KRE Options History — November 2013

In November 2013, KRE traded between $37.24 and $40.02. ATM implied volatility averaged 16.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.4% (HV 20d: 16.4%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2013-11-11: Highest Volume — 20,292 contracts
  • 2013-11-11: Largest IV spike — 18.9% change
  • 2013-11-29: Highest IV Rank — 43.4%
  • 2013-11-20: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.50$37.24$40.02$37.30$39.96
Max Pain$38.63$36.00$40.00$36.00$40.00
ATM IV16.0%13.7%17.0%15.3%17.0%
Expected Move5.7%4.4%6.2%4.4%6.1%
HV 20d16.4%12.0%18.3%15.4%17.4%
HV 60d16.1%15.2%17.5%15.4%15.3%
IV Rank33.9%13.2%43.4%28.1%43.4%
IV Percentile29.0%3.6%46.8%19.4%46.8%
Term Structure0.3%-0.2%1.8%1.8%-0.0%
VWIV20.0%15.8%23.8%15.8%23.8%
Skew 25d3.2%2.5%4.0%3.6%2.8%
Skew 10d6.5%4.6%8.9%7.8%4.6%
Call IV 25d15.4%13.8%16.5%13.8%15.9%
Put IV 25d18.6%17.4%19.9%17.4%18.7%
Bid-Ask Spread %6.254.3510.1810.184.84
Gamma HHI0.210.170.280.270.17
Net GEX-2.4M-3.9M-397.1K-3.2M-397.1K
Net DEX-9.0M-35.2M10.7M7.1M-35.2M
Net VEX-265.6K-329.7K-232.3K-249.5K-232.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0713.131.040.53
Total Volume4,244.517020,2921,7871,087
Total OI94,600.583,660105,15283,660101,898

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$37.30$36.0015.3%4.4%15.4%28.1%15.8%3.6%1.8%-3.2M7.1M-249.5K1.0410.1887691115,72467,936
2013-11-04$37.45$36.0016.0%5.0%13.7%33.6%17.3%3.9%0.2%-3.1M4.9M-249.1K1.668.926410615,82468,048
2013-11-05$37.46$36.0015.9%5.0%13.0%33.3%17.7%3.4%0.1%-3.1M3.7M-243.3K1.927.031,3882,66615,77368,114
2013-11-06$37.68$36.0013.7%4.7%13.1%13.2%16.8%3.5%0.3%-3.1M377.9K-267.0K1.087.992,9463,17416,98270,695
2013-11-07$37.24$36.0015.7%5.0%12.0%31.7%17.7%3.3%-0.1%-3.9M10.7M-275.4K1.476.581,3592,00217,24773,236
2013-11-08$38.70$36.0014.1%4.8%16.7%16.9%17.4%3.4%-0.2%-2.0M-18.8M-248.3K0.386.257,5002,83318,10274,792
2013-11-11$38.32$0.0016.8%6.0%17.3%41.0%21.4%3.6%-0.1%-1.5M-18.2M-273.7K13.136.111,43618,85622,87276,853
2013-11-12$37.94$38.0016.3%6.0%17.4%36.9%21.9%3.4%0.1%-3.1M4.7M-329.7K0.464.933,0501,41323,02582,127
2013-11-13$38.28$40.0015.2%6.1%17.0%27.2%21.4%4.0%0.1%-2.9M-1.3M-307.1K0.265.354,2761,11221,86982,804
2013-11-14$38.46$40.0016.8%6.0%17.0%41.3%22.7%3.1%0.2%-3.2M-8.8M-280.4K0.494.352,3391,15020,44782,133
2013-11-15$38.34$40.0016.4%6.1%16.9%37.6%22.4%3.4%0.5%-2.7M-6.2M-275.9K0.575.1276743421,27181,928
2013-11-18$38.32$40.0016.4%6.1%16.9%37.9%21.0%3.0%0.4%-2.9M394.5K-274.5K3.065.507062,16118,58271,206
2013-11-19$38.29$40.0016.6%6.2%16.9%39.7%20.9%3.0%0.2%-2.9M1.7M-274.0K1.106.1643147418,73773,299
2013-11-20$38.31$40.0016.6%6.2%16.9%39.5%0.0%2.8%0.5%-2.9M1.9M-286.1K0.335.611,18238718,83673,519
2013-11-21$39.05$40.0016.0%6.1%18.1%33.9%21.6%3.0%0.4%-1.7M-16.7M-267.8K0.074.932,30516619,69173,426
2013-11-22$39.41$40.0016.6%6.1%18.3%39.3%19.8%2.6%0.5%-1.4M-22.0M-250.1K1.365.122,3003,13219,14073,523
2013-11-25$39.58$40.0015.9%6.0%18.3%32.9%20.2%2.5%0.2%-1.5M-25.4M-244.8K0.847.522,3802,00619,66176,337
2013-11-26$39.80$40.0015.9%6.0%18.1%33.2%20.2%3.0%0.4%-1.3M-28.7M-249.1K0.854.9242335820,48577,506
2013-11-27$40.02$40.0016.3%6.0%18.1%36.6%0.0%2.6%0.4%-825.7K-34.6M-234.3K1.017.582,3612,37320,56177,801
2013-11-29$39.96$40.0017.0%6.1%17.4%43.4%23.8%2.8%-0.0%-397.1K-35.2M-232.3K0.534.8471037721,80780,091