KRE Options History — May 2012

In May 2012, KRE traded between $26.18 and $28.18. ATM implied volatility averaged 26.6%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.6% (HV 20d: 18.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.99.

Notable Days

  • 2012-05-09: Highest Volume — 5,267 contracts
  • 2012-05-09: Largest IV spike — 19.1% change
  • 2012-05-17: Highest IV Rank — 29.3%
  • 2012-05-17: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.18$26.18$28.18$28.18$26.63
Max Pain$28.14$28.00$29.00$29.00$28.00
ATM IV26.6%22.0%32.4%23.7%25.7%
Expected Move7.7%6.5%9.3%6.8%7.4%
HV 20d18.0%14.6%22.8%22.8%16.2%
HV 60d21.0%20.3%21.7%21.5%20.3%
IV Rank19.7%12.1%29.3%14.9%18.2%
IV Percentile45.9%18.7%61.9%36.5%43.7%
Term Structure1.6%-0.5%3.7%2.3%3.7%
VWIV28.5%22.9%36.7%23.7%28.1%
Skew 25d7.5%4.0%9.9%4.0%9.2%
Skew 10d16.0%9.6%24.5%12.0%21.9%
Call IV 25d24.3%21.2%28.4%22.3%24.3%
Put IV 25d31.7%25.2%37.3%26.3%33.5%
Bid-Ask Spread %30.6715.5851.3342.6219.04
Gamma HHI0.400.270.610.330.44
Net GEX-4.3M-6.7M-2.7M-3.5M-3.3M
Net DEX48.4M19.8M85.0M20.3M67.5M
Net VEX-296.1K-369.8K-218.9K-369.8K-218.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.0036.000.610.00
Total Volume1,408.2271675,2671,1462,353
Total OI108,657.63693,610119,582112,811100,080

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$28.18$29.0023.7%6.8%22.8%14.9%23.7%4.0%2.3%-3.5M20.3M-369.8K0.6142.6271043627,93584,876
2012-05-02$28.14$29.0022.7%6.5%22.8%13.1%22.9%4.0%2.7%-3.6M19.8M-362.5K0.9134.4842738728,12685,097
2012-05-03$27.94$29.0022.6%6.5%22.0%13.0%0.0%4.3%2.2%-3.9M25.4M-362.0K1.0451.3367770128,25484,979
2012-05-04$27.55$28.0022.0%7.0%22.5%12.1%26.8%7.0%1.9%-4.3M36.4M-354.0K36.0031.88993,56428,78684,883
2012-05-07$27.80$28.0022.8%7.1%21.9%13.4%27.1%5.6%1.3%-4.5M32.2M-340.5K0.7131.1719413728,82287,400
2012-05-08$27.82$28.0022.7%7.1%20.6%13.2%25.2%7.0%1.5%-4.8M31.5M-343.2K0.4429.731165128,76787,425
2012-05-09$27.49$28.0027.1%7.9%20.0%20.4%27.9%7.1%0.2%-5.1M42.6M-332.7K27.7827.651835,08428,74387,423
2012-05-10$27.82$28.0025.3%7.3%19.9%17.5%25.9%6.5%1.6%-5.1M31.3M-331.5K4.8715.584622428,79890,784
2012-05-11$27.72$28.0025.8%7.4%16.9%18.3%27.1%6.7%2.0%-5.3M35.6M-325.1K2.4927.7723558628,79887,971
2012-05-14$27.26$28.0029.1%8.3%17.6%23.8%29.5%7.2%0.5%-5.7M51.5M-312.3K2.8716.096017228,88088,126
2012-05-15$27.06$28.0029.4%8.4%16.0%24.3%30.2%7.5%0.7%-5.6M57.4M-302.8K1.1532.9726130128,89787,962
2012-05-16$26.86$28.0029.5%8.5%15.7%24.5%32.8%6.9%1.4%-5.6M63.3M-293.5K1.9315.7235268028,96788,133
2012-05-17$26.43$28.0032.4%9.3%16.5%29.3%31.7%7.8%-0.2%-6.0M75.9M-274.1K4.9136.503011,47828,95188,405
2012-05-18$26.18$28.0032.3%9.3%16.5%29.1%36.7%8.9%1.6%-6.7M85.0M-271.4K8.1233.903272,65529,03788,197
2012-05-21$26.41$28.0030.2%8.7%16.8%25.7%30.1%9.5%-0.5%-2.7M58.3M-253.9K0.9217.1458853925,69367,917
2012-05-22$26.59$28.0027.6%7.9%16.1%21.3%28.0%8.8%1.4%-2.9M56.4M-251.0K0.4942.7137718525,95668,401
2012-05-23$26.66$28.0028.0%8.0%15.1%22.0%30.5%9.2%1.3%-2.9M53.3M-251.4K0.0825.324733926,07668,494
2012-05-24$26.88$28.0027.5%7.9%15.3%21.2%29.3%9.9%2.2%-3.3M49.0M-256.9K1.1217.5220122526,38168,518
2012-05-25$26.84$28.0026.6%7.6%14.9%19.6%28.2%9.3%2.5%-3.2M52.5M-249.1K1.5442.957010826,52568,669
2012-05-29$27.08$28.0025.7%7.4%14.6%18.2%26.7%9.0%2.6%-4.1M51.9M-234.5K33.5737.931274,26326,58368,645
2012-05-30$26.51$28.0027.4%7.9%15.9%21.0%30.5%8.6%2.5%-3.0M67.9M-221.8K0.2744.8177621326,59072,518
2012-05-31$26.63$28.0025.7%7.4%16.2%18.2%28.1%9.2%3.7%-3.3M67.5M-218.9K0.0019.042,3431027,26972,811