KRE Options History — July 2013

In July 2013, KRE traded between $34.49 and $37.41. ATM implied volatility averaged 18.2%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.0% (HV 20d: 18.2%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.23.

Notable Days

  • 2013-07-18: Highest Volume — 31,870 contracts
  • 2013-07-05: Largest IV drop — 15.0% change
  • 2013-07-11: Highest IV Rank — 75.8%
  • 2013-07-11: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$34.49$37.41$34.49$36.80
Max Pain$35.09$33.00$37.00$33.00$37.00
ATM IV18.2%16.5%20.6%19.3%18.2%
Expected Move5.2%4.9%5.9%5.5%5.2%
HV 20d18.2%16.8%19.5%18.8%16.8%
HV 60d17.1%16.2%18.2%17.6%16.2%
IV Rank54.9%39.2%75.8%61.9%56.1%
IV Percentile54.7%25.8%82.1%67.9%58.7%
Term Structure0.3%-0.2%0.7%0.3%0.1%
VWIV19.0%17.4%20.8%18.3%18.4%
Skew 25d3.6%2.6%5.0%3.8%3.3%
Skew 10d7.8%5.9%10.2%9.1%7.4%
Call IV 25d17.2%16.4%18.8%17.3%17.8%
Put IV 25d20.8%19.0%23.3%21.2%21.1%
Bid-Ask Spread %12.547.9833.2711.1911.01
Gamma HHI0.260.190.400.270.19
Net GEX-2.1M-11.5M4.5M1.9M-3.7M
Net DEX-42.7M-85.6M17.8M-34.7M-12.1M
Net VEX-346.8K-453.8K-270.1K-270.1K-432.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.230.0875.700.080.61
Total Volume9,987.81852931,87016,4082,713
Total OI110,360.95569,839149,55169,839128,405

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$34.49$33.0019.3%5.5%18.8%61.9%18.3%3.8%0.3%1.9M-34.7M-270.1K0.0811.1915,1331,27525,13444,705
2013-07-02$34.82$33.0019.0%5.4%18.6%61.6%19.5%3.9%0.2%4.5M-54.9M-289.1K0.4833.277,1623,40533,76445,377
2013-07-03$34.95$34.0019.5%5.6%17.5%65.9%20.2%3.5%0.0%3.3M-53.1M-334.5K1.0912.921,5201,65035,24048,282
2013-07-05$35.93$34.0016.5%5.1%19.3%39.2%19.3%3.8%0.5%2.7M-76.0M-277.3K1.2329.654,1535,12734,96449,790
2013-07-08$35.92$34.0018.5%5.3%19.2%57.0%19.4%4.4%0.4%1.8M-71.3M-290.6K1.6012.606,79710,86134,50554,020
2013-07-09$36.09$34.0018.6%5.3%19.1%58.4%20.4%5.0%0.3%-1.2M-65.4M-299.3K2.7810.435,75215,99535,55863,913
2013-07-10$35.70$35.0018.0%5.3%18.8%52.6%19.5%4.3%0.5%-5.3M-36.1M-354.7K5.7913.054,58326,55835,50679,475
2013-07-11$35.11$35.0020.6%5.9%19.5%75.8%20.3%4.5%-0.2%-8.1M17.8M-453.8K5.9714.221,78410,64338,54194,254
2013-07-12$35.54$35.0018.5%5.3%19.2%57.0%20.8%4.1%-0.0%-11.5M-2.5M-431.7K3.7210.311,1844,40338,892100,214
2013-07-15$35.89$35.0018.7%5.4%17.6%58.9%20.0%3.8%0.1%-8.1M-39.2M-378.0K0.148.523,57950439,31295,404
2013-07-16$35.52$35.0018.6%5.3%18.4%58.0%19.6%4.0%0.1%-9.2M-21.1M-392.3K1.1311.771,4931,68640,39494,957
2013-07-17$35.75$35.0018.0%5.2%18.3%54.3%19.1%4.0%0.2%-9.2M-36.5M-371.4K1.087.981,9712,13340,29195,367
2013-07-18$36.44$35.0018.6%5.3%18.7%59.9%19.0%3.4%0.3%-3.9M-73.0M-320.9K1.2013.0714,46617,40439,26096,179
2013-07-19$36.63$36.0017.0%4.9%18.5%45.0%17.4%2.9%0.7%-645.8K-85.6M-361.6K0.189.583,48964046,773102,778
2013-07-22$36.94$36.0017.2%4.9%18.5%46.4%18.1%2.9%0.4%598.8K-46.9M-336.8K2.038.581,8403,72933,35264,156
2013-07-23$37.24$36.0017.3%5.0%17.9%47.4%17.5%2.6%0.3%530.0K-52.5M-333.2K1.2011.411,6491,98233,90967,250
2013-07-24$37.41$36.0017.7%5.1%17.1%51.6%19.1%2.9%0.4%526.9K-54.4M-314.7K1.3210.509681,28133,53768,537
2013-07-25$37.18$36.0017.6%5.0%17.6%50.3%18.0%2.8%0.6%155.0K-44.1M-344.9K0.349.8089030233,60568,615
2013-07-26$37.04$36.0017.3%4.9%17.2%47.1%18.1%2.9%0.7%-67.5K-43.0M-333.1K0.858.5228624333,73568,793
2013-07-29$36.70$36.0017.7%5.1%17.7%51.5%19.0%3.2%0.4%-812.2K-29.4M-343.1K6.519.401,0276,68633,86668,735
2013-07-30$36.70$36.0017.7%5.1%17.0%51.6%17.9%3.1%0.4%-1.4M-26.1M-364.7K75.707.9827120,51534,42674,171
2013-07-31$36.80$37.0018.2%5.2%16.8%56.1%18.4%3.3%0.1%-3.7M-12.1M-432.7K0.6111.011,6821,03134,48193,924