KRE Options History — May 2013

In May 2013, KRE traded between $30.42 and $33.25. ATM implied volatility averaged 15.8%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.0% (HV 20d: 16.8%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 13.57.

Notable Days

  • 2013-05-02: Highest Volume — 5,223 contracts
  • 2013-05-16: Largest IV spike — 30.7% change
  • 2013-05-31: Highest IV Rank — 33.5%
  • 2013-05-31: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.30$30.42$33.25$30.42$32.82
Max Pain$31.36$30.00$32.00$30.00$32.00
ATM IV15.8%12.2%20.0%17.6%20.0%
Expected Move4.7%4.2%5.7%5.0%5.7%
HV 20d16.8%12.8%21.4%19.7%13.9%
HV 60d15.4%14.7%15.8%15.0%15.5%
IV Rank14.1%0.0%33.5%19.9%33.5%
IV Percentile23.6%0.0%71.0%39.7%71.0%
Term Structure0.1%-0.8%1.9%0.6%-0.8%
VWIV17.9%13.6%29.1%17.5%20.4%
Skew 25d3.5%2.4%4.5%3.8%3.7%
Skew 10d8.2%5.0%11.5%7.1%7.6%
Call IV 25d15.5%13.3%19.2%15.6%19.2%
Put IV 25d19.0%16.8%22.9%19.3%22.9%
Bid-Ask Spread %20.269.8444.4523.5617.96
Gamma HHI0.240.190.330.220.24
Net GEX-689.2K-1.3M482.1K-1.1M-406.8K
Net DEX-4.4M-14.4M8.0M8.0M-6.4M
Net VEX-207.2K-229.3K-180.6K-219.6K-224.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.570.06153.190.3312.56
Total Volume1,927.2271365,2233074,217
Total OI52,72542,87560,23742,87560,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$30.42$30.0017.6%5.0%19.7%19.9%17.5%3.8%0.6%-1.1M8.0M-219.6K0.3323.562317610,99131,884
2013-05-02$30.79$31.0015.2%4.4%20.0%9.3%15.2%2.9%1.2%-903.3K4.6M-217.2K62.7019.00825,14111,10231,939
2013-05-03$31.15$31.0014.8%4.2%20.5%7.3%13.6%3.5%1.9%-1.3M5.2M-227.6K153.1913.54162,45111,08137,017
2013-05-06$31.56$30.0012.9%4.3%20.9%0.0%18.4%4.0%0.5%-962.2K1.3M-226.6K8.8020.362502,20011,08539,410
2013-05-07$32.01$30.0013.4%4.5%21.4%2.1%16.9%4.5%0.4%-529.9K-3.6M-217.8K18.9623.911442,73011,12840,188
2013-05-08$32.02$31.0013.2%4.4%20.7%1.5%18.9%4.0%0.0%-650.8K-2.7M-205.2K2.859.8431589911,14541,122
2013-05-09$31.86$31.0013.3%4.5%20.7%2.0%19.4%4.5%-0.0%-831.9K1.1M-229.3K2.7822.153610011,21241,189
2013-05-10$31.96$31.0013.2%4.4%20.5%1.4%15.5%4.0%0.1%-647.3K-2.2M-217.7K0.6612.2218612311,21941,097
2013-05-13$32.03$31.0015.8%4.6%16.0%13.0%17.0%4.0%-0.2%-480.2K-2.5M-216.3K0.9636.3321720811,33741,205
2013-05-14$32.45$31.0016.5%4.8%16.1%16.0%17.9%3.3%-0.4%-558.5K-8.0M-200.3K0.3023.2693728411,36941,367
2013-05-15$32.62$31.0012.2%4.6%14.5%0.0%17.6%3.5%-0.1%-892.1K-7.4M-202.8K1.2712.5851364911,21241,455
2013-05-16$32.53$32.0016.0%4.6%14.2%16.2%17.3%3.6%-0.3%-881.9K-8.0M-192.5K17.0815.561272,16911,42841,579
2013-05-17$32.96$32.0015.5%4.5%14.3%14.2%17.2%3.9%0.5%-1.3M-10.7M-187.6K0.3814.761,37252011,47042,740
2013-05-20$33.15$32.0016.8%4.8%14.1%19.8%15.8%3.3%0.1%-1.2M-6.6M-180.6K0.0616.703,2641939,81841,133
2013-05-21$33.15$32.0016.8%4.8%13.5%19.6%17.5%2.9%0.1%-413.9K-11.1M-185.1K1.7134.441,3112,24412,86441,294
2013-05-22$32.63$32.0017.2%4.9%15.1%21.2%18.6%3.1%-0.1%-897.1K-4.0M-203.2K0.5044.451,61480613,29141,249
2013-05-23$32.55$32.0017.0%4.9%15.2%20.4%16.8%3.4%-0.1%-976.3K-2.4M-213.6K0.1214.191,69020813,77940,909
2013-05-24$32.68$32.0016.8%4.8%14.9%19.8%18.1%3.3%0.1%-659.3K-4.6M-212.8K0.4111.4628211514,70941,012
2013-05-28$33.08$32.0017.6%5.1%15.2%23.3%17.6%2.9%-0.3%51.3K-12.3M-193.1K0.7220.57815814,96241,118
2013-05-29$32.93$32.0017.9%5.1%15.4%24.3%18.4%2.4%-0.6%-127.2K-10.5M-187.3K1.0925.511,6051,74314,98141,167
2013-05-30$33.25$32.0018.3%5.2%12.8%26.0%29.1%3.1%-0.3%482.1K-14.4M-198.2K11.1013.428291016,58442,872
2013-05-31$32.82$32.0020.0%5.7%13.9%33.5%20.4%3.7%-0.8%-406.8K-6.4M-224.5K12.5617.963113,90616,64543,592