KRE Options History — April 2013

In April 2013, KRE traded between $29.91 and $31.59. ATM implied volatility averaged 16.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.5% (HV 20d: 15.1%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.90.

Notable Days

  • 2013-04-03: Highest Volume — 2,753 contracts
  • 2013-04-15: Largest IV spike — 18.0% change
  • 2013-04-18: Highest IV Rank — 29.0%
  • 2013-04-18: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.83$29.91$31.59$31.40$31.05
Max Pain$30.91$30.00$32.00$32.00$30.00
ATM IV16.6%14.6%19.6%17.2%15.0%
Expected Move4.8%4.2%5.6%4.9%4.3%
HV 20d15.1%9.6%19.5%9.6%19.1%
HV 60d13.3%11.5%14.9%11.5%14.6%
IV Rank15.3%6.5%29.0%18.1%8.0%
IV Percentile21.8%2.8%56.7%24.6%6.3%
Term Structure0.7%-0.2%1.2%-0.0%1.1%
VWIV16.9%14.5%19.8%16.1%17.8%
Skew 25d3.7%2.8%4.9%3.3%3.5%
Skew 10d8.9%5.4%11.4%7.2%9.8%
Call IV 25d15.5%13.7%18.4%15.7%13.7%
Put IV 25d19.1%17.2%23.3%19.0%17.3%
Bid-Ask Spread %23.039.5937.8537.8516.20
Gamma HHI0.290.170.520.410.23
Net GEX-156.5K-1.3M2.1M898.3K-595.9K
Net DEX3.9M-6.8M15.7M-4.9M1.6M
Net VEX-210.7K-223.0K-201.0K-203.8K-201.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.900.1833.5233.521.94
Total Volume925.545292,7531,3812,168
Total OI43,453.54538,98247,56840,25441,882

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$31.40$32.0017.2%4.9%9.6%18.1%16.1%3.3%-0.0%898.3K-4.9M-203.8K33.5237.85401,34114,35325,901
2013-04-02$31.15$32.0015.8%4.5%10.1%11.8%15.8%2.8%0.9%472.3K-110.0K-203.6K3.5529.7910637614,35027,241
2013-04-03$30.69$32.0016.3%4.7%11.3%14.2%17.6%2.8%0.6%-294.7K5.8M-214.0K0.4335.731,92482914,34227,490
2013-04-04$30.93$32.0016.4%4.7%11.6%14.4%19.3%3.1%0.8%100.7K3.3M-215.5K0.4517.0633915116,05427,940
2013-04-05$30.97$31.0016.6%4.9%10.9%15.4%17.3%4.1%0.7%265.9K2.3M-223.0K0.7622.4624818816,28628,070
2013-04-08$31.16$31.0017.2%4.9%11.1%18.0%16.8%4.2%0.5%662.7K-600.4K-214.9K1.5116.1615623516,39828,166
2013-04-09$31.10$31.0016.7%4.8%11.0%15.7%16.2%3.7%0.6%566.5K-348.1K-213.1K0.2814.701534316,44828,178
2013-04-10$31.59$31.0015.3%4.4%12.4%9.4%16.0%3.5%1.1%2.1M-6.8M-211.0K5.7830.342651,53116,45528,199
2013-04-11$31.43$31.0016.9%4.8%12.4%16.6%16.5%3.3%0.8%1.4M-3.1M-213.1K1.2810.8112115516,40729,305
2013-04-12$31.21$31.0016.5%4.7%12.0%15.1%16.5%3.3%0.5%478.4K-79.4K-208.5K1.8422.177413616,42729,361
2013-04-15$30.19$31.0019.5%5.6%16.6%28.5%19.4%3.8%-0.2%-903.1K11.5M-205.4K1.5034.7518227316,45729,436
2013-04-16$30.56$31.0017.1%4.9%17.1%17.5%18.0%3.8%0.3%-1.3M9.1M-204.8K9.0129.441891,70216,47829,625
2013-04-17$30.09$31.0019.3%5.5%17.7%27.4%18.2%4.0%0.1%-1.0M14.7M-210.1K4.749.592691,27416,51830,222
2013-04-18$29.91$31.0019.6%5.6%17.3%29.0%19.8%4.9%0.1%-951.1K15.7M-214.2K5.4816.852391,31016,48030,367
2013-04-19$30.28$30.0017.5%5.0%18.1%19.6%17.3%4.5%1.1%-841.3K12.7M-210.3K10.0017.604242016,62330,945
2013-04-22$30.21$31.0017.4%5.0%18.0%19.1%17.2%4.3%0.3%-993.5K8.4M-207.4K11.1127.481231,36610,34428,638
2013-04-23$30.70$31.0014.9%4.3%19.2%7.7%16.5%4.2%1.1%-798.3K4.8M-214.1K0.7936.1019915710,36129,797
2013-04-24$30.93$30.0014.6%4.2%19.3%6.5%14.6%3.6%1.1%-649.0K3.6M-215.9K0.1810.931332410,44729,875
2013-04-25$31.00$30.0015.0%4.3%19.4%8.1%15.0%3.5%0.8%-548.8K2.0M-209.7K10.8422.631481,60410,51429,897
2013-04-26$30.80$30.0014.7%4.2%19.5%6.9%15.1%3.0%1.2%-843.1K4.3M-214.3K0.7227.89584210,50131,343
2013-04-29$31.01$30.0015.2%4.4%19.2%9.1%14.5%3.3%1.0%-715.8K2.9M-208.2K2.2220.1392010,50231,355
2013-04-30$31.05$30.0015.0%4.3%19.1%8.0%17.8%3.5%1.1%-595.9K1.6M-201.0K1.9416.207381,43010,50731,375