KRE Options History — November 2012

In November 2012, KRE traded between $26.25 and $28.33. ATM implied volatility averaged 20.1%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.4% (HV 20d: 21.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 38.28.

Notable Days

  • 2012-11-14: Highest Volume — 72,095 contracts
  • 2012-11-27: Largest IV spike — 13.7% change
  • 2012-11-15: Highest IV Rank — 21.5%
  • 2012-11-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.32$26.25$28.33$28.30$27.58
Max Pain$27.10$27.00$28.00$28.00$27.00
ATM IV20.1%16.6%22.4%20.0%17.4%
Expected Move5.9%4.8%7.0%5.7%5.0%
HV 20d21.5%17.9%23.4%18.0%22.6%
HV 60d17.6%14.8%19.0%14.8%18.8%
IV Rank14.3%4.1%21.5%13.5%7.1%
IV Percentile24.6%2.0%42.9%22.2%7.9%
Term Structure0.4%-1.6%1.7%0.9%0.9%
VWIV20.8%16.9%23.3%18.4%19.2%
Skew 25d4.3%2.8%5.8%3.8%4.4%
Skew 10d9.7%5.2%13.7%9.3%8.3%
Call IV 25d18.4%15.0%20.8%18.0%16.5%
Put IV 25d22.7%19.6%26.0%21.8%20.9%
Bid-Ask Spread %27.0115.0549.4649.2126.75
Gamma HHI0.450.370.530.510.43
Net GEX-5.7M-7.5M-3.5M-3.6M-7.3M
Net DEX62.1M27.1M114.7M28.6M50.6M
Net VEX-395.2K-471.9K-311.9K-313.2K-434.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio38.280.19625.914.7117.20
Total Volume5,306.4764072,0954091
Total OI101,748.61977,039120,93577,056120,584

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$28.30$28.0020.0%5.7%18.0%13.5%18.4%3.8%0.9%-3.6M28.6M-313.2K4.7149.2173319,75057,306
2012-11-02$27.92$28.0020.4%5.8%18.5%14.6%23.3%3.8%1.3%-3.9M38.7M-320.5K0.5536.592,1061,15719,75257,287
2012-11-05$27.91$27.0021.7%6.3%17.9%18.5%22.6%5.0%0.1%-4.1M40.2M-322.4K9.7927.421741,70421,65558,176
2012-11-06$28.33$27.0022.4%6.2%18.8%20.6%22.0%4.4%-0.5%-3.5M27.1M-318.0K1.4922.9924035721,72959,104
2012-11-07$27.25$27.0022.0%7.0%23.0%19.5%21.7%5.8%-0.8%-4.1M56.4M-311.9K1.5128.463,1234,71721,94459,394
2012-11-08$26.96$27.0020.6%6.5%23.1%15.5%22.9%4.9%0.3%-4.5M68.0M-366.2K7.1124.142671,89924,93163,639
2012-11-09$27.08$27.0019.9%6.5%23.2%13.5%21.0%4.6%0.0%-4.6M65.3M-366.0K1.5615.057311425,03663,467
2012-11-12$27.13$27.0021.6%6.4%22.8%18.2%22.1%5.0%0.2%-4.7M64.5M-360.4K1.8423.589617725,06863,420
2012-11-13$26.70$27.0021.1%6.3%20.8%17.4%23.3%4.6%0.4%-4.6M77.0M-335.1K36.6821.12662,42125,10663,366
2012-11-14$26.28$27.0021.9%6.5%21.2%19.8%21.5%3.6%1.7%-4.1M85.7M-314.7K625.9116.6611571,98025,16964,493
2012-11-15$26.25$27.0022.4%6.4%20.6%21.5%21.8%3.0%0.8%-7.5M114.7M-461.8K6.9125.774833,33924,75494,105
2012-11-16$26.51$27.0020.7%5.9%19.9%16.3%21.2%3.6%0.4%-7.2M106.4M-467.7K1.1719.532,2532,63824,90896,027
2012-11-19$26.99$27.0018.8%5.4%21.3%10.6%21.4%3.3%0.8%-6.8M77.0M-471.9K11.3949.461141,29923,48390,701
2012-11-20$27.21$27.0018.7%5.4%21.5%10.3%20.7%2.8%0.3%-6.9M69.3M-468.4K4.5523.392441,11023,52791,927
2012-11-21$27.15$27.0018.8%5.4%21.4%10.7%19.8%3.2%0.2%-7.3M70.8M-466.1K6.9222.377149123,58492,557
2012-11-23$27.86$27.0016.6%4.8%23.4%4.1%18.3%4.8%1.2%-6.7M46.8M-436.9K0.1919.241,52829523,61792,944
2012-11-26$27.75$27.0018.4%5.3%23.4%9.5%21.8%4.1%0.8%-6.6M50.5M-447.4K18.0523.11731,31824,95193,187
2012-11-27$27.48$27.0020.9%6.0%23.3%17.1%18.4%5.6%-1.6%-6.8M58.6M-448.3K1.0923.8531133925,02493,363
2012-11-28$27.48$27.0019.9%5.7%23.0%13.9%18.2%4.9%-0.8%-7.4M55.8M-431.4K41.7931.15632,63325,12293,629
2012-11-29$27.64$27.0017.7%5.1%23.1%8.0%16.9%4.6%0.8%-6.8M51.5M-435.4K3.5337.304231,49425,18493,751
2012-11-30$27.58$27.0017.4%5.0%22.6%7.1%19.2%4.4%0.9%-7.3M50.6M-434.4K17.2026.7558625,44695,138