KRE Options History — December 2012

In December 2012, KRE traded between $27.37 and $28.67. ATM implied volatility averaged 18.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 15.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 3.75.

Notable Days

  • 2012-12-17: Highest Volume — 4,797 contracts
  • 2012-12-04: Largest IV spike — 34.3% change
  • 2012-12-28: Highest IV Rank — 42.2%
  • 2012-12-28: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.84$27.37$28.67$27.60$27.97
Max Pain$27.80$27.00$28.00$27.00$28.00
ATM IV18.8%13.2%22.6%15.8%22.6%
Expected Move5.5%4.5%6.5%4.5%6.5%
HV 20d15.9%13.7%22.3%22.1%14.2%
HV 60d18.1%17.2%18.8%18.8%18.3%
IV Rank20.5%0.0%42.2%1.9%42.1%
IV Percentile22.1%0.0%55.6%0.4%55.2%
Term Structure0.6%-2.0%2.1%0.6%-0.5%
VWIV20.0%16.9%25.2%19.6%25.2%
Skew 25d4.9%2.0%7.2%4.3%5.1%
Skew 10d11.7%5.8%20.3%7.7%16.8%
Call IV 25d17.0%12.7%20.7%17.0%20.3%
Put IV 25d22.0%19.7%27.6%21.3%25.4%
Bid-Ask Spread %29.8610.0660.8742.2414.17
Gamma HHI0.410.290.510.430.36
Net GEX-7.8M-8.9M-5.2M-7.4M-8.2M
Net DEX41.7M7.2K60.1M53.0M42.9M
Net VEX-350.8K-421.0K-288.5K-421.0K-290.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.750.1137.802.042.07
Total Volume1,266.151174,7974412,383
Total OI121,262.8109,949129,876120,669112,185

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$27.60$27.0015.8%4.5%22.1%1.9%19.6%4.3%0.6%-7.4M53.0M-421.0K2.0442.2414529625,44695,223
2012-12-04$27.37$27.0021.3%6.1%22.3%19.8%18.9%4.5%-1.5%-7.8M60.1M-416.7K10.3139.606870125,59195,421
2012-12-05$27.49$27.0021.3%6.1%21.6%19.9%24.3%7.2%-2.0%-7.3M57.4M-415.3K1.0742.511,0081,08325,64095,827
2012-12-06$27.48$27.0020.3%5.8%16.4%16.7%0.0%5.5%-0.6%-7.8M53.6M-413.6K37.8039.22518926,64896,861
2012-12-07$27.49$28.0019.8%5.6%15.9%15.1%0.0%3.3%1.1%-8.0M54.2M-401.8K0.4924.381587826,64396,995
2012-12-10$27.54$28.0013.2%5.4%15.9%0.0%18.2%2.0%0.4%-8.7M51.3M-374.7K0.5648.4718510426,75697,066
2012-12-11$27.79$28.0016.6%4.8%16.1%10.5%17.8%4.5%1.9%-7.8M40.7M-377.6K2.4821.2414736426,84097,123
2012-12-12$27.79$28.0016.6%4.9%14.8%11.4%17.8%4.6%2.1%-8.1M39.6M-367.1K0.6860.872,3541,59826,98297,298
2012-12-13$27.57$28.0016.9%4.8%13.8%12.2%16.9%3.6%2.0%-8.4M49.4M-371.4K1.8622.7140875828,87397,947
2012-12-14$27.39$28.0018.6%5.3%14.1%19.6%18.0%3.9%2.0%-8.7M57.9M-372.3K2.6621.7710527928,96098,070
2012-12-17$28.01$28.0017.9%5.1%15.6%18.7%19.7%5.5%1.6%-7.3M26.8M-332.1K2.3235.571,4473,35028,72198,258
2012-12-18$28.46$28.0017.6%5.1%15.4%18.5%19.4%7.0%1.6%-6.0M263.5K-288.5K1.5135.4835854229,403100,432
2012-12-19$28.50$28.0018.8%5.4%15.2%24.2%19.3%4.4%1.1%-5.7M3.9M-309.9K0.5014.7176138229,229100,647
2012-12-20$28.67$28.0017.4%5.0%15.2%19.1%17.6%4.4%1.2%-5.2M7.2K-288.5K0.1128.481,07112027,897100,857
2012-12-21$28.19$28.0019.7%5.6%14.1%29.3%21.6%6.2%0.9%-8.5M37.7M-312.7K2.1338.195191,10718,625100,861
2012-12-24$28.04$28.0019.6%5.6%14.2%28.8%22.5%5.1%0.4%-8.2M45.9M-317.8K0.9310.0620118614,09195,858
2012-12-26$27.98$28.0019.5%5.6%13.7%28.5%19.2%5.6%0.1%-8.7M52.3M-318.2K0.2414.85942314,25895,993
2012-12-27$27.84$28.0020.1%5.8%13.9%31.1%20.4%5.0%0.3%-8.9M49.1M-301.4K4.8222.512821,35914,31396,008
2012-12-28$27.70$28.0022.6%6.5%13.9%42.2%23.2%6.9%-0.4%-8.7M58.3M-325.3K0.4620.2375934614,42696,984
2012-12-31$27.97$28.0022.6%6.5%14.2%42.1%25.2%5.1%-0.5%-8.2M42.9M-290.9K2.0714.177761,60715,00797,178