KRE Options History — March 2013

In March 2013, KRE traded between $30.41 and $31.91. ATM implied volatility averaged 16.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.7% (HV 20d: 12.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.07.

Notable Days

2013-03-14: Highest Volume — 17,802 contracts
2013-03-14: Largest IV drop — 36.5% change
2013-03-13: Highest IV Rank — 39.5%
2013-03-01: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.44	$30.41	$31.91	$30.41	$31.79
Max Pain	$31.25	$30.00	$32.00	$30.00	$32.00
ATM IV	16.1%	13.6%	22.0%	18.7%	14.5%
Expected Move	4.5%	3.9%	5.4%	5.4%	4.2%
HV 20d	12.4%	8.0%	14.8%	14.8%	8.1%
HV 60d	14.2%	13.3%	14.9%	14.9%	13.3%
IV Rank	13.2%	2.1%	39.5%	24.9%	6.1%
IV Percentile	13.9%	0.4%	67.1%	36.9%	2.0%
Term Structure	1.2%	-0.0%	2.6%	-0.0%	1.0%
VWIV	16.0%	14.1%	19.6%	19.6%	17.1%
Skew 25d	3.9%	3.1%	5.2%	5.2%	3.5%
Skew 10d	9.8%	7.0%	12.0%	12.0%	9.1%
Call IV 25d	14.4%	12.9%	16.0%	16.0%	13.7%
Put IV 25d	18.3%	16.0%	21.2%	21.2%	17.2%
Bid-Ask Spread %	28.69	17.34	43.93	38.03	23.96
Gamma HHI	0.45	0.38	0.60	0.38	0.46
Net GEX	1.5M	426.9K	2.9M	426.9K	1.2M
Net DEX	-13.0M	-31.3M	-24.4K	-5.1M	-9.9M
Net VEX	-188.7K	-281.9K	-135.7K	-158.8K	-210.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.07	0.03	21.11	10.75	21.11
Total Volume	2,265.95	19	17,802	1,199	398
Total OI	45,248.9	38,709	61,790	46,200	40,332

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-03-01	$30.41	$30.00	18.7%	5.4%	14.8%	24.9%	19.6%	5.2%	-0.0%	426.9K	-5.1M	-158.8K	10.75	38.03	102	1,097	15,808	30,392
2013-03-04	$30.60	$30.00	16.6%	4.8%	14.1%	15.4%	18.9%	4.4%	1.2%	749.3K	-7.8M	-154.8K	2.44	43.93	63	154	15,850	30,603
2013-03-05	$30.79	$30.00	16.0%	4.6%	13.4%	12.5%	16.1%	4.8%	1.5%	1.2M	-11.6M	-150.4K	3.10	39.39	199	617	15,823	30,728
2013-03-06	$30.88	$31.00	16.1%	4.6%	12.9%	13.2%	15.5%	4.3%	1.3%	1.2M	-13.4M	-149.0K	0.62	33.14	209	129	15,857	31,298
2013-03-07	$31.22	$31.00	17.5%	4.7%	13.3%	19.4%	15.0%	4.1%	1.3%	1.5M	-19.0M	-143.4K	0.17	20.64	304	53	15,890	31,277
2013-03-08	$31.27	$31.00	15.7%	4.5%	13.3%	11.5%	16.8%	3.3%	1.5%	1.9M	-20.7M	-140.3K	0.97	38.20	287	277	16,125	31,293
2013-03-11	$31.39	$31.00	19.1%	4.6%	13.3%	26.6%	14.7%	3.8%	1.3%	2.1M	-23.1M	-135.7K	0.03	18.28	2,089	60	16,234	31,489
2013-03-12	$31.32	$31.00	17.4%	4.5%	13.4%	18.8%	14.5%	3.8%	1.7%	2.9M	-23.3M	-140.0K	1.90	35.45	870	1,654	17,521	31,520
2013-03-13	$31.47	$31.00	22.0%	4.5%	13.2%	39.5%	14.9%	3.3%	1.8%	2.9M	-23.7M	-145.2K	0.32	27.14	148	48	18,017	33,024
2013-03-14	$31.79	$31.00	14.0%	4.0%	13.6%	3.5%	14.1%	3.5%	2.2%	2.7M	-31.3M	-141.0K	2.34	23.70	5,331	12,471	18,051	33,013
2013-03-15	$31.85	$31.00	13.6%	3.9%	13.5%	2.1%	14.4%	3.1%	2.6%	2.7M	-12.4M	-269.0K	7.21	19.70	105	757	16,435	45,355
2013-03-18	$31.53	$31.00	14.5%	4.1%	14.2%	5.7%	15.0%	3.7%	0.9%	519.0K	-24.4K	-273.8K	8.07	33.16	1,626	13,120	12,354	29,772
2013-03-19	$31.65	$32.00	15.3%	4.4%	14.1%	9.7%	15.9%	3.9%	0.8%	713.6K	-1.1M	-281.9K	0.59	17.34	93	55	13,865	31,232
2013-03-20	$31.89	$32.00	15.2%	4.4%	13.4%	9.2%	15.2%	3.6%	0.7%	1.1M	-9.5M	-219.0K	14.03	30.12	65	912	13,917	24,792
2013-03-21	$31.68	$32.00	15.4%	4.4%	13.1%	10.1%	18.1%	4.2%	1.0%	1.2M	-7.8M	-212.2K	0.15	25.51	503	73	13,927	24,966
2013-03-22	$31.73	$32.00	15.6%	4.5%	12.6%	10.8%	17.6%	4.3%	0.7%	1.1M	-9.3M	-214.9K	0.30	26.07	163	49	14,275	25,030
2013-03-25	$31.79	$32.00	15.3%	4.4%	8.2%	9.6%	15.6%	4.0%	1.1%	1.2M	-9.8M	-215.7K	2.39	29.16	174	416	14,302	25,055
2013-03-26	$31.91	$32.00	14.8%	4.2%	8.1%	7.3%	14.8%	3.5%	0.9%	1.3M	-11.3M	-210.9K	0.46	27.95	13	6	14,316	25,467
2013-03-27	$31.85	$32.00	14.8%	4.2%	8.0%	7.3%	17.1%	3.7%	1.1%	1.4M	-10.6M	-207.9K	4.38	22.90	117	512	14,306	25,467
2013-03-28	$31.79	$32.00	14.5%	4.2%	8.1%	6.1%	0.0%	3.5%	1.0%	1.2M	-9.9M	-210.7K	21.11	23.96	18	380	14,358	25,974