KRE Options History — April 2014

In April 2014, KRE traded between $38.25 and $42.16. ATM implied volatility averaged 19.0%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.0% (HV 20d: 19.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2014-04-04: Highest Volume — 53,605 contracts
  • 2014-04-10: Largest IV spike — 23.6% change
  • 2014-04-11: Highest IV Rank — 78.3%
  • 2014-04-11: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.97$38.25$42.16$42.15$38.49
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV19.0%16.4%22.0%16.4%19.4%
Expected Move6.1%6.0%6.3%6.1%6.1%
HV 20d19.0%16.2%21.2%16.5%16.2%
HV 60d20.0%17.8%20.9%19.6%17.8%
IV Rank54.2%33.7%78.3%33.7%57.3%
IV Percentile65.9%27.4%97.6%27.4%77.4%
Term Structure0.3%-1.0%1.3%0.8%-0.1%
VWIV23.6%19.7%29.0%21.6%23.2%
Skew 25d4.2%3.3%5.2%3.4%3.6%
Skew 10d9.6%7.5%11.8%8.5%7.5%
Call IV 25d17.6%15.2%20.0%15.2%17.4%
Put IV 25d21.8%18.6%25.0%18.6%21.0%
Bid-Ask Spread %7.724.7010.785.759.56
Gamma HHI0.230.150.370.370.34
Net GEX2.8M-4.2M9.1M8.7M-4.2M
Net DEX-18.8M-117.7M98.3M-113.5M84.6M
Net VEX-607.1K-748.2K-534.6K-593.9K-568.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0225.930.310.76
Total Volume8,554.1939953,6053,89711,696
Total OI147,626.714125,717167,612132,015161,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$42.15$35.0016.4%6.1%16.5%33.7%21.6%3.4%0.8%8.7M-113.5M-593.9K0.315.752,98391461,87770,138
2014-04-02$42.11$35.0017.0%6.1%16.5%38.2%20.0%3.5%0.6%8.8M-115.6M-570.0K0.814.7099280163,11070,359
2014-04-03$42.16$35.0016.8%6.1%16.4%36.5%21.0%3.3%1.0%9.1M-117.7M-586.9K0.256.103198063,19270,656
2014-04-04$41.22$35.0018.9%6.2%18.1%53.3%25.8%4.1%0.2%5.4M-73.8M-613.9K0.046.6051,7161,88963,25070,699
2014-04-07$40.87$35.0019.6%6.2%18.4%59.0%21.9%4.5%0.2%5.9M-69.8M-689.5K0.856.632,1941,86477,55371,737
2014-04-08$40.79$35.0019.0%6.1%18.3%54.2%0.0%4.5%0.4%6.8M-76.8M-748.2K0.315.551,55148287,49072,227
2014-04-09$40.65$35.0017.8%6.1%18.4%44.5%20.3%4.1%0.3%6.2M-68.8M-717.9K0.176.811,39924487,27072,348
2014-04-10$39.44$35.0022.0%6.3%21.2%78.1%23.6%5.2%-1.0%3.1M-18.1M-646.8K0.157.3620,8333,19486,52772,324
2014-04-11$39.12$35.0022.0%6.3%21.2%78.3%0.0%5.0%-0.4%2.8M-6.7M-662.9K1.109.162,8603,13593,57474,038
2014-04-14$39.26$35.0021.4%6.3%21.1%73.8%20.3%4.5%-0.0%1.3M-3.3M-581.9K0.757.8593569877,53776,091
2014-04-15$39.35$35.0021.1%6.3%21.0%71.0%28.1%4.6%-0.0%2.1M-7.5M-573.5K1.878.105651,05977,94376,155
2014-04-16$39.55$35.0018.6%6.1%20.9%51.5%27.3%3.9%0.5%1.6M-9.1M-538.2K0.779.1774757873,27475,910
2014-04-17$39.85$35.0017.5%6.0%19.5%42.4%0.0%3.7%1.1%1.3M-17.6M-556.5K2.148.534,80510,27973,81176,416
2014-04-21$39.66$35.0017.8%6.1%19.4%45.2%28.9%4.4%1.0%3.3M-24.3M-534.6K9.6110.785975,73661,71364,004
2014-04-22$39.91$35.0017.5%6.0%19.6%42.5%19.7%4.6%1.0%3.0M-28.7M-566.8K0.388.821,82468962,08869,504
2014-04-23$40.01$35.0017.0%6.0%19.7%38.1%0.0%4.0%1.3%1.7M3.5K-663.6K0.028.412,4314062,15180,091
2014-04-24$39.29$35.0018.4%6.1%20.1%49.9%25.5%4.1%0.7%-137.2K34.7M-598.4K0.278.195,1671,40260,65580,096
2014-04-25$38.78$35.0018.7%6.1%19.5%52.0%0.0%5.0%0.3%-441.9K57.2M-580.4K25.938.6397025,15661,94680,687
2014-04-28$38.49$35.0021.3%6.2%19.5%72.9%29.0%4.2%-0.4%-3.4M81.8M-582.9K0.518.602,7691,42366,18392,626
2014-04-29$38.25$35.0020.4%6.2%17.7%65.7%21.3%4.4%-0.5%-4.2M98.3M-574.9K0.486.871,77784568,42293,431
2014-04-30$38.49$35.0019.4%6.1%16.2%57.3%23.2%3.6%-0.1%-4.2M84.6M-568.1K0.769.566,6365,06067,72993,329