KRE Options History — January 2013

In January 2013, KRE traded between $28.93 and $29.91. ATM implied volatility averaged 16.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.7% (HV 20d: 17.7%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.99.

Notable Days

  • 2013-01-11: Highest Volume — 6,882 contracts
  • 2013-01-18: Largest IV drop — 9.7% change
  • 2013-01-15: Highest IV Rank — 21.1%
  • 2013-01-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.45$28.93$29.91$29.01$29.83
Max Pain$28.90$28.00$29.00$28.00$29.00
ATM IV16.0%14.6%17.9%16.7%15.6%
Expected Move4.7%4.2%5.1%4.8%4.5%
HV 20d17.7%10.0%19.9%19.1%10.0%
HV 60d18.7%17.6%19.8%19.8%17.6%
IV Rank12.9%6.3%21.1%15.9%10.7%
IV Percentile5.3%0.4%19.4%4.0%4.0%
Term Structure1.3%0.6%2.1%1.6%1.4%
VWIV16.9%15.2%20.8%20.8%15.6%
Skew 25d3.2%1.8%5.5%3.8%5.5%
Skew 10d8.4%4.7%11.8%10.3%11.8%
Call IV 25d15.1%11.5%16.3%15.7%11.5%
Put IV 25d18.3%16.4%20.2%19.4%17.1%
Bid-Ask Spread %33.1515.5449.4635.3934.08
Gamma HHI0.350.260.590.340.32
Net GEX-452.6K-4.2M2.4M-3.8M986.4K
Net DEX-10.6M-27.6M2.0M2.0M-11.3M
Net VEX-175.1K-209.0K-157.1K-209.0K-160.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.0250.332.2229.78
Total Volume1,541.333606,8827301,662
Total OI90,515.1938,332129,330113,41442,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$29.01$28.0016.7%4.8%19.1%15.9%20.8%3.8%1.6%-3.8M2.0M-209.0K2.2235.3922750315,26998,145
2013-01-03$29.16$28.0015.9%4.6%18.7%12.4%16.0%3.7%2.1%-3.2M-3.2M-198.7K0.7720.9145835315,43898,316
2013-01-04$29.50$29.0015.8%5.0%18.9%11.6%15.8%3.9%1.3%-1.5M-9.1M-188.8K0.1119.402,69829915,50398,447
2013-01-07$29.32$29.0016.7%5.1%19.2%15.9%17.1%3.8%1.2%-759.1K-13.0M-174.8K0.7030.141258818,09798,667
2013-01-08$29.20$29.0015.9%5.1%19.3%12.3%16.3%3.7%0.6%-1.5M-8.6M-190.2K1.1623.90738518,20898,739
2013-01-09$29.06$29.0016.3%5.1%19.5%13.9%0.0%3.1%1.4%-2.0M-6.4M-184.0K4.7244.082291,08018,23798,804
2013-01-10$29.22$29.0017.8%5.1%19.4%20.6%17.8%3.4%0.7%-939.6K-10.6M-179.2K50.3315.54613,07018,43599,829
2013-01-11$28.93$29.0017.4%5.0%19.9%19.1%17.8%3.3%1.3%-4.2M907.3K-186.7K0.6540.074,1672,71518,465102,858
2013-01-14$29.03$29.0017.8%5.1%19.5%20.7%19.6%3.9%1.3%-2.1M-6.3M-190.4K6.5918.991521,00222,409105,226
2013-01-15$29.19$29.0017.9%5.1%19.3%21.1%19.3%3.4%1.2%-1.1M-12.9M-181.4K3.6149.4614050522,485106,226
2013-01-16$29.32$29.0017.4%5.0%17.9%19.0%16.1%3.4%1.5%402.0K-20.8M-165.9K0.5948.4692254322,603106,684
2013-01-17$29.70$29.0016.1%4.6%17.6%13.3%17.8%3.5%1.3%2.4M-27.6M-165.4K0.2416.282,01649122,636106,694
2013-01-18$29.59$29.0014.6%4.2%17.7%6.3%15.2%3.0%1.8%818.1K-24.4M-166.6K0.0231.732,4254422,523106,764
2013-01-22$29.91$29.0015.2%4.3%18.0%8.9%16.0%2.1%1.0%900.4K-12.1M-159.8K0.1233.631,43117113,38224,950
2013-01-23$29.68$29.0014.9%4.3%16.9%7.7%16.2%2.2%1.0%1.2M-9.9M-167.7K4.2943.214892,09914,69125,094
2013-01-24$29.67$29.0015.1%4.3%16.7%8.6%15.6%2.5%1.1%792.5K-8.3M-166.6K0.8138.0525420514,69325,936
2013-01-25$29.71$29.0014.7%4.2%16.6%7.0%15.7%2.1%1.4%914.2K-9.0M-164.8K3.5647.675921014,82926,040
2013-01-28$29.74$29.0015.1%4.3%16.4%8.6%15.8%1.9%1.2%887.8K-10.1M-162.7K0.3727.78632314,85826,213
2013-01-29$29.81$29.0015.0%4.3%16.1%8.0%16.0%1.8%1.2%1.0M-11.7M-157.1K0.3643.16441614,89926,224
2013-01-30$29.78$29.0015.2%4.3%16.0%8.9%16.6%4.1%1.0%1.2M-10.7M-157.4K14.8234.19741,09714,90926,240
2013-01-31$29.83$29.0015.6%4.5%10.0%10.7%15.6%5.5%1.4%986.4K-11.3M-160.9K29.7834.08541,60814,89527,259