KRE Options History — March 2014

In March 2014, KRE traded between $39.58 and $42.47. ATM implied volatility averaged 18.4%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 16.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2014-03-07: Highest Volume — 38,373 contracts
  • 2014-03-04: Largest IV drop — 9.2% change
  • 2014-03-14: Highest IV Rank — 64.4%
  • 2014-03-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.11$39.58$42.47$39.58$41.38
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.4%17.2%20.2%20.2%17.7%
Expected Move6.1%5.9%6.3%6.0%6.1%
HV 20d16.7%12.9%22.5%22.5%17.1%
HV 60d18.8%18.3%19.2%18.7%19.2%
IV Rank49.5%39.8%64.4%63.8%43.9%
IV Percentile63.6%41.7%88.9%88.1%49.2%
Term Structure0.2%-1.6%1.2%-1.6%0.7%
VWIV22.5%20.1%26.4%23.0%21.1%
Skew 25d3.5%1.9%4.8%4.8%3.1%
Skew 10d7.9%4.7%12.9%12.9%6.6%
Call IV 25d17.2%16.0%19.5%19.5%16.1%
Put IV 25d20.7%19.0%24.4%24.4%19.1%
Bid-Ask Spread %5.944.0510.828.145.99
Gamma HHI0.260.220.370.220.30
Net GEX7.5M408.0K21.3M408.0K7.5M
Net DEX-107.9M-181.5M-41.3M-41.3M-89.0M
Net VEX-512.3K-619.6K-366.3K-469.3K-597.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.105.245.152.47
Total Volume8,305.8571,36738,3734,3955,722
Total OI146,516.714114,286172,893131,074124,542

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$39.58$35.0020.2%6.0%22.5%63.8%0.0%4.8%-1.6%408.0K-41.3M-469.3K5.158.147153,68043,91687,158
2014-03-04$40.49$35.0018.3%6.1%18.3%48.8%0.0%2.1%-0.3%2.2M-83.8M-399.1K1.628.504,9898,09043,44088,439
2014-03-05$40.46$35.0018.2%6.0%17.6%48.3%0.0%1.9%-0.2%2.8M-79.7M-400.9K0.735.841,9821,44842,83890,826
2014-03-06$40.73$35.0017.3%5.9%17.4%40.9%23.0%2.5%-0.1%3.1M-85.3M-389.2K0.166.2326,2964,31442,40991,835
2014-03-07$41.18$35.0018.1%6.1%17.4%46.9%24.7%3.0%0.2%3.2M-97.4M-366.3K0.1110.8234,6783,69542,21794,870
2014-03-10$41.23$35.0018.7%6.0%17.4%51.6%20.1%3.3%-0.0%10.2M-153.1M-585.9K0.107.052,75727175,86597,028
2014-03-11$41.08$35.0018.3%6.0%17.6%48.4%21.3%3.3%0.3%9.5M-135.2M-527.4K0.114.794,02643770,53697,088
2014-03-12$40.98$35.0018.1%6.0%17.3%47.5%21.6%3.4%0.4%9.2M-128.1M-515.8K0.444.902,3161,02969,27897,239
2014-03-13$40.79$35.0019.3%6.1%17.4%56.7%0.0%4.0%-0.1%8.2M-117.7M-514.3K1.925.531,9953,83568,66697,781
2014-03-14$40.89$35.0020.2%6.1%17.4%64.4%0.0%4.6%-0.4%7.1M-114.4M-563.4K1.144.931,8072,05568,624100,977
2014-03-17$41.16$35.0019.4%6.1%17.4%57.6%0.0%4.4%0.1%8.1M-123.9M-506.1K0.394.0598138667,845102,371
2014-03-18$41.35$35.0018.8%6.1%17.4%53.1%0.0%4.6%0.4%8.6M-130.7M-496.6K0.174.971,34922567,780101,995
2014-03-19$41.62$35.0017.2%6.0%12.9%40.2%20.8%3.5%0.8%9.5M-146.1M-478.9K0.365.089,8703,58567,238102,009
2014-03-20$42.47$35.0017.6%6.1%13.9%42.8%23.6%2.7%0.9%11.9M-181.5M-450.8K0.155.8812,5601,84668,42099,542
2014-03-21$42.02$35.0017.2%6.1%15.0%39.8%0.0%3.8%1.2%21.3M-129.7M-542.9K0.536.364,9492,62663,076100,378
2014-03-24$41.85$35.0017.4%6.1%14.4%41.5%25.3%3.6%0.6%8.6M-113.8M-566.2K1.285.461,4921,91359,21555,071
2014-03-25$41.82$35.0017.6%6.1%14.0%43.2%0.0%3.7%0.7%8.5M-110.6M-573.5K4.994.651,3406,68559,60755,936
2014-03-26$41.26$35.0018.9%6.2%14.9%53.4%26.4%3.9%0.3%6.5M-83.1M-619.6K0.855.761,01686060,17662,423
2014-03-27$40.46$35.0019.6%6.3%16.8%59.4%21.8%3.4%0.4%5.0M-59.9M-593.3K0.994.931,3581,33960,77262,883
2014-03-28$40.61$35.0018.1%6.2%16.3%47.2%20.8%3.6%0.6%5.3M-62.1M-600.5K5.244.876263,28060,72063,822
2014-03-31$41.38$35.0017.7%6.1%17.1%43.9%21.1%3.1%0.7%7.5M-89.0M-597.6K2.475.991,6504,07260,72063,822