KRE Options History — December 2013

In December 2013, KRE traded between $38.88 and $40.77. ATM implied volatility averaged 17.8%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.1% (HV 20d: 15.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2013-12-17: Highest Volume — 19,471 contracts
  • 2013-12-06: Largest IV drop — 12.9% change
  • 2013-12-11: Highest IV Rank — 72.6%
  • 2013-12-18: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.83$38.88$40.77$39.59$40.61
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.8%15.1%20.3%18.5%15.6%
Expected Move6.2%6.0%6.4%6.1%6.0%
HV 20d15.7%13.7%18.8%17.9%15.0%
HV 60d15.9%15.4%16.3%15.4%15.9%
IV Rank50.2%25.8%72.6%56.4%30.0%
IV Percentile57.2%15.1%90.1%69.4%23.8%
Term Structure0.6%-0.9%1.9%-0.7%0.7%
VWIV22.0%20.3%25.7%20.3%21.5%
Skew 25d3.8%2.7%5.5%3.0%3.2%
Skew 10d9.7%6.5%15.2%7.0%11.0%
Call IV 25d16.7%14.7%19.0%17.5%15.2%
Put IV 25d20.5%17.5%22.9%20.5%18.4%
Bid-Ask Spread %9.824.0718.574.0713.28
Gamma HHI0.210.170.360.170.20
Net GEX-1.4M-3.2M2.7M-1.1M-1.1M
Net DEX-20.4M-38.2M1.0M-23.7M-34.6M
Net VEX-302.5K-375.1K-244.5K-244.5K-297.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.1310.343.030.19
Total Volume4,746.4761,08519,4719,0512,024
Total OI115,705.857102,193137,788102,193109,371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$39.59$40.0018.5%6.1%17.9%56.4%20.3%3.0%-0.7%-1.1M-23.7M-244.5K3.034.072,2446,80721,91180,282
2013-12-03$39.07$40.0019.4%6.2%18.8%64.8%21.4%2.7%-0.4%-2.5M-5.8M-291.9K1.2210.022,0562,49922,82584,523
2013-12-04$39.24$40.0019.5%6.3%18.8%65.3%0.0%2.8%-0.6%-2.3M-9.2M-308.8K0.577.891,48884723,32085,968
2013-12-05$39.23$40.0020.1%6.3%18.8%71.5%0.0%2.9%-0.9%-2.3M-9.1M-299.6K2.547.145701,44523,77486,374
2013-12-06$39.93$40.0017.5%6.2%18.8%48.1%21.7%3.8%1.1%-805.6K-29.1M-273.9K1.968.371,4122,76923,82687,453
2013-12-09$39.79$40.0018.2%6.2%13.7%54.2%24.4%3.7%1.1%-908.3K-27.7M-256.1K7.227.393302,38123,37389,156
2013-12-10$39.37$40.0018.7%6.3%13.7%58.2%0.0%3.8%1.2%-1.6M-16.4M-275.2K2.577.394431,13723,64390,227
2013-12-11$38.88$40.0020.3%6.4%14.1%72.6%20.9%4.5%0.8%-3.2M1.0M-288.2K3.257.411,6765,45523,72389,475
2013-12-12$39.14$40.0019.5%6.3%13.9%65.7%20.9%5.0%0.5%-2.5M-4.4M-298.1K1.499.766931,03224,20293,831
2013-12-13$39.07$40.0019.1%6.3%13.9%62.4%25.7%5.2%0.6%-2.7M-181.6K-305.9K10.347.818338,61624,39793,900
2013-12-16$39.67$40.0017.8%6.2%14.7%50.6%0.0%4.4%0.8%-1.3M-17.7M-301.0K2.289.651,2332,81324,492101,981
2013-12-17$39.46$40.0019.9%6.4%14.9%69.0%22.3%4.8%0.4%-1.8M-10.2M-291.9K2.4110.495,71213,75924,341103,574
2013-12-18$40.03$40.0017.6%6.4%15.5%48.5%21.8%5.5%1.4%-1.0M-22.6M-370.0K0.1718.577,3661,22928,707109,081
2013-12-19$39.76$40.0017.4%6.2%15.9%46.5%21.0%5.0%1.5%-722.0K-22.5M-359.8K0.1317.147,36394131,038106,660
2013-12-20$40.10$40.0016.7%6.2%14.7%40.0%0.0%4.2%1.9%2.7M-25.9M-375.1K0.379.712,62296630,064107,285
2013-12-23$40.77$40.0015.5%6.1%15.5%29.3%0.0%3.8%0.8%-1.7M-32.6M-309.2K0.4411.611,76077721,71583,071
2013-12-24$40.75$40.0015.6%6.1%15.5%30.6%0.0%3.6%0.8%-1.7M-31.5M-314.3K0.189.492,20939022,87883,527
2013-12-26$40.71$40.0015.1%6.1%15.4%26.3%21.5%2.7%0.7%-736.1K-38.2M-284.9K0.629.5193858424,36783,852
2013-12-27$40.69$40.0015.1%6.0%15.3%25.8%0.0%3.0%0.7%-959.9K-36.5M-300.6K0.9210.0056651924,61184,040
2013-12-30$40.48$40.0016.5%6.2%15.5%38.5%0.0%3.2%0.5%-1.4M-31.4M-304.8K0.639.6072045224,70484,281
2013-12-31$40.61$40.0015.6%6.0%15.0%30.0%0.0%3.2%0.7%-1.1M-34.6M-297.9K0.1913.281,69632824,89684,475