KRE Options History — June 2014

In June 2014, KRE traded between $38.73 and $40.73. ATM implied volatility averaged 16.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.6% (HV 20d: 15.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2014-06-09: Highest Volume — 12,548 contracts
  • 2014-06-05: Largest IV drop — 8.8% change
  • 2014-06-04: Highest IV Rank — 44.2%
  • 2014-06-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$38.73$40.73$38.73$40.32
Max Pain$35.19$35.00$36.00$35.00$36.00
ATM IV16.8%15.8%18.3%17.9%16.2%
Expected Move5.9%5.8%6.0%6.0%5.8%
HV 20d15.3%13.7%17.7%17.5%13.7%
HV 60d17.2%16.3%17.9%17.0%16.3%
IV Rank31.8%22.6%44.2%41.4%26.3%
IV Percentile28.5%12.7%54.4%46.0%19.0%
Term Structure0.9%-0.6%1.7%-0.1%0.5%
VWIV21.7%17.5%26.0%23.7%25.3%
Skew 25d3.6%3.0%4.3%3.0%3.4%
Skew 10d8.5%4.8%11.1%6.3%4.8%
Call IV 25d15.9%14.6%17.2%17.0%15.5%
Put IV 25d19.5%18.5%20.9%20.0%18.8%
Bid-Ask Spread %9.706.2113.868.4912.88
Gamma HHI0.220.190.330.190.21
Net GEX3.2M-2.7M12.1M-2.7M-1.0M
Net DEX-3.3M-52.4M41.9M41.9M8.8M
Net VEX-564.7K-652.5K-497.0K-497.0K-639.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.048.258.250.40
Total Volume4,577.3331,31412,5484,1181,314
Total OI174,352.619115,381213,056178,520128,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$38.73$35.0017.9%6.0%17.5%41.4%23.7%3.0%-0.1%-2.7M41.9M-497.0K8.258.494453,67371,424107,096
2014-06-03$38.86$35.0017.9%6.0%17.3%40.6%23.5%4.1%0.1%-2.5M40.0M-515.1K0.516.211,16759271,560110,392
2014-06-04$38.95$35.0018.3%5.9%16.3%44.2%22.2%3.0%-0.6%-2.0M33.5M-512.4K0.398.221,04640871,770110,537
2014-06-05$39.70$35.0016.7%5.8%17.2%30.2%25.1%3.5%0.5%2.0M3.9M-503.5K0.257.862,10853072,104110,658
2014-06-06$40.11$35.0016.6%5.8%17.2%29.3%17.9%3.3%1.6%5.6M-19.1M-510.0K2.758.532,3266,40572,768110,669
2014-06-09$40.73$35.0016.4%5.8%17.7%28.1%21.2%3.4%1.4%9.0M-52.4M-520.5K0.808.086,9575,59174,222115,660
2014-06-10$40.56$35.0016.4%5.8%16.9%27.5%26.0%3.8%1.7%8.7M-44.3M-559.4K0.758.371,08681276,304117,767
2014-06-11$40.08$35.0017.2%5.9%16.8%34.9%19.8%3.6%1.7%7.1M-22.3M-540.1K3.118.613761,16876,708118,325
2014-06-12$39.93$35.0017.1%5.9%14.2%33.7%22.1%3.6%1.6%5.4M-11.1M-540.3K3.739.191,1714,37076,774118,672
2014-06-13$39.83$35.0017.1%5.9%14.0%34.2%19.3%3.5%1.5%4.4M-3.7M-541.2K0.047.986,89124176,560121,558
2014-06-16$39.60$35.0017.1%6.0%14.3%34.3%18.7%4.3%1.3%3.5M5.3M-562.2K0.598.833,2501,92182,571121,615
2014-06-17$40.32$35.0017.7%5.9%14.5%39.6%20.5%4.2%0.5%10.4M-37.3M-590.9K3.437.591,3154,51484,864122,941
2014-06-18$40.59$35.0016.2%5.8%13.7%26.0%20.2%3.9%1.1%12.1M-50.3M-590.5K2.369.651,6823,96484,671126,645
2014-06-19$40.39$35.0016.6%5.9%14.0%29.7%0.0%3.8%0.9%10.8M-33.4M-582.5K1.5910.053,6975,86083,604129,452
2014-06-20$40.43$35.0015.8%5.8%14.0%22.6%23.8%4.2%1.1%2.2M9.9M-596.7K0.1310.185,37571772,145134,998
2014-06-23$40.19$35.0016.1%5.9%14.3%25.5%0.0%3.7%1.4%-477.4K5.0M-597.6K1.5213.8657787845,32373,090
2014-06-24$39.84$35.0016.2%5.9%14.4%26.3%17.5%3.8%0.8%-1.8M18.8M-569.1K3.9213.413601,41341,70173,680
2014-06-25$40.12$36.0016.2%5.9%14.2%25.8%0.0%3.9%0.9%-1.2M11.8M-589.6K7.7012.667185,52845,50374,689
2014-06-26$40.18$36.0017.3%5.8%14.1%35.6%0.0%3.2%0.5%-1.6M16.4M-647.4K0.3312.152,28975345,64879,986
2014-06-27$40.33$36.0016.8%5.8%14.1%31.7%0.0%3.3%-0.1%-1.1M9.8M-652.5K1.6310.951,0041,63247,70280,401
2014-06-30$40.32$36.0016.2%5.8%13.7%26.3%25.3%3.4%0.5%-1.0M8.8M-639.2K0.4012.8894037448,17880,470