.1115.7185294635,376144,151
2012-02-15$26.68$26.0027.0%7.7%19.6%22.8%29.7%7.1%1.3%-5.1M27.0M-482.3K0.2328.221,44833735,639144,368
2012-02-16$27.29$26.0026.7%7.6%21.0%22.2%25.1%8.7%1.2%-3.6M13.2M-490.9K0.5429.2864535136,340144,451
2012-02-17$27.40$26.0025.9%7.4%20.8%21.0%25.6%6.5%1.5%-3.2M-12.9M-406.2K0.9429.0257453736,768144,782
2012-02-21$27.23$26.0025.4%7.3%20.8%20.2%25.7%6.1%-0.3%-3.8M9.6M-424.2K0.9015.3559053232,538138,345
2012-02-22$26.57$26.0023.3%6.7%22.8%16.8%28.7%5.7%0.2%-4.9M23.0M-405.6K65.0723.0994961,75332,440138,503
2012-02-23$27.10$26.0023.2%6.6%23.8%16.6%21.9%4.9%-0.2%-6.5M18.4M-423.7K0.0925.821,73815332,526160,032
2012-02-24$26.90$26.0023.2%6.6%21.8%16.6%22.5%4.6%-0.1%-7.0M20.3M-419.2K1.0221.8451852833,328160,128
2012-02-27$27.11$26.0024.6%7.1%21.8%19.0%23.7%4.5%-1.6%-6.3M14.3M-398.7K1.4930.9136053533,629160,490
2012-02-28$27.01$26.0023.6%6.8%21.7%17.3%23.5%4.1%-0.4%-6.3M10.8M-365.3K32.5830.85622,02033,952160,715
2012-02-29$26.89$26.0024.0%6.9%21.8%17.9%23.9%4.8%-0.5%-6.9M18.9M-394.9K1.0122.885,0275,07533,986161,808