KRE Options History — October 2013

In October 2013, KRE traded between $35.04 and $38.04. ATM implied volatility averaged 17.8%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.3% (HV 20d: 15.5%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.39.

Notable Days

  • 2013-10-22: Highest Volume — 9,235 contracts
  • 2013-10-07: Largest IV spike — 25.6% change
  • 2013-10-07: Highest IV Rank — 100.0%
  • 2013-10-08: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.79$35.04$38.04$36.16$37.37
Max Pain$35.39$35.00$36.00$36.00$36.00
ATM IV17.8%14.4%23.3%18.5%16.4%
Expected Move5.1%4.1%6.6%5.3%4.7%
HV 20d15.5%12.4%18.0%12.4%15.5%
HV 60d15.7%15.2%16.1%15.5%15.4%
IV Rank50.6%19.8%100.0%58.8%37.7%
IV Percentile47.0%4.4%100.0%62.3%31.0%
Term Structure0.9%-0.6%1.9%0.7%1.3%
VWIV18.6%14.9%23.2%19.6%15.4%
Skew 25d4.2%2.8%6.0%3.6%3.0%
Skew 10d9.5%5.2%13.8%10.8%6.1%
Call IV 25d16.6%14.2%21.0%17.1%14.9%
Put IV 25d20.8%17.6%27.0%20.7%18.0%
Bid-Ask Spread %8.735.3915.498.596.72
Gamma HHI0.200.130.300.200.26
Net GEX-1.8M-4.0M920.6K-3.0M-3.0M
Net DEX-6.9M-43.4M21.9M4.1M4.1M
Net VEX-238.8K-291.8K-160.1K-275.0K-247.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0614.891.791.81
Total Volume2,674.9132999,2353,0471,189
Total OI79,066.34860,99884,82975,90183,088

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$36.16$36.0018.5%5.3%12.4%58.8%19.6%3.6%0.7%-3.0M4.1M-275.0K1.798.591,0911,95615,93559,966
2013-10-02$35.80$35.0018.5%5.3%13.0%58.7%19.6%5.2%0.8%-3.2M12.0M-286.1K2.305.397411,70316,69859,590
2013-10-03$35.64$35.0018.9%5.4%12.9%62.5%20.1%4.7%1.0%-3.4M8.6M-278.0K3.526.544201,48017,37960,417
2013-10-04$35.95$35.0018.6%5.6%13.2%59.2%18.3%4.7%0.8%-3.1M6.1M-284.1K1.1512.3513916017,61860,852
2013-10-07$35.34$35.0023.3%6.4%14.5%100.0%23.2%5.0%-0.1%-4.0M16.4M-277.9K0.3212.973,3261,07617,65260,686
2013-10-08$35.04$35.0023.3%6.6%14.5%99.5%23.2%6.0%0.0%-3.7M21.9M-291.5K0.9915.2884083420,76861,651
2013-10-09$35.13$35.0022.9%6.6%14.4%96.3%22.7%5.7%-0.2%-3.6M19.4M-291.8K0.1712.342,08435220,83461,475
2013-10-10$35.94$35.0020.3%5.8%16.6%72.6%20.9%4.8%0.3%-1.5M-590.6K-260.4K1.589.2934955020,33961,560
2013-10-11$36.65$35.0017.9%5.1%17.9%51.0%19.0%4.7%0.9%415.5K-24.0M-206.7K0.599.091,40083020,48361,974
2013-10-14$36.80$35.0018.8%5.4%17.9%59.5%20.3%5.0%0.6%479.7K-27.7M-206.4K1.958.657081,38421,13862,229
2013-10-15$36.50$35.0021.4%6.1%17.6%82.8%23.1%5.9%-0.6%-515.4K-15.9M-238.3K0.738.4328621021,28463,083
2013-10-16$37.03$35.0017.9%5.1%18.0%51.0%18.7%4.7%0.4%920.6K-35.5M-182.0K0.277.122,00254921,41263,043
2013-10-17$37.24$35.0016.6%4.8%16.4%39.6%18.3%4.3%1.2%390.0K-39.0M-181.4K0.717.611,19884521,49562,854
2013-10-18$37.49$35.0016.1%4.6%16.4%34.8%17.2%3.9%1.1%-5.8K-43.4M-165.1K0.326.764,1791,35321,64363,186
2013-10-21$37.63$35.0014.9%4.3%16.0%24.4%16.6%3.4%1.4%-316.7K-19.3M-161.2K2.018.538971,80513,92147,077
2013-10-22$37.61$36.0015.0%4.3%16.0%24.9%15.9%3.1%1.4%-299.1K-19.7M-160.1K14.895.915818,65414,55648,767
2013-10-23$37.65$36.0015.2%4.3%16.0%26.4%15.4%3.1%1.4%-1.3M-10.2M-210.6K5.735.807314,18714,77856,962
2013-10-24$37.76$36.0014.4%4.1%15.9%19.8%14.9%3.5%1.9%-2.3M-3.9M-252.2K6.907.618165,63314,57260,489
2013-10-25$37.81$36.0014.8%4.2%15.8%22.9%15.4%3.5%1.8%-3.0M1.1M-265.0K0.0615.491,6229914,58965,971
2013-10-28$38.04$36.0015.1%4.3%15.8%26.3%16.5%2.8%1.7%-2.5M-6.8M-255.9K1.216.4663977515,64566,039
2013-10-29$37.87$36.0015.5%4.4%15.5%29.2%15.8%3.0%1.3%-2.4M-5.1M-249.8K4.146.1716769115,61066,528
2013-10-30$37.78$36.0015.0%4.3%14.9%25.5%17.0%3.0%1.4%-2.7M-1.3M-264.3K1.697.6336962315,64467,046
2013-10-31$37.37$36.0016.4%4.7%15.5%37.7%15.4%3.0%1.3%-3.0M4.1M-247.2K1.816.7242376615,75667,332