KRE Options History — September 2012

In September 2012, KRE traded between $28.01 and $29.95. ATM implied volatility averaged 17.8%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.8% (HV 20d: 14.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2012-09-17: Highest Volume — 2,827 contracts
2012-09-06: Largest IV drop — 14.0% change
2012-09-17: Highest IV Rank — 8.7%
2012-09-17: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.95	$28.01	$29.95	$28.09	$28.64
Max Pain	$27.84	$27.00	$28.00	$27.00	$28.00
ATM IV	17.8%	15.3%	19.8%	18.7%	16.8%
Expected Move	5.2%	4.7%	5.7%	5.4%	4.8%
HV 20d	14.0%	9.3%	16.6%	9.4%	16.3%
HV 60d	16.2%	15.5%	17.0%	17.0%	15.5%
IV Rank	4.6%	0.0%	8.7%	4.4%	2.9%
IV Percentile	5.7%	0.0%	12.7%	7.1%	1.6%
Term Structure	2.1%	0.7%	3.1%	1.3%	1.9%
VWIV	18.2%	16.1%	20.1%	18.8%	16.9%
Skew 25d	3.2%	1.3%	4.6%	3.4%	3.2%
Skew 10d	8.0%	3.3%	13.8%	12.0%	8.0%
Call IV 25d	17.3%	15.3%	18.6%	17.8%	16.7%
Put IV 25d	20.5%	19.1%	22.4%	21.2%	19.9%
Bid-Ask Spread %	33.49	16.32	54.53	44.77	54.53
Gamma HHI	0.34	0.24	0.43	0.27	0.25
Net GEX	1.5M	715.6K	2.5M	817.8K	791.1K
Net DEX	-25.8M	-40.1M	-13.4M	-14.7M	-16.6M
Net VEX	-148.6K	-158.0K	-135.9K	-158.0K	-144.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.04	6.71	0.64	0.26
Total Volume	1,064.895	64	2,827	64	96
Total OI	43,158.632	35,901	50,539	41,279	36,428

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$28.09	$27.00	18.7%	5.4%	9.4%	4.4%	18.8%	3.4%	1.3%	817.8K	-14.7M	-158.0K	0.64	44.77	39	25	18,131	23,148
2012-09-05	$28.01	$27.00	19.3%	5.5%	9.3%	5.4%	18.7%	3.9%	0.7%	715.6K	-13.4M	-156.8K	2.36	26.61	69	163	18,152	23,140
2012-09-06	$28.62	$27.00	16.6%	4.7%	11.8%	0.1%	17.2%	4.4%	1.6%	1.3M	-19.9M	-151.2K	0.09	33.55	1,626	150	18,203	23,148
2012-09-07	$28.89	$28.00	15.3%	5.0%	12.0%	0.0%	16.1%	4.2%	3.0%	1.6M	-26.4M	-152.9K	0.26	43.66	1,227	319	19,729	23,272
2012-09-10	$28.70	$28.00	16.8%	5.0%	12.3%	3.0%	18.1%	4.2%	2.9%	1.8M	-25.0M	-153.8K	1.81	16.32	243	440	20,682	23,417
2012-09-11	$28.78	$28.00	17.3%	5.4%	12.2%	3.9%	18.9%	4.4%	2.3%	1.7M	-26.0M	-151.6K	0.10	42.30	2,246	233	20,856	23,616
2012-09-12	$29.01	$28.00	17.6%	5.5%	12.4%	4.4%	19.5%	4.6%	2.4%	1.9M	-29.2M	-154.1K	3.43	30.71	283	972	21,560	23,840
2012-09-13	$29.36	$28.00	18.5%	5.3%	12.7%	6.1%	16.9%	4.5%	2.7%	1.6M	-32.6M	-144.6K	0.29	48.84	1,540	442	20,865	24,808
2012-09-14	$29.95	$28.00	18.3%	5.2%	14.0%	5.8%	18.3%	3.8%	2.4%	1.4M	-40.1M	-141.9K	0.28	24.90	1,388	395	21,931	25,128
2012-09-17	$29.43	$28.00	19.8%	5.7%	15.9%	8.7%	20.1%	3.1%	1.8%	1.9M	-35.2M	-148.6K	0.38	25.20	2,050	777	22,771	25,341
2012-09-18	$29.42	$28.00	19.1%	5.5%	15.9%	7.3%	0.0%	2.6%	2.1%	2.2M	-37.3M	-152.2K	0.60	29.61	103	62	24,467	25,909
2012-09-19	$29.46	$28.00	18.6%	5.3%	15.9%	6.4%	18.0%	2.1%	2.4%	2.2M	-39.6M	-139.3K	1.03	24.74	78	80	24,522	25,971
2012-09-20	$29.26	$28.00	18.0%	5.1%	15.8%	5.2%	18.0%	1.3%	2.7%	2.5M	-34.7M	-149.4K	0.29	43.81	448	128	24,500	26,039
2012-09-21	$29.09	$28.00	17.5%	5.0%	15.2%	4.2%	19.7%	1.8%	3.1%	1.2M	-22.1M	-147.4K	0.12	24.67	879	104	19,577	26,070
2012-09-24	$29.18	$28.00	18.3%	5.2%	15.2%	5.8%	19.2%	1.7%	1.0%	1.2M	-23.3M	-135.9K	0.71	26.19	770	544	18,399	17,502
2012-09-25	$28.79	$28.00	17.8%	5.1%	16.3%	4.8%	17.6%	2.9%	1.4%	1.0M	-19.5M	-147.9K	0.04	39.07	1,689	75	18,998	17,807
2012-09-26	$28.59	$28.00	17.7%	5.1%	16.6%	4.6%	19.2%	2.3%	1.6%	851.8K	-16.4M	-147.4K	6.71	31.26	21	141	18,112	17,866
2012-09-27	$28.81	$28.00	17.0%	4.9%	16.4%	3.3%	17.0%	3.0%	1.6%	786.9K	-17.6M	-144.8K	0.29	25.59	300	88	18,117	17,992
2012-09-28	$28.64	$28.00	16.8%	4.8%	16.3%	2.9%	16.9%	3.2%	1.9%	791.1K	-16.6M	-144.9K	0.26	54.53	76	20	18,356	18,072