KRE Options History — April 2012

In April 2012, KRE traded between $27.01 and $28.71. ATM implied volatility averaged 24.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.0% (HV 20d: 21.6%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 11.34.

Notable Days

  • 2012-04-09: Highest Volume — 21,097 contracts
  • 2012-04-10: Largest IV spike — 20.3% change
  • 2012-04-10: Highest IV Rank — 23.8%
  • 2012-04-16: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.85$27.01$28.71$28.67$28.07
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV24.6%20.6%29.1%20.8%24.6%
Expected Move7.1%5.9%8.1%6.0%7.1%
HV 20d21.6%19.1%22.9%22.8%22.9%
HV 60d21.5%19.8%22.6%19.9%22.2%
IV Rank17.0%9.6%23.8%12.8%16.4%
IV Percentile41.7%13.1%58.7%19.8%42.5%
Term Structure1.2%0.3%2.4%1.6%1.5%
VWIV26.1%20.7%30.9%25.3%24.6%
Skew 25d5.7%4.0%6.8%6.2%4.0%
Skew 10d13.1%11.0%16.4%14.4%11.2%
Call IV 25d22.9%19.9%25.9%19.9%23.0%
Put IV 25d28.6%24.6%31.9%26.1%27.1%
Bid-Ask Spread %30.4013.2142.3721.4241.07
Gamma HHI0.290.240.370.270.31
Net GEX-5.2M-7.8M-2.8M-5.0M-3.3M
Net DEX47.9M8.1M83.5M22.4M21.6M
Net VEX-418.7K-466.5K-371.9K-466.5K-371.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.340.2766.629.780.69
Total Volume3,681.2527521,0977333,190
Total OI129,024.8108,901149,322126,782111,871

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$28.67$29.0020.8%6.0%22.8%12.8%25.3%6.2%1.6%-5.0M22.4M-466.5K9.7821.426866530,07996,703
2012-04-03$28.71$29.0020.8%6.0%20.2%12.8%21.3%5.6%2.0%-4.9M19.5M-457.9K1.9531.8313225830,10297,028
2012-04-04$28.20$29.0023.4%6.7%21.3%17.0%28.7%6.2%1.0%-5.1M37.4M-450.5K1.4628.5011216330,11997,200
2012-04-05$28.02$29.0022.4%6.4%21.1%15.4%22.1%5.8%2.2%-5.3M43.9M-444.9K0.6317.8936523130,16597,319
2012-04-09$27.55$29.0024.2%7.1%21.5%15.7%26.3%5.6%0.6%-5.4M61.2M-424.9K66.6214.2531220,78530,11297,517
2012-04-10$27.01$29.0029.1%7.9%22.7%23.8%30.9%5.9%0.3%-5.4M77.2M-417.4K29.1728.0839611,55130,10097,318
2012-04-11$27.53$29.0025.1%7.4%19.1%17.1%26.9%6.1%0.5%-6.1M68.9M-442.3K1.0528.0534536130,157108,621
2012-04-12$27.88$29.0025.4%7.3%19.6%17.6%25.3%5.4%0.3%-5.8M51.9M-428.6K1.5525.8118628830,172108,813
2012-04-13$27.09$29.0028.1%8.0%20.5%22.1%27.7%6.0%0.3%-6.6M83.2M-437.2K23.7540.112836,72130,207108,610
2012-04-16$27.38$29.0028.2%8.1%21.0%22.3%30.3%6.8%0.5%-7.8M83.5M-436.6K0.3540.712,19577530,274114,796
2012-04-17$27.94$29.0025.8%7.4%22.2%18.4%26.3%6.3%0.8%-7.2M59.3M-429.5K9.7735.342102,05130,536115,158
2012-04-18$27.60$29.0025.6%7.3%22.4%18.0%27.9%6.3%1.1%-7.8M69.0M-412.7K39.4629.53813,19630,612115,096
2012-04-19$27.50$29.0027.0%7.7%22.4%20.3%26.1%5.6%1.0%-7.8M74.8M-402.6K8.6638.301791,55130,671117,825
2012-04-20$27.67$29.0024.1%6.9%21.9%15.5%24.3%6.1%1.6%-4.9M70.5M-404.0K1.1935.021,6191,92330,653118,669
2012-04-23$27.42$29.0026.5%7.6%21.9%19.5%28.7%5.6%1.3%-3.7M41.1M-400.5K2.8913.217922826,98681,915
2012-04-24$27.79$29.0024.3%7.0%21.8%15.8%29.1%6.2%1.5%-3.5M29.3M-392.5K8.1134.113042,46527,02582,114
2012-04-25$28.17$29.0024.1%6.9%22.4%15.6%22.6%5.6%1.3%-3.4M20.9M-398.8K0.4833.181,64979927,17784,294
2012-04-26$28.33$29.0022.9%6.6%22.2%13.5%27.0%4.4%2.2%-3.1M14.1M-382.6K19.0629.163737,11127,95284,833
2012-04-27$28.54$29.0020.6%5.9%22.2%9.6%20.7%4.4%2.4%-2.8M8.1M-372.6K0.2742.373359027,85883,839
2012-04-30$28.07$29.0024.6%7.1%22.9%16.4%24.6%4.0%1.5%-3.3M21.6M-371.9K0.6941.071,8871,30327,98983,882