KRE Options History — February 2014

In February 2014, KRE traded between $36.84 and $39.89. ATM implied volatility averaged 19.0%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.5% (HV 20d: 23.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.23.

Notable Days

2014-02-03: Highest Volume — 28,207 contracts
2014-02-04: Largest IV drop — 13.6% change
2014-02-03: Highest IV Rank — 100.0%
2014-02-03: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.34	$36.84	$39.89	$36.84	$39.89
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	19.0%	17.2%	24.7%	24.7%	17.9%
Expected Move	6.1%	6.0%	6.6%	6.6%	6.1%
HV 20d	23.5%	21.8%	24.3%	21.8%	23.5%
HV 60d	18.2%	17.4%	19.4%	19.0%	18.8%
IV Rank	54.6%	40.2%	100.0%	100.0%	45.6%
IV Percentile	68.5%	47.2%	100.0%	100.0%	58.3%
Term Structure	0.1%	-0.7%	1.0%	-0.7%	-0.1%
VWIV	22.0%	19.4%	25.9%	22.2%	21.0%
Skew 25d	3.8%	3.1%	4.8%	4.4%	4.1%
Skew 10d	8.1%	6.4%	11.3%	9.0%	9.6%
Call IV 25d	18.1%	16.4%	23.6%	23.6%	16.8%
Put IV 25d	21.9%	19.6%	28.0%	28.0%	20.9%
Bid-Ask Spread %	8.20	5.89	12.54	12.54	8.07
Gamma HHI	0.20	0.17	0.27	0.19	0.22
Net GEX	-3.2M	-6.0M	1.3M	-4.5M	919.9K
Net DEX	18.3M	-54.0M	83.8M	83.8M	-54.0M
Net VEX	-423.7K	-482.0K	-385.6K	-420.3K	-434.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.09	12.15	12.15	0.32
Total Volume	5,402.895	846	28,207	28,207	9,778
Total OI	125,277.105	111,935	134,223	111,935	127,248

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$36.84	$35.00	24.7%	6.6%	21.8%	100.0%	22.2%	4.4%	-0.7%	-4.5M	83.8M	-420.3K	12.15	12.54	2,145	26,062	29,796	82,139
2014-02-04	$37.54	$35.00	21.3%	6.2%	23.2%	73.1%	25.9%	4.1%	0.1%	-5.6M	65.3M	-456.5K	1.42	12.02	1,470	2,088	30,264	90,535
2014-02-05	$37.43	$35.00	23.1%	6.4%	22.8%	87.5%	0.0%	4.3%	0.0%	-5.7M	70.8M	-482.0K	0.66	11.24	857	563	30,988	90,484
2014-02-06	$37.85	$35.00	20.5%	6.3%	23.4%	66.8%	0.0%	4.1%	0.3%	-5.5M	52.9M	-431.7K	0.12	6.55	2,836	326	31,466	90,942
2014-02-07	$37.91	$35.00	18.8%	6.2%	23.1%	52.9%	24.2%	4.2%	0.3%	-5.3M	49.9M	-442.8K	1.76	10.37	307	539	33,433	91,049
2014-02-10	$37.93	$35.00	19.1%	6.1%	23.1%	55.6%	0.0%	3.9%	0.1%	-5.1M	47.2M	-405.0K	0.39	6.24	1,130	436	33,541	91,212
2014-02-11	$38.48	$35.00	18.0%	6.1%	23.7%	46.7%	0.0%	3.6%	0.2%	-5.3M	26.3M	-427.4K	0.09	10.48	3,829	338	33,881	91,149
2014-02-12	$38.41	$35.00	17.8%	6.1%	23.7%	44.5%	19.5%	3.7%	0.1%	-4.4M	20.7M	-400.1K	0.45	6.45	1,388	620	36,393	91,278
2014-02-13	$38.53	$35.00	18.0%	6.0%	23.6%	46.2%	0.0%	3.6%	0.5%	-5.5M	18.6M	-393.5K	0.14	7.83	7,425	1,011	35,292	91,406
2014-02-14	$38.80	$35.00	17.2%	6.0%	23.7%	40.2%	0.0%	3.5%	1.0%	-5.3M	-4.3M	-438.0K	0.81	6.92	527	425	42,168	92,040
2014-02-18	$38.92	$35.00	17.9%	6.0%	23.7%	45.3%	0.0%	3.7%	0.5%	-6.0M	-14.9M	-385.6K	1.32	6.93	485	641	42,291	91,932
2014-02-19	$37.83	$35.00	19.4%	6.1%	24.0%	57.3%	19.4%	4.8%	-0.3%	-1.8M	48.5M	-410.9K	1.46	10.48	1,242	1,811	42,147	91,511
2014-02-20	$37.84	$35.00	18.8%	6.1%	23.7%	52.6%	0.0%	4.1%	0.1%	-1.2M	52.4M	-407.8K	2.61	6.65	1,976	5,160	41,548	92,075
2014-02-21	$38.15	$35.00	18.4%	6.1%	23.8%	49.4%	0.0%	3.7%	0.4%	-2.4M	24.1M	-406.8K	0.45	5.95	7,442	3,385	42,507	90,668
2014-02-24	$38.88	$35.00	17.4%	6.0%	24.3%	41.8%	0.0%	3.2%	-0.0%	713.5K	-31.1M	-414.7K	0.86	7.54	1,716	1,475	40,876	76,117
2014-02-25	$38.66	$35.00	17.3%	6.0%	23.9%	40.6%	0.0%	3.1%	0.0%	206.9K	-22.7M	-433.1K	0.35	5.89	939	332	41,621	77,203
2014-02-26	$39.16	$35.00	17.8%	6.0%	24.3%	44.3%	0.0%	3.1%	-0.3%	1.3M	-43.8M	-411.8K	9.71	6.70	806	7,823	41,163	77,241
2014-02-27	$39.40	$35.00	18.1%	6.0%	23.4%	46.8%	21.0%	3.2%	-0.2%	318.7K	-41.9M	-447.9K	7.28	6.95	401	2,921	41,149	83,512
2014-02-28	$39.89	$35.00	17.9%	6.1%	23.5%	45.6%	0.0%	4.1%	-0.1%	919.9K	-54.0M	-434.2K	0.32	8.07	7,396	2,382	41,199	86,049