KRE Options History — September 2013

In September 2013, KRE traded between $35.05 and $36.21. ATM implied volatility averaged 18.9%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.3% (HV 20d: 16.7%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.11.

Notable Days

  • 2013-09-19: Highest Volume — 25,662 contracts
  • 2013-09-23: Largest IV spike — 13.3% change
  • 2013-09-03: Highest IV Rank — 90.3%
  • 2013-09-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$35.05$36.21$35.05$35.65
Max Pain$35.35$35.00$36.00$36.00$36.00
ATM IV18.9%17.0%21.9%21.9%19.2%
Expected Move5.5%4.9%6.3%6.3%5.5%
HV 20d16.7%11.5%18.3%17.4%11.5%
HV 60d16.8%15.2%17.9%17.9%15.2%
IV Rank62.7%44.4%90.3%90.3%65.6%
IV Percentile67.0%35.7%96.8%96.8%72.6%
Term Structure0.7%-0.3%1.6%-0.3%0.5%
VWIV19.8%17.9%23.4%23.4%21.0%
Skew 25d4.4%3.3%5.4%5.4%5.1%
Skew 10d9.8%7.2%12.6%12.0%12.6%
Call IV 25d17.6%16.4%19.6%19.6%18.6%
Put IV 25d22.0%20.1%25.0%25.0%23.6%
Bid-Ask Spread %8.964.3043.5443.545.79
Gamma HHI0.260.180.590.180.19
Net GEX-8.4M-19.0M-2.7M-8.1M-2.9M
Net DEX29.3M-406.7K71.9M51.2M11.2M
Net VEX-298.1K-379.4K-247.6K-359.1K-267.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.1115.9110.008.62
Total Volume5,115.6568125,66219,6756,983
Total OI109,196.463,702136,753116,31869,989

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$35.05$36.0021.9%6.3%17.4%90.3%23.4%5.4%-0.3%-8.1M51.2M-359.1K10.0043.541,78817,88727,11289,206
2013-09-04$35.18$36.0021.2%6.1%17.3%84.1%22.0%4.6%0.1%-9.2M52.3M-379.4K0.289.771,11531628,18594,797
2013-09-05$35.45$36.0020.5%5.9%17.5%77.8%18.7%3.9%0.5%-9.4M41.3M-368.6K0.474.3066130928,21294,856
2013-09-06$35.42$35.0020.2%5.9%17.4%74.9%20.8%4.9%0.6%-9.8M43.6M-357.5K7.957.541,0178,08528,20294,933
2013-09-09$35.61$35.0019.3%5.6%17.6%66.5%21.6%5.0%0.9%-11.1M38.7M-345.6K0.954.5580777028,20197,250
2013-09-10$35.90$35.0018.6%5.5%17.9%59.7%20.5%4.6%0.8%-10.2M21.7M-324.2K1.0714.3937840428,25397,431
2013-09-11$35.70$35.0017.3%5.4%17.9%47.5%20.4%4.6%1.1%-11.6M28.1M-314.5K4.227.244001,68828,16097,335
2013-09-12$35.52$35.0018.6%5.3%17.9%59.3%19.2%4.9%1.4%-10.9M31.2M-305.6K0.117.236126928,01898,931
2013-09-13$35.61$35.0018.4%5.3%17.7%57.6%19.9%4.8%1.3%-11.3M29.8M-306.4K1.249.6536845628,23498,944
2013-09-16$35.72$35.0018.4%5.3%17.8%58.3%19.0%4.4%0.9%-11.4M23.8M-277.2K1.835.131,1792,15328,30999,062
2013-09-17$36.21$35.0018.3%5.2%18.2%56.7%21.3%4.4%1.2%-8.8M-406.7K-260.9K4.415.192711,19628,873100,202
2013-09-18$35.93$35.0018.3%5.2%17.4%56.9%19.7%4.7%1.0%-11.2M15.0M-261.5K11.068.251,02411,32628,776100,408
2013-09-19$35.28$35.0018.1%5.2%18.3%54.7%18.4%3.3%1.5%-19.0M68.8M-275.6K15.915.031,51824,14428,644108,109
2013-09-20$35.54$36.0017.0%4.9%17.7%44.5%18.1%3.8%1.6%-7.7M71.9M-251.8K3.368.778282,77822,547113,724
2013-09-23$35.27$36.0019.2%5.5%17.8%65.7%19.4%3.9%-0.1%-2.7M11.5M-247.6K4.524.538773,96613,56450,138
2013-09-24$35.42$35.0018.8%5.4%17.7%61.6%17.9%3.8%0.0%-3.3M11.7M-256.4K0.234.461,84442313,94454,485
2013-09-25$35.57$35.0017.0%4.9%12.9%44.4%19.0%4.1%0.9%-2.8M9.7M-265.8K0.934.9275470315,00953,361
2013-09-26$35.45$35.0018.9%5.4%12.9%62.1%18.2%3.7%0.5%-2.9M12.3M-264.5K3.704.903811,41115,21853,526
2013-09-27$35.45$36.0019.4%5.5%12.6%66.7%18.3%3.8%0.4%-3.2M13.4M-273.0K1.3314.0061181315,29454,486
2013-09-30$35.65$36.0019.2%5.5%11.5%65.6%21.0%5.1%0.5%-2.9M11.2M-267.2K8.625.797266,25715,48354,506