KRE Options History — June 2012

In June 2012, KRE traded between $24.94 and $27.38. ATM implied volatility averaged 26.9%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.3% (HV 20d: 25.6%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.86.

Notable Days

  • 2012-06-01: Highest Volume — 5,911 contracts
  • 2012-06-06: Largest IV drop — 18.9% change
  • 2012-06-04: Highest IV Rank — 34.4%
  • 2012-06-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.08$24.94$27.38$25.38$27.38
Max Pain$26.10$26.00$28.00$28.00$26.00
ATM IV26.9%21.8%35.4%34.3%22.2%
Expected Move7.9%6.3%9.8%9.8%6.4%
HV 20d25.6%22.1%28.2%22.8%22.1%
HV 60d21.9%21.1%22.7%22.3%22.7%
IV Rank20.2%11.7%34.4%32.5%12.4%
IV Percentile40.1%9.1%62.7%61.9%10.3%
Term Structure1.8%0.0%3.3%0.0%2.3%
VWIV29.3%22.4%37.5%31.8%24.0%
Skew 25d7.7%3.8%9.7%9.6%3.8%
Skew 10d15.9%7.9%19.7%16.1%7.9%
Call IV 25d24.8%20.6%30.6%30.0%20.6%
Put IV 25d32.4%24.4%39.7%39.7%24.4%
Bid-Ask Spread %24.0213.8043.6037.4043.60
Gamma HHI0.180.130.290.220.15
Net GEX-749.6K-1.8M132.6K-1.8M132.6K
Net DEX43.4M-8.3M90.3M80.5M-8.3M
Net VEX-189.4K-202.4K-181.5K-202.4K-191.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.0014.1614.1610.37
Total Volume1,547.286815,9115,9113,241
Total OI74,335.76234,362112,138102,20838,911

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$25.38$28.0034.3%9.8%22.8%32.5%31.8%9.6%0.0%-1.8M80.5M-202.4K14.1637.403905,52129,38872,820
2012-06-04$24.94$26.0035.4%9.8%23.0%34.4%37.5%8.7%0.7%-1.7M88.5M-190.1K2.2235.4218541129,46975,229
2012-06-05$25.00$26.0033.3%9.3%22.6%30.9%36.1%8.8%1.7%-1.5M90.3M-183.1K4.0434.311,0514,24929,62975,348
2012-06-06$25.54$26.0027.1%8.4%24.4%20.4%36.7%8.7%2.1%-1.8M86.4M-194.6K5.2216.718845930,54178,322
2012-06-07$25.69$26.0025.3%8.4%24.5%17.5%34.4%9.3%1.7%-1.7M84.7M-194.4K0.5717.9149328230,57478,308
2012-06-08$26.07$26.0025.2%8.3%24.8%17.3%29.0%8.1%1.5%-1.2M82.0M-188.5K0.6525.6245829730,99078,270
2012-06-11$25.55$26.0029.4%8.6%25.5%24.3%30.0%8.5%1.0%-1.4M87.9M-181.5K1.3416.8415320531,27878,422
2012-06-12$25.90$26.0026.9%8.2%25.8%20.1%28.5%8.0%1.6%-1.4M83.6M-182.6K7.7026.421861,43231,32378,509
2012-06-13$25.75$26.0029.5%8.7%25.7%24.5%33.8%9.0%1.2%-1.4M85.3M-181.8K1.7230.087471,28431,33578,883
2012-06-14$26.07$26.0029.9%8.6%26.2%25.2%32.4%8.4%1.2%-516.9K81.1M-181.8K2.9416.073881,14231,92379,983
2012-06-15$26.32$26.0028.8%8.3%25.9%23.4%30.7%9.7%1.7%-224.3K78.1M-185.9K1.2225.181,0221,24431,58280,556
2012-06-18$26.30$26.0026.6%7.6%25.6%19.6%24.9%8.1%1.6%-208.8K242.1K-185.2K0.0019.53328014,81419,548
2012-06-19$26.73$26.0022.9%6.6%26.1%13.6%22.4%7.5%2.7%-97.5K-3.1M-186.1K0.5614.1859633315,01519,548
2012-06-20$26.77$26.0022.4%6.4%26.0%12.7%24.8%6.5%2.9%-70.0K-3.1M-188.4K0.9723.1043542015,57719,725
2012-06-21$26.14$26.0025.7%7.4%27.3%18.1%27.6%6.8%1.8%-182.2K694.9K-187.1K1.8019.1318733615,96020,135
2012-06-22$26.51$26.0021.8%6.3%27.7%11.7%24.1%6.9%3.3%-97.0K-1.9M-188.8K1.2513.801,3281,66215,98320,214
2012-06-25$26.08$26.0025.9%7.4%28.2%18.5%25.8%7.1%1.9%-258.5K2.7M-196.0K0.6125.0727616816,14721,651
2012-06-26$26.20$26.0026.1%7.5%28.1%18.8%24.1%6.4%1.8%-232.3K1.5M-196.0K0.5020.7733616916,25921,981
2012-06-27$26.65$26.0023.6%6.8%27.8%14.7%0.0%5.7%2.0%-101.3K-2.0M-196.8K0.1122.0873816,31822,115
2012-06-28$26.80$26.0023.0%6.6%27.8%13.6%27.2%5.0%2.5%-69.1K-3.1M-194.8K2.1421.2929062016,35022,118
2012-06-29$27.38$26.0022.2%6.4%22.1%12.4%24.0%3.8%2.3%132.6K-8.3M-191.7K10.3743.602852,95616,51422,397