KRE Options History — August 2013

In August 2013, KRE traded between $35.12 and $37.54. ATM implied volatility averaged 17.4%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.8% (HV 20d: 14.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.81.

Notable Days

  • 2013-08-27: Highest Volume — 13,314 contracts
  • 2013-08-15: Largest IV spike — 36.5% change
  • 2013-08-30: Highest IV Rank — 89.3%
  • 2013-08-30: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.62$35.12$37.54$37.52$35.12
Max Pain$36.09$36.00$37.00$37.00$36.00
ATM IV17.4%13.2%21.8%16.4%21.8%
Expected Move5.3%4.7%6.2%4.7%6.2%
HV 20d14.6%11.7%18.3%17.8%17.5%
HV 60d16.8%16.2%18.1%16.4%18.0%
IV Rank48.6%9.1%89.3%38.6%89.3%
IV Percentile46.6%1.6%96.0%24.2%96.0%
Term Structure0.5%-0.6%1.3%0.8%-0.5%
VWIV19.6%17.2%24.3%17.9%22.5%
Skew 25d4.2%2.4%5.0%2.4%4.8%
Skew 10d9.5%5.9%13.7%6.6%13.7%
Call IV 25d17.0%15.8%19.6%16.3%19.6%
Put IV 25d21.1%18.2%24.4%18.7%24.4%
Bid-Ask Spread %9.415.5714.669.258.72
Gamma HHI0.200.160.250.190.18
Net GEX-4.0M-6.6M-703.4K-703.4K-6.6M
Net DEX-9.2M-48.5M44.2M-48.5M44.2M
Net VEX-369.7K-414.0K-336.8K-365.8K-366.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.1922.000.9722.00
Total Volume5,170.59159513,3149,62210,718
Total OI125,118104,863141,009129,488109,958

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$37.52$37.0016.4%4.7%17.8%38.6%17.9%2.4%0.8%-703.4K-48.5M-365.8K0.979.254,8894,73335,25694,232
2013-08-02$37.49$37.0017.1%4.9%15.4%45.3%17.2%2.4%1.3%-2.8M-35.9M-389.7K1.0610.132,4192,57133,08398,599
2013-08-05$37.54$36.0016.1%4.9%15.4%36.1%18.1%3.5%0.7%-2.2M-44.9M-358.4K1.118.981,2711,41234,249100,164
2013-08-06$37.14$36.0015.2%5.1%16.0%28.1%18.0%3.9%0.6%-3.7M-31.0M-366.8K1.189.634,9445,81935,144101,012
2013-08-07$36.79$36.0015.1%5.1%15.9%26.7%19.0%4.3%0.9%-5.8M-5.7M-414.0K1.528.971,9392,94734,84699,869
2013-08-08$36.89$36.0014.4%5.2%14.4%20.8%19.7%4.1%0.6%-4.8M-19.9M-375.6K1.239.909771,19735,20199,708
2013-08-09$36.75$36.0014.1%5.0%14.0%17.2%18.8%4.7%1.0%-5.5M-10.2M-396.4K1.038.693,2093,30435,508100,467
2013-08-12$36.84$36.0015.8%5.2%13.7%33.3%18.5%4.5%0.9%-4.5M-20.8M-371.3K0.5610.9393352136,677103,478
2013-08-13$36.95$36.0014.6%5.1%13.0%22.0%18.5%4.8%0.9%-2.7M-24.5M-380.0K0.278.9893025237,472103,537
2013-08-14$36.93$36.0013.2%5.1%12.9%9.1%18.5%4.6%1.1%-2.3M-28.9M-341.8K0.8611.6855347437,267103,561
2013-08-15$36.56$36.0018.0%5.2%11.8%54.3%18.6%5.0%1.3%-5.2M-8.3M-349.0K1.028.171,2131,23636,993103,275
2013-08-16$36.61$36.0017.8%5.1%11.7%52.0%20.6%4.3%1.2%-3.4M-11.6M-336.8K4.697.542,0159,44137,083103,517
2013-08-19$36.27$36.0019.8%5.7%11.7%70.6%21.1%4.6%-0.3%-4.0M4.0M-368.2K3.049.971,6435,00326,11978,744
2013-08-20$36.85$36.0017.8%5.1%12.7%52.5%20.1%4.4%0.5%-3.2M-12.2M-363.6K1.7310.171,9003,28027,22481,169
2013-08-21$36.55$36.0018.4%5.3%12.9%57.4%19.0%4.2%0.4%-3.7M-3.9M-378.9K2.6211.857091,85628,20083,342
2013-08-22$37.06$36.0018.6%5.3%13.8%59.5%18.1%4.2%0.3%-2.8M-18.4M-370.4K0.1910.853,23463028,41184,088
2013-08-23$36.91$36.0018.3%5.2%13.8%56.9%23.5%4.3%0.4%-2.6M-20.6M-339.8K9.638.715315,11630,02584,701
2013-08-26$36.55$36.0018.0%5.2%13.8%53.9%17.6%3.8%0.6%-3.5M-5.9M-369.3K0.476.802,2611,05830,00584,218
2013-08-27$35.32$36.0021.6%6.2%18.3%88.0%20.6%4.2%-0.6%-6.1M35.7M-380.5K0.9514.666,8346,48029,94184,913
2013-08-28$35.39$36.0021.2%6.1%18.3%84.3%24.3%4.5%-0.3%-6.3M35.5M-383.1K5.146.844412,26526,69684,874
2013-08-29$35.65$36.0020.1%5.8%16.9%73.4%20.7%4.2%0.2%-6.0M29.0M-367.5K0.585.5737621926,81082,960
2013-08-30$35.12$36.0021.8%6.2%17.5%89.3%22.5%4.8%-0.5%-6.6M44.2M-366.9K22.008.7246610,25226,91783,041