KRE Options History — January 2014

In January 2014, KRE traded between $38.25 and $41.17. ATM implied volatility averaged 17.2%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.5% (HV 20d: 14.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2014-01-27: Highest Volume — 14,002 contracts
  • 2014-01-24: Largest IV spike — 20.8% change
  • 2014-01-31: Highest IV Rank — 83.1%
  • 2014-01-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.90$38.25$41.17$39.99$38.25
Max Pain$39.76$35.00$40.00$40.00$35.00
ATM IV17.2%14.2%21.4%16.7%21.4%
Expected Move6.1%5.9%6.4%6.1%6.4%
HV 20d14.6%12.0%17.9%15.3%17.9%
HV 60d15.6%14.7%17.4%15.8%17.4%
IV Rank44.5%17.5%83.1%40.2%83.1%
IV Percentile47.0%4.8%95.6%42.5%95.6%
Term Structure0.8%-0.2%1.4%0.5%-0.0%
VWIV22.4%19.9%24.9%19.9%23.9%
Skew 25d3.5%2.6%4.2%3.8%3.7%
Skew 10d7.6%5.8%10.3%10.3%7.9%
Call IV 25d16.1%13.9%20.1%15.9%20.1%
Put IV 25d19.6%16.5%23.8%19.7%23.8%
Bid-Ask Spread %10.257.2016.389.5610.62
Gamma HHI0.310.230.420.230.27
Net GEX-1.8M-4.5M-141.3K-1.8M-4.5M
Net DEX-19.6M-45.4M38.3M-22.1M38.3M
Net VEX-316.4K-415.9K-246.1K-308.9K-415.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.259.390.492.99
Total Volume4,490.8571,59014,0022,2844,924
Total OI110,640.09579,322136,298110,854108,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$39.99$40.0016.7%6.1%15.3%40.2%0.0%3.8%0.5%-1.8M-22.1M-308.9K0.499.561,53475026,22584,629
2014-01-03$40.03$40.0016.0%6.1%15.3%33.8%19.9%2.7%1.1%-858.1K-34.2M-267.3K0.7910.233,7983,01326,82484,916
2014-01-06$39.75$40.0016.4%6.1%15.5%37.2%20.0%3.4%0.8%-2.2M-24.5M-290.9K2.259.076951,56527,10287,449
2014-01-07$40.10$40.0016.2%6.1%14.5%35.4%0.0%3.6%0.8%-1.5M-30.3M-291.6K1.1111.093,8294,24027,24488,736
2014-01-08$40.14$40.0016.0%6.1%14.5%33.7%24.6%3.4%0.9%-851.8K-35.4M-308.3K9.3911.806345,95229,83192,197
2014-01-09$40.44$40.0016.7%6.1%14.0%39.9%0.0%3.3%0.9%-1.4M-35.5M-331.5K2.129.617721,63830,02597,914
2014-01-10$40.38$40.0016.4%6.1%13.1%38.0%24.7%3.6%1.1%-1.4M-35.5M-338.3K3.977.205272,09130,14199,122
2014-01-13$39.93$40.0019.4%6.0%13.8%65.0%21.8%3.3%0.8%-2.7M-22.6M-322.7K1.919.801,1972,28830,291100,499
2014-01-14$40.07$40.0015.9%6.0%13.8%33.2%23.9%3.6%1.2%-791.4K-30.0M-309.2K0.778.671,12286730,553102,316
2014-01-15$40.25$40.0014.2%6.0%12.8%17.5%21.2%3.3%1.1%-1.0M-34.8M-299.9K8.2710.577626,30129,045102,253
2014-01-16$39.92$40.0015.5%6.0%13.0%29.7%0.0%3.3%1.2%-1.9M-24.3M-305.3K0.747.421,10381729,093106,811
2014-01-17$40.06$40.0015.2%6.0%12.0%26.4%0.0%3.5%1.3%-1.9M-30.5M-295.2K1.2111.8272087029,607106,691
2014-01-21$40.91$40.0014.7%5.9%13.8%22.5%0.0%3.1%1.3%-258.2K-37.0M-255.4K0.4910.421,61479222,53156,791
2014-01-22$41.17$40.0014.8%5.9%13.7%23.7%20.4%2.6%1.4%-141.3K-45.4M-246.1K0.559.981,27770523,27757,282
2014-01-23$40.58$40.0015.6%6.0%13.6%30.6%24.9%3.2%1.1%-626.5K-31.5M-288.9K0.698.721,35293623,72357,712
2014-01-24$39.85$40.0018.9%6.0%15.0%59.8%22.5%4.2%0.5%-1.1M-16.8M-311.4K2.6216.381,7454,56824,37058,359
2014-01-27$39.27$40.0020.9%6.2%15.7%78.2%22.0%3.9%-0.2%-1.8M-1.9M-319.8K2.629.133,86410,13824,81362,052
2014-01-28$39.31$40.0020.0%6.2%15.8%70.2%0.0%3.9%-0.2%-3.0M2.5M-352.1K0.7710.061,8101,38526,64471,191
2014-01-29$38.57$40.0020.0%6.2%16.9%70.2%20.0%3.9%0.0%-3.1M23.1M-378.6K4.2214.251,8567,83427,51771,958
2014-01-30$39.00$40.0019.6%6.1%17.5%66.3%23.5%3.5%0.2%-4.2M17.5M-406.5K0.258.921,93948427,91279,182
2014-01-31$38.25$35.0021.4%6.4%17.9%83.1%23.9%3.7%-0.0%-4.5M38.3M-415.9K2.9910.621,2353,68929,23279,382