KRE Options History — July 2012

In July 2012, KRE traded between $26.57 and $27.99. ATM implied volatility averaged 21.2%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.3% (HV 20d: 19.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 13.14.

Notable Days

  • 2012-07-24: Highest Volume — 2,238 contracts
  • 2012-07-12: Largest IV spike — 13.1% change
  • 2012-07-09: Highest IV Rank — 10.7%
  • 2012-07-09: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.25$26.57$27.99$27.59$26.91
Max Pain$27.05$26.00$28.00$26.00$27.00
ATM IV21.2%18.6%23.2%20.4%22.1%
Expected Move6.2%5.3%6.8%5.8%6.3%
HV 20d19.0%16.1%20.7%20.7%16.1%
HV 60d21.2%20.4%22.7%22.7%20.9%
IV Rank5.9%3.4%10.7%9.3%6.2%
IV Percentile6.0%1.2%19.8%3.2%11.1%
Term Structure1.7%0.7%3.1%2.3%0.7%
VWIV22.5%20.0%25.2%22.8%24.1%
Skew 25d5.1%3.8%7.6%4.9%5.9%
Skew 10d12.0%7.7%17.2%11.4%17.2%
Call IV 25d20.1%16.0%21.9%19.8%20.2%
Put IV 25d25.2%22.9%27.3%24.7%26.1%
Bid-Ask Spread %32.4811.0857.8532.5847.65
Gamma HHI0.180.140.510.140.16
Net GEX208.5K-353.5K2.8M108.1K-237.5K
Net DEX-4.9M-14.5M4.9M-8.9M1.9M
Net VEX-200.3K-207.6K-195.7K-204.1K-198.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.140.14233.671.386.96
Total Volume992.4761652,2386451,369
Total OI44,315.61939,44548,46241,94842,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$27.59$26.0020.4%5.8%20.7%9.3%22.8%4.9%2.3%108.1K-8.9M-204.1K1.3832.5827137416,74725,201
2012-07-03$27.78$26.0019.6%5.6%20.7%6.9%21.9%4.6%2.3%233.6K-11.1M-201.1K2.0516.4828458216,86425,238
2012-07-05$27.62$26.0018.6%5.3%20.1%5.2%20.0%7.6%3.1%259.9K-10.3M-197.9K6.8757.851791,22916,98925,305
2012-07-06$27.50$28.0021.0%6.8%20.3%9.2%0.0%5.1%1.5%87.6K-7.6M-202.4K0.1411.081452017,04126,278
2012-07-09$27.23$28.0021.8%6.8%20.4%10.7%23.9%5.8%1.2%34.2K-5.9M-198.4K0.8446.431,09691617,16326,298
2012-07-10$27.03$28.0021.6%6.8%19.0%5.3%23.3%5.1%1.5%-48.2K-4.0M-202.5K2.5047.9229874418,13327,136
2012-07-11$27.19$28.0020.5%6.7%18.6%3.4%23.0%5.2%1.4%47.9K-5.5M-203.9K0.2719.681,74246418,23827,689
2012-07-12$27.11$27.0023.2%6.7%18.4%8.2%23.1%5.2%1.5%134.0K-5.6M-207.6K2.0323.9714930319,31727,887
2012-07-13$27.74$27.0021.3%6.1%19.5%4.7%25.2%5.6%1.3%485.0K-12.3M-204.5K233.6745.09370119,32528,032
2012-07-16$27.68$27.0021.7%6.2%19.5%5.5%24.4%5.5%1.8%432.2K-11.4M-202.1K0.3739.411666219,32828,658
2012-07-17$27.99$27.0020.9%6.0%19.7%4.1%21.6%5.0%1.9%573.2K-14.5M-200.2K0.6015.4728216819,35428,711
2012-07-18$27.76$27.0020.7%5.9%19.4%3.8%22.7%5.2%1.8%516.6K-12.5M-199.3K3.7430.796825419,50228,741
2012-07-19$27.38$27.0022.5%6.4%20.2%6.9%23.8%5.4%0.8%309.7K-7.9M-198.2K1.2522.2060875719,15528,888
2012-07-20$27.00$27.0021.5%6.2%18.8%5.1%21.3%4.2%1.5%2.8M-3.7M-198.7K0.3126.6134310719,59928,863
2012-07-23$26.61$27.0022.0%6.3%19.1%6.1%21.5%5.1%1.7%-281.7K4.0M-195.8K2.0617.096941,42716,65822,787
2012-07-24$26.58$27.0021.8%6.3%18.1%5.7%22.0%5.5%2.0%-353.5K4.9M-199.0K0.8143.761,23999917,02224,076
2012-07-25$26.57$27.0021.5%6.2%18.0%5.2%21.4%4.6%2.2%-249.0K4.4M-201.1K0.1449.212273218,16124,075
2012-07-26$26.76$27.0020.7%5.9%17.1%3.7%20.6%4.3%2.1%-226.5K3.2M-195.7K5.1220.555025617,35824,079
2012-07-27$27.20$27.0020.6%5.9%18.0%3.5%22.7%4.4%1.8%-19.6K-1.8M-195.7K3.8548.884001,54017,40424,079
2012-07-30$27.04$27.0021.2%6.1%16.4%4.6%20.3%3.8%1.3%-178.8K951.9K-198.9K1.0919.4514115317,41425,223
2012-07-31$26.91$27.0022.1%6.3%16.1%6.2%24.1%5.9%0.7%-237.5K1.9M-198.8K6.9647.651721,19717,44625,166