KRE Options History — October 2012

In October 2012, KRE traded between $27.76 and $29.20. ATM implied volatility averaged 18.8%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.8% (HV 20d: 16.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 8.66.

Notable Days

  • 2012-10-12: Highest Volume — 11,437 contracts
  • 2012-10-11: Largest IV spike — 12.0% change
  • 2012-10-25: Highest IV Rank — 16.1%
  • 2012-10-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.40$27.76$29.20$28.59$27.94
Max Pain$28.24$28.00$29.00$28.00$28.00
ATM IV18.8%16.3%20.9%17.5%20.2%
Expected Move5.5%4.9%6.0%5.0%5.8%
HV 20d16.0%13.9%17.4%16.3%17.4%
HV 60d15.4%14.5%16.0%15.5%14.5%
IV Rank9.8%2.4%16.1%4.3%14.0%
IV Percentile14.4%0.4%27.0%6.0%22.2%
Term Structure1.2%0.4%1.8%1.8%1.2%
VWIV19.5%17.2%22.6%17.3%20.4%
Skew 25d3.1%1.6%4.1%2.9%3.7%
Skew 10d7.5%0.4%11.4%8.3%9.5%
Call IV 25d18.5%17.1%19.8%17.5%19.5%
Put IV 25d21.6%18.9%23.5%20.4%23.2%
Bid-Ask Spread %32.8414.7159.1624.9144.02
Gamma HHI0.400.200.690.230.54
Net GEX-1.1M-7.3M1.2M715.9K-4.1M
Net DEX4.1M-25.2M39.3M-15.9M39.1M
Net VEX-217.6K-335.8K-123.4K-140.6K-318.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.660.0652.521.615.78
Total Volume3,165.7141411,437991,390
Total OI54,354.90536,47676,24736,47676,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$28.59$28.0017.5%5.0%16.3%4.3%17.3%2.9%1.8%715.9K-15.9M-140.6K1.6124.91386118,38618,090
2012-10-02$28.66$28.0017.1%4.9%16.0%3.5%0.0%2.0%1.8%863.2K-17.3M-142.6K6.0020.0121218,40218,145
2012-10-03$28.77$28.0017.0%4.9%15.9%3.8%17.2%1.6%1.6%916.9K-18.3M-137.6K0.1557.811171718,40318,157
2012-10-04$29.09$28.0017.5%5.0%14.6%5.4%19.3%2.7%1.3%1.1M-22.1M-137.3K0.1232.935937418,44718,174
2012-10-05$29.20$28.0016.3%5.3%14.2%2.4%17.2%3.3%1.7%1.2M-25.2M-126.9K0.1614.712934818,92518,187
2012-10-08$29.05$28.0016.6%5.3%14.2%3.1%18.6%2.8%1.5%1.1M-23.8M-123.4K1.4818.73274019,03418,210
2012-10-09$28.78$28.0017.0%5.5%14.6%5.0%19.1%3.1%1.0%972.2K-19.7M-127.0K0.2822.6954315019,02118,220
2012-10-10$28.82$29.0017.3%5.7%14.3%5.8%19.8%2.7%0.8%972.1K-19.3M-131.1K6.2819.244052,54519,37918,359
2012-10-11$29.07$29.0019.4%5.5%13.9%11.7%18.7%2.6%1.0%906.2K-21.0M-139.4K2.3520.90378719,61120,864
2012-10-12$28.16$29.0020.4%5.9%15.9%14.8%20.1%2.3%1.4%646.4K-9.7M-147.6K35.5431.4031311,12419,64420,890
2012-10-15$28.24$29.0020.7%5.9%15.0%15.5%19.3%3.0%1.2%-347.1K2.9M-203.0K23.7455.4342210,01919,92731,387
2012-10-16$27.76$29.0019.1%5.5%15.9%10.8%20.1%3.6%1.7%-1.4M25.2M-254.9K1.4227.904,2125,97520,11441,384
2012-10-17$28.22$28.0019.0%5.4%17.3%10.7%18.6%2.9%1.6%-2.9M16.4M-283.4K0.3250.272,57482923,91146,625
2012-10-18$28.13$28.0019.8%5.7%17.2%12.9%19.9%3.1%1.1%-3.1M17.5M-287.9K11.2259.162993,35425,34647,187
2012-10-19$27.95$28.0018.9%5.4%17.2%10.5%19.8%3.6%1.2%-7.3M29.9M-289.2K0.3322.922,68689625,48048,932
2012-10-22$28.07$28.0018.7%5.4%17.3%9.9%18.5%3.4%1.5%-2.3M18.5M-282.6K0.0619.314482720,96844,282
2012-10-23$27.85$28.0020.4%5.8%16.9%14.6%20.2%3.6%0.8%-2.1M23.6M-290.0K52.5220.8919610,29421,38144,306
2012-10-24$27.88$28.0020.3%5.8%16.8%14.5%22.2%4.1%0.9%-3.2M36.6M-335.7K1.5536.5631548921,34154,289
2012-10-25$28.19$28.0020.9%6.0%17.1%16.1%20.8%3.8%0.6%-3.0M28.7M-335.8K0.3948.133,8071,46921,60354,644
2012-10-26$27.89$28.0020.7%5.9%17.3%15.6%22.6%3.7%0.4%-3.7M39.3M-334.6K30.6341.63824519,69756,088
2012-10-31$27.94$28.0020.2%5.8%17.4%14.0%20.4%3.7%1.2%-4.1M39.1M-318.5K5.7844.022051,18519,69756,316