KRE Options History — June 2013

In June 2013, KRE traded between $32.15 and $33.97. ATM implied volatility averaged 19.9%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.7% (HV 20d: 16.2%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.59.

Notable Days

  • 2013-06-26: Highest Volume — 17,302 contracts
  • 2013-06-12: Largest IV spike — 21.0% change
  • 2013-06-24: Highest IV Rank — 69.1%
  • 2013-06-24: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.83$32.15$33.97$32.85$33.88
Max Pain$32.70$32.00$33.00$32.00$33.00
ATM IV19.9%17.4%22.9%20.3%17.4%
Expected Move5.7%5.0%6.3%5.8%5.0%
HV 20d16.2%13.4%18.6%13.6%17.9%
HV 60d16.6%15.4%17.4%15.4%17.3%
IV Rank44.9%25.4%69.1%34.8%37.2%
IV Percentile70.5%40.9%94.4%73.0%40.9%
Term Structure0.1%-1.5%1.6%-0.8%1.6%
VWIV20.8%17.0%28.5%20.7%17.0%
Skew 25d4.3%3.1%5.1%3.8%4.4%
Skew 10d9.0%5.3%16.9%9.5%7.6%
Call IV 25d18.6%16.3%20.7%19.6%16.6%
Put IV 25d22.9%20.4%25.0%23.5%21.0%
Bid-Ask Spread %27.3510.6377.4314.6736.09
Gamma HHI0.260.190.320.220.31
Net GEX-1.2M-2.6M938.5K-999.4K694.8K
Net DEX-3.1M-21.4M7.6M-2.1M-18.8M
Net VEX-246.8K-290.4K-222.3K-233.2K-290.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.590.0435.443.860.13
Total Volume3,823.255517,3024,2173,826
Total OI66,941.1553,77573,32263,61366,697

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$32.85$32.0020.3%5.8%13.6%34.8%20.7%3.8%-0.8%-999.4K-2.1M-233.2K3.8614.678683,34916,85346,760
2013-06-04$32.60$32.0019.7%5.6%13.4%32.2%19.5%4.2%-0.4%-1.3M-85.0K-222.3K0.2213.447,4341,60117,06246,684
2013-06-05$32.15$32.0021.8%6.3%13.7%41.3%24.1%4.6%-1.5%-1.9M6.1M-239.7K1.3111.1443757117,16747,303
2013-06-06$32.43$32.0021.6%6.2%14.0%40.5%21.1%4.0%-0.6%-1.7M2.6M-245.5K2.3777.431,2242,90617,38247,780
2013-06-07$32.82$32.0017.6%5.3%14.4%25.4%19.9%3.7%0.6%-1.5M-2.5M-246.7K35.4430.741605,67018,23950,332
2013-06-10$33.14$32.0018.3%5.3%14.6%34.5%20.4%3.1%0.8%-903.5K-8.1M-241.3K4.9544.505672,80518,35050,388
2013-06-11$32.70$33.0018.9%5.5%15.6%37.9%0.0%5.1%0.1%-2.1M1.9M-258.7K0.0424.213341318,57952,726
2013-06-12$32.32$33.0022.9%6.2%15.5%60.4%19.2%4.9%-0.4%-2.5M7.6M-253.9K1.8715.456011218,88552,738
2013-06-13$32.85$33.0019.3%5.5%16.5%40.2%28.5%4.5%0.7%-1.4M-3.8M-237.3K1.5818.0938460818,90252,753
2013-06-14$32.29$33.0020.8%6.0%17.6%48.5%21.6%4.4%-0.1%-2.6M6.7M-248.3K0.3819.15401519,12653,336
2013-06-17$32.49$33.0020.6%5.9%17.1%47.4%22.3%4.2%-0.5%-2.6M3.6M-236.0K1.2421.9511314019,12352,836
2013-06-18$32.83$33.0018.9%5.4%17.4%37.5%22.0%5.0%0.6%-1.9M-3.0M-226.2K11.3021.565764419,04852,953
2013-06-19$32.67$33.0018.0%5.2%17.5%35.0%18.3%4.2%1.1%-2.5M1.4M-224.5K1.4425.7233848618,74253,502
2013-06-20$32.59$33.0021.1%6.0%16.6%61.6%20.6%4.5%-0.4%-2.2M1.2M-239.6K0.1763.846,7941,13018,75453,330
2013-06-21$32.79$33.0021.2%6.1%16.7%64.6%20.5%4.6%-0.2%-805.0K-1.4M-248.1K0.5523.342,9631,63218,89154,431
2013-06-24$32.58$33.0021.8%6.3%16.8%69.1%23.0%4.4%-0.3%-445.5K-1.5M-262.2K2.9251.671,1293,29918,17935,785
2013-06-25$33.27$33.0020.1%5.8%17.9%56.5%19.2%4.4%0.1%413.0K-13.3M-248.2K0.3512.502,63591018,74035,035
2013-06-26$33.36$33.0020.0%5.7%17.8%55.7%19.2%3.9%0.4%794.0K-17.5M-243.7K1.0110.638,5898,71320,47735,331
2013-06-27$33.97$33.0017.6%5.0%18.6%38.7%18.9%4.1%1.2%938.5K-21.4M-290.4K0.6610.832,3481,56122,45043,174
2013-06-28$33.88$33.0017.4%5.0%17.9%37.2%17.0%4.4%1.6%694.8K-18.8M-290.4K0.1336.093,40142522,32144,376