KRE Options History — May 2014

In May 2014, KRE traded between $37.30 and $38.94. ATM implied volatility averaged 17.9%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.4% (HV 20d: 16.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2014-05-15: Highest Volume — 22,393 contracts
  • 2014-05-15: Largest IV spike — 25.5% change
  • 2014-05-05: Highest IV Rank — 57.2%
  • 2014-05-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$37.30$38.94$38.35$38.29
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV17.9%15.3%19.4%18.8%17.6%
Expected Move6.0%5.8%6.1%6.1%6.0%
HV 20d16.5%13.3%18.1%16.1%17.1%
HV 60d17.7%16.9%18.8%17.5%16.9%
IV Rank43.6%24.4%57.2%52.4%38.2%
IV Percentile49.3%9.1%76.6%67.9%37.7%
Term Structure0.1%-0.7%1.1%0.5%0.3%
VWIV21.2%18.6%28.2%19.6%22.2%
Skew 25d3.7%2.8%4.3%3.7%2.8%
Skew 10d8.5%6.5%10.7%10.2%8.8%
Call IV 25d16.9%15.4%18.0%17.1%16.2%
Put IV 25d20.6%19.0%22.3%20.7%19.0%
Bid-Ask Spread %8.866.6310.549.986.63
Gamma HHI0.290.160.550.300.22
Net GEX-5.5M-12.3M-1.6M-4.1M-6.9M
Net DEX96.0M41.0M165.7M99.3M70.9M
Net VEX-526.4K-573.9K-465.2K-573.8K-531.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.2211.920.7010.38
Total Volume5,166.04840022,3931,9762,606
Total OI175,196.429162,093188,730171,428180,056

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$38.35$35.0018.8%6.1%16.1%52.4%0.0%3.7%0.5%-4.1M99.3M-573.8K0.709.981,15981773,26498,164
2014-05-02$38.55$35.0016.4%5.9%16.4%33.7%19.6%3.5%1.0%-4.4M91.5M-573.9K0.228.911,92541572,11398,704
2014-05-05$38.24$35.0019.4%6.0%15.0%57.2%25.4%4.2%0.1%-5.0M106.7M-545.0K5.617.943081,72872,61298,789
2014-05-06$37.68$35.0019.1%6.0%15.4%55.0%19.7%4.3%0.1%-6.6M132.6M-506.1K1.417.801,8622,63172,720100,002
2014-05-07$38.06$35.0018.6%6.0%16.2%50.8%28.2%3.9%0.1%-6.5M119.4M-530.9K0.5610.103,4541,95174,058101,729
2014-05-08$37.89$35.0018.0%6.0%16.2%46.7%20.4%4.1%0.3%-7.8M126.7M-542.4K0.269.5097925075,785103,475
2014-05-09$38.22$35.0016.9%5.9%13.3%37.6%20.8%3.8%0.6%-7.6M108.3M-544.4K3.088.7817955276,347103,429
2014-05-12$38.94$35.0016.1%5.9%14.9%31.3%0.0%3.5%1.1%-4.4M62.3M-570.3K5.008.521,4557,28076,413103,672
2014-05-13$38.44$35.0018.5%6.0%15.5%50.0%0.0%3.4%-0.1%-8.5M98.8M-563.8K0.488.3344321176,973108,947
2014-05-14$37.58$35.0015.3%5.9%17.2%24.4%19.1%3.7%-0.2%-12.3M159.3M-482.0K2.059.108501,74077,226108,348
2014-05-15$37.38$35.0019.2%6.1%17.0%55.7%19.7%3.8%0.0%-5.3M165.7M-465.2K3.3910.305,10117,29275,694106,136
2014-05-16$37.30$35.0019.0%5.9%16.5%50.6%0.0%4.1%0.0%-3.2M147.8M-483.9K11.9210.081,15513,76678,673110,057
2014-05-19$37.90$35.0018.2%5.9%17.9%43.7%0.0%3.7%-0.2%-4.1M69.8M-509.5K0.3610.549,6483,48868,89093,203
2014-05-20$37.51$35.0018.2%5.9%17.8%43.8%21.1%3.7%-0.1%-5.0M81.7M-514.4K0.389.0729011070,19396,809
2014-05-21$37.77$35.0017.5%5.9%18.1%37.2%19.8%3.6%0.0%-5.4M78.5M-509.7K2.108.849251,93870,16095,809
2014-05-22$37.96$35.0017.6%5.9%17.3%38.1%0.0%3.6%-0.3%-3.8M66.0M-520.6K1.399.311,0241,42571,26496,004
2014-05-23$38.14$35.0017.1%5.9%16.9%33.5%18.6%3.7%-0.3%-4.0M62.4M-507.1K5.6410.146013,39071,66395,262
2014-05-27$38.60$35.0017.3%5.8%17.3%35.8%22.9%3.1%-0.1%-1.6M41.0M-513.1K5.157.361,5517,99571,63298,393
2014-05-28$38.33$35.0019.0%6.0%17.3%50.2%0.0%3.4%-0.7%-3.6M58.2M-543.1K2.117.581,2272,59171,829105,421
2014-05-29$38.31$35.0018.8%6.0%17.2%48.6%20.0%3.4%-0.5%-5.8M68.6M-523.1K1.257.249651,21071,622107,585
2014-05-30$38.29$35.0017.6%6.0%17.1%38.2%22.2%2.8%0.3%-6.9M70.9M-531.2K10.386.632292,37771,394108,662