KRE Options History — August 2012

In August 2012, KRE traded between $26.44 and $27.98. ATM implied volatility averaged 18.3%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.2% (HV 20d: 16.0%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.35.

Notable Days

  • 2012-08-28: Highest Volume — 2,060 contracts
  • 2012-08-03: Largest IV drop — 16.7% change
  • 2012-08-02: Highest IV Rank — 6.4%
  • 2012-08-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$26.44$27.98$26.73$27.79
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV18.3%16.5%22.2%21.9%17.7%
Expected Move5.4%4.9%6.4%6.3%5.1%
HV 20d16.0%8.8%19.9%15.9%8.8%
HV 60d20.2%17.1%21.8%20.8%17.1%
IV Rank2.4%0.0%6.4%5.8%2.4%
IV Percentile2.6%0.0%12.7%9.5%3.6%
Term Structure3.0%0.7%5.3%0.7%1.8%
VWIV21.0%17.7%28.2%25.0%23.8%
Skew 25d5.2%3.4%6.9%5.5%3.4%
Skew 10d12.5%8.5%16.0%12.7%8.5%
Call IV 25d17.2%15.7%20.8%20.8%17.5%
Put IV 25d22.4%20.3%26.3%26.3%20.9%
Bid-Ask Spread %28.2216.7444.1844.1832.79
Gamma HHI0.190.150.370.190.22
Net GEX261.5K-871.7K1.5M-443.6K560.4K
Net DEX-5.7M-12.4M8.5M4.6M-11.0M
Net VEX-176.5K-196.7K-162.3K-196.5K-163.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.0011.4811.481.42
Total Volume529.565602,0601,12380
Total OI42,882.17438,23046,12243,57441,286

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$26.73$27.0021.9%6.3%15.9%5.8%25.0%5.5%0.7%-443.6K4.6M-196.5K11.4844.18901,03317,60525,969
2012-08-02$26.44$27.0022.2%6.4%16.2%6.4%19.7%5.2%2.2%-871.7K8.5M-196.7K11.2416.742528117,69326,850
2012-08-03$27.26$27.0018.5%5.3%19.9%0.0%18.5%4.2%2.9%-132.3K-1.4M-193.5K2.3329.165412617,70026,834
2012-08-06$27.23$27.0018.8%5.9%19.6%0.6%24.2%6.9%3.4%-190.1K-929.4K-188.5K1.2629.5960576117,69926,844
2012-08-07$27.41$27.0018.9%6.0%19.5%0.8%22.9%6.4%3.8%168.0K-4.5M-188.4K0.9831.5585884318,27426,342
2012-08-08$27.44$27.0018.2%5.9%19.4%0.0%22.6%5.4%3.5%274.5K-6.3M-188.7K2.6426.0715240218,78826,718
2012-08-09$27.39$27.0016.5%5.8%19.4%0.0%19.9%5.1%3.7%237.9K-5.7M-185.3K2.3440.918620118,89126,893
2012-08-10$27.29$27.0016.7%5.6%17.5%0.5%28.2%6.3%3.9%191.3K-3.7M-186.0K2.1925.898117718,97527,028
2012-08-13$27.30$27.0018.3%5.6%17.5%3.6%18.2%5.8%4.2%254.8K-4.3M-179.3K1.0422.39525418,91027,121
2012-08-14$27.34$27.0018.4%5.6%17.0%3.7%19.7%5.7%4.2%548.6K-4.9M-177.7K0.1326.28771018,93427,133
2012-08-15$27.49$27.0018.3%5.8%16.9%3.6%22.8%5.6%4.2%580.3K-6.5M-177.2K5.7422.9510560318,97927,143
2012-08-16$27.64$27.0017.8%5.1%16.3%2.6%18.1%5.3%5.1%588.8K-8.9M-171.0K0.1629.042183518,98526,894
2012-08-17$27.85$27.0017.0%4.9%15.5%1.0%17.8%5.1%5.3%1.5M-10.7M-171.0K0.0232.49220418,95126,869
2012-08-20$27.89$27.0017.1%4.9%14.3%1.1%18.2%4.9%2.5%312.2K-9.1M-167.4K1.0917.4122024015,77422,456
2012-08-21$27.93$27.0017.5%5.0%14.3%1.9%19.3%5.4%2.0%300.8K-9.6M-167.7K0.6118.1284251015,85922,667
2012-08-22$27.71$27.0017.7%5.1%14.7%2.3%17.9%4.6%1.9%229.3K-7.9M-168.0K0.1440.74921316,42922,975
2012-08-23$27.38$27.0019.4%5.6%15.4%5.8%0.0%5.3%1.8%81.9K-5.0M-169.1K0.9725.46323116,48922,988
2012-08-24$27.50$27.0019.5%5.6%14.4%5.9%26.1%5.8%1.8%95.7K-5.2M-168.2K1.3123.93263416,51322,988
2012-08-27$27.55$27.0017.3%5.0%14.2%1.7%22.6%5.1%2.7%208.8K-7.1M-162.8K3.2324.25227116,52223,012
2012-08-28$27.70$27.0017.3%5.0%14.1%1.6%18.1%5.0%2.7%303.1K-8.6M-162.3K0.0129.872,0481216,52223,044
2012-08-29$27.98$27.0017.2%4.9%14.1%1.5%0.0%4.3%2.4%639.3K-12.4M-163.4K0.0029.22612217,52023,046
2012-08-30$27.77$27.0017.9%5.1%13.7%2.8%17.7%4.1%2.2%539.5K-11.4M-166.5K3.6729.933011018,13023,048
2012-08-31$27.79$27.0017.7%5.1%8.8%2.4%23.8%3.4%1.8%560.4K-11.0M-163.7K1.4232.79334718,13023,156