KRE Options History — February 2013

In February 2013, KRE traded between $29.82 and $30.83. ATM implied volatility averaged 17.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.4% (HV 20d: 11.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 40.50.

Notable Days

  • 2013-02-12: Highest Volume — 6,764 contracts
  • 2013-02-25: Largest IV spike — 32.1% change
  • 2013-02-25: Highest IV Rank — 34.2%
  • 2013-02-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.40$29.82$30.83$30.25$30.37
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV17.0%14.4%20.8%15.0%19.1%
Expected Move4.9%4.1%6.0%4.8%5.5%
HV 20d11.6%9.7%14.8%10.9%14.8%
HV 60d15.2%13.9%17.8%17.8%14.9%
IV Rank17.0%5.7%34.2%8.3%26.7%
IV Percentile17.6%0.4%52.8%2.0%40.5%
Term Structure0.7%-1.0%2.6%1.5%-0.5%
VWIV17.7%15.0%21.0%18.6%18.6%
Skew 25d3.9%3.1%5.5%3.7%5.5%
Skew 10d9.5%6.6%14.1%8.9%14.1%
Call IV 25d15.8%14.1%18.8%14.9%15.7%
Put IV 25d19.7%17.5%24.0%18.6%21.3%
Bid-Ask Spread %29.1911.6740.8831.4540.88
Gamma HHI0.300.160.450.310.36
Net GEX362.1K-171.9K1.1M925.4K318.4K
Net DEX-12.5M-25.0M365.1K-15.4M-5.4M
Net VEX-161.3K-170.2K-156.1K-157.6K-158.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.500.00499.330.8897.19
Total Volume1,353.526356,7641,0231,571
Total OI46,905.94743,10053,09843,72545,468

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$30.25$30.0015.0%4.8%10.9%8.3%18.6%3.7%1.5%925.4K-15.4M-157.6K0.8831.4554547814,92528,800
2013-02-04$29.88$30.0017.1%5.2%11.4%17.7%18.9%3.6%0.1%837.6K-9.6M-163.9K121.6733.20182,19015,27028,692
2013-02-05$30.23$30.0016.7%5.1%11.7%15.8%18.8%3.8%0.8%276.8K-12.8M-161.4K24.9835.67982,44815,28330,717
2013-02-06$30.36$30.0016.1%5.1%11.6%13.1%17.5%3.4%0.7%118.2K-12.2M-170.2K2.5216.598220715,30132,395
2013-02-07$30.38$30.0017.6%5.0%11.3%19.7%19.1%3.5%0.8%191.3K-13.5M-167.1K0.9723.1210410115,36332,420
2013-02-08$30.47$30.0017.3%5.0%11.2%18.7%15.8%3.7%0.8%157.7K-15.9M-162.6K0.0239.192,0383615,32932,504
2013-02-11$30.53$30.0016.0%4.6%10.3%12.6%18.8%4.1%1.6%510.6K-19.2M-159.6K499.3333.3331,49816,72232,528
2013-02-12$30.76$30.0015.6%4.5%10.4%10.6%15.4%4.0%2.0%207.3K-23.8M-156.1K0.2413.685,4571,30716,73433,979
2013-02-13$30.78$30.0015.8%4.5%10.4%11.9%16.1%3.1%1.6%123.2K-25.0M-157.8K0.0025.4535018,56534,522
2013-02-14$30.71$30.0014.7%4.2%10.5%6.9%15.0%3.9%2.5%267.9K-24.0M-161.1K0.3911.6732012618,28834,490
2013-02-15$30.68$30.0014.4%4.1%9.8%5.7%15.2%3.4%2.6%431.5K-23.6M-159.2K0.4429.761,94584918,53834,560
2013-02-19$30.83$30.0014.9%4.3%9.7%7.6%15.1%3.6%0.8%1.1M-12.2M-160.2K2.4934.5311528615,26727,833
2013-02-20$30.47$30.0017.5%5.0%10.3%19.4%15.7%3.5%0.4%683.2K-8.8M-162.6K0.2532.0857914315,28528,052
2013-02-21$30.17$30.0018.5%5.3%10.5%23.8%18.6%4.2%-0.4%358.0K-4.8M-161.9K12.7032.591281,62615,36628,153
2013-02-22$30.53$30.0015.8%4.5%11.2%11.5%19.8%3.7%0.2%464.8K-8.1M-163.3K0.2534.621684215,37029,445
2013-02-25$29.82$30.0020.8%6.0%14.3%34.2%20.1%5.2%-1.0%-171.9K365.1K-159.4K2.9735.2811534215,41029,443
2013-02-26$30.02$30.0020.1%5.8%14.5%31.1%21.0%4.4%-0.5%-96.8K-509.6K-159.1K0.7935.0533426415,43229,392
2013-02-27$30.30$30.0019.3%5.5%14.8%27.4%18.5%4.2%-0.9%149.8K-3.4M-163.1K1.3316.43516815,75129,621
2013-02-28$30.37$30.0019.1%5.5%14.8%26.7%18.6%5.5%-0.5%318.4K-5.4M-158.3K97.1940.88161,55515,80129,667