KRE Options History — March 2012

In March 2012, KRE traded between $25.94 and $29.10. ATM implied volatility averaged 23.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.5% (HV 20d: 22.8%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 9.77.

Notable Days

  • 2012-03-15: Highest Volume — 61,444 contracts
  • 2012-03-08: Largest IV drop — 16.7% change
  • 2012-03-07: Highest IV Rank — 23.0%
  • 2012-03-06: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.94$25.94$29.10$27.00$28.47
Max Pain$27.91$26.00$29.00$26.00$29.00
ATM IV23.2%21.5%27.1%23.9%22.9%
Expected Move6.5%6.0%7.2%6.8%6.6%
HV 20d22.8%18.8%25.3%21.0%22.9%
HV 60d21.9%20.1%23.9%23.4%20.1%
IV Rank16.7%13.9%23.0%17.7%16.2%
IV Percentile35.2%23.0%53.2%39.3%34.5%
Term Structure1.7%-0.1%2.9%-0.1%1.4%
VWIV24.8%20.4%29.7%22.8%20.6%
Skew 25d5.5%4.5%6.7%4.5%5.3%
Skew 10d11.9%8.6%16.2%8.6%9.7%
Call IV 25d21.1%18.4%23.1%22.1%20.2%
Put IV 25d26.5%23.6%29.9%26.6%25.4%
Bid-Ask Spread %32.2419.7143.5225.0924.95
Gamma HHI0.320.210.430.330.27
Net GEX-4.7M-11.4M2.5M-6.4M-5.0M
Net DEX10.5M-72.1M67.3M9.0M26.9M
Net VEX-462.3K-548.3K-338.9K-471.1K-454.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.770.0494.450.040.29
Total Volume10,041.54589061,4443,0721,663
Total OI176,516.364119,767227,449205,296126,076

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$27.00$26.0023.9%6.8%21.0%17.7%22.8%4.5%-0.1%-6.4M9.0M-471.1K0.0425.092,96710538,875166,421
2012-03-02$26.67$26.0023.4%6.7%21.5%16.9%24.8%5.5%0.4%-7.8M27.7M-476.5K0.5235.084,5742,36241,609166,514
2012-03-05$26.60$27.0023.5%6.6%18.8%17.2%24.9%5.9%2.3%-8.1M23.2M-464.6K1.9832.037521,48846,117169,287
2012-03-06$25.94$27.0026.8%7.2%20.4%22.5%25.2%6.7%2.1%-11.4M67.3M-502.2K4.3324.364301,86446,754169,673
2012-03-07$26.36$27.0027.1%7.2%21.3%23.0%27.9%6.3%1.8%-10.3M36.8M-479.7K25.8023.941,18230,49846,869169,563
2012-03-08$26.75$27.0022.6%6.4%22.0%15.7%24.4%6.3%2.6%-7.6M17.7M-491.7K0.2643.5270418646,476179,744
2012-03-09$27.18$27.0022.7%6.3%22.7%15.8%21.2%6.1%2.9%-5.3M-6.6M-462.1K0.2836.534,5291,27546,290179,819
2012-03-12$27.06$27.0023.3%6.3%21.9%16.9%21.6%4.9%2.6%-5.9M-3.2M-406.2K1.6638.471,9443,23242,230180,674
2012-03-13$28.11$27.0022.7%6.0%25.1%15.8%20.6%5.3%2.3%290.0K-47.6M-359.9K1.0937.741,3541,47643,654183,795
2012-03-14$28.27$28.0022.9%6.1%24.6%16.1%20.4%4.5%2.7%463.3K-48.2M-341.0K0.8540.166,3355,37740,771181,488
2012-03-15$28.83$28.0021.5%6.2%25.3%13.9%25.0%4.7%1.9%2.5M-72.1M-338.9K25.0431.922,36059,08446,109176,975
2012-03-16$28.83$28.0022.1%6.3%24.3%14.8%24.4%5.0%2.4%126.1K3.6M-456.9K1.3541.799061,22230,178193,501
2012-03-19$29.10$28.0023.3%6.7%24.4%16.9%27.3%5.1%1.6%-2.3M-894.5K-469.7K13.0226.003,40244,28327,36192,406
2012-03-20$28.95$29.0023.4%6.7%24.4%16.9%23.8%6.3%1.4%-4.7M23.9M-548.3K2.4327.056751,64029,059105,840
2012-03-21$28.83$29.0023.3%6.7%22.3%16.7%25.0%5.3%1.2%-4.3M22.5M-515.4K20.3337.192665,40928,26996,078
2012-03-22$28.32$29.0024.8%7.1%22.8%19.2%29.7%5.5%1.0%-4.7M37.8M-524.5K3.4128.975671,93628,43396,264
2012-03-23$28.44$29.0022.9%6.6%22.5%16.2%28.9%4.8%0.9%-5.0M34.4M-518.5K94.4535.9421119,92828,75496,579
2012-03-26$28.85$29.0021.7%6.2%22.8%14.3%25.2%5.6%1.1%-4.3M16.2M-473.1K3.3434.6923879628,77193,736
2012-03-27$28.61$29.0022.3%6.4%23.1%15.2%26.2%5.0%1.1%-4.4M22.4M-469.2K2.0531.4434570728,86194,353
2012-03-28$28.85$29.0022.0%6.3%23.0%14.8%27.6%5.8%1.7%-4.4M16.7M-477.1K4.0932.673071,25729,10994,879
2012-03-29$28.59$29.0022.1%6.3%23.4%14.9%27.1%5.6%1.5%-4.6M23.5M-468.7K8.2919.7111696229,36795,779
2012-03-30$28.47$29.0022.9%6.6%22.9%16.2%20.6%5.3%1.4%-5.0M26.9M-454.1K0.2924.951,29237129,45596,621