KRE Options History — July 2014

In July 2014, KRE traded between $38.43 and $41.14. ATM implied volatility averaged 18.1%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.6% (HV 20d: 15.4%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2014-07-14: Highest Volume — 13,687 contracts
  • 2014-07-31: Largest IV spike — 16.4% change
  • 2014-07-31: Highest IV Rank — 63.2%
  • 2014-07-16: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$38.43$41.14$40.83$38.43
Max Pain$35.76$34.00$36.00$36.00$36.00
ATM IV18.1%16.1%20.5%16.1%20.5%
Expected Move5.7%5.4%6.0%5.8%5.9%
HV 20d15.4%14.0%17.0%14.2%17.0%
HV 60d15.9%15.3%16.5%15.9%16.1%
IV Rank42.4%25.6%63.2%25.6%63.2%
IV Percentile56.0%17.9%91.7%17.9%91.7%
Term Structure0.0%-0.9%0.7%0.6%-0.5%
VWIV20.3%17.7%22.9%20.5%20.1%
Skew 25d3.7%1.4%4.6%4.4%4.1%
Skew 10d7.9%4.0%10.5%9.4%9.0%
Call IV 25d16.8%14.5%19.0%14.5%19.0%
Put IV 25d20.6%18.9%23.2%18.9%23.2%
Bid-Ask Spread %12.458.4821.6311.2421.63
Gamma HHI0.410.210.800.210.38
Net GEX-7.4M-35.9M-103.6K-103.6K-4.6M
Net DEX58.0M-14.3M129.6M-14.3M89.0M
Net VEX-660.1K-746.1K-566.4K-674.9K-623.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.2612.245.792.89
Total Volume4,372.77360613,68713,4653,809
Total OI149,753.727130,901167,750130,901146,169

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$40.83$36.0016.1%5.8%14.2%25.6%0.0%4.4%0.6%-103.6K-14.3M-674.9K5.7911.241,98311,48248,93281,969
2014-07-02$40.46$36.0017.4%5.8%14.8%36.9%20.5%1.4%0.4%-2.7M10.1M-691.7K0.8212.152,5562,10549,69592,962
2014-07-03$41.14$36.0017.2%5.8%14.5%34.5%0.0%3.8%0.1%-1.3M-11.5M-739.7K0.9612.581,3461,29151,17094,828
2014-07-07$40.72$36.0018.4%5.7%14.7%45.8%20.0%3.8%-0.3%-1.6M-2.1M-684.4K1.4011.217981,12151,29495,099
2014-07-08$40.14$36.0018.7%5.9%14.6%48.0%17.7%3.4%-0.3%-3.6M26.7M-683.4K12.248.6091311,17951,65296,052
2014-07-09$40.18$36.0019.0%5.9%14.5%50.6%0.0%3.6%-0.6%-5.5M32.8M-720.7K0.5910.5463137052,136107,088
2014-07-10$39.79$36.0019.1%5.9%14.3%51.0%0.0%4.2%-0.5%-7.2M52.8M-707.8K3.049.975101,54852,407107,387
2014-07-11$39.73$36.0019.3%5.9%14.3%53.1%18.6%3.6%-0.9%-8.2M65.5M-711.1K0.549.271,44377752,651108,490
2014-07-14$39.77$36.0018.6%5.9%14.3%46.7%18.6%3.8%0.0%-8.5M53.7M-672.0K0.269.2110,8342,85352,112106,524
2014-07-15$40.12$36.0018.3%5.9%14.4%44.7%22.9%4.6%0.3%-6.9M30.8M-746.1K1.028.4873875657,453109,299
2014-07-16$39.50$36.0018.9%6.0%14.0%50.1%22.3%3.7%0.3%-10.8M64.0M-721.2K1.319.3773696557,796109,761
2014-07-17$38.58$36.0019.0%5.9%15.8%50.5%20.8%4.3%0.7%-14.5M129.6M-653.2K1.489.772,1093,12757,822109,928
2014-07-18$38.95$36.0017.2%5.9%16.3%35.0%22.0%3.9%0.7%-35.9M111.0M-647.2K0.8911.692,3442,08857,588109,885
2014-07-21$38.79$0.0017.6%5.6%16.3%38.7%0.0%4.0%0.1%-6.2M84.3M-650.4K0.5318.5239521154,17285,050
2014-07-22$38.63$0.0018.1%5.6%16.3%42.2%0.0%3.6%0.1%-6.9M91.2M-590.6K4.2914.544381,88054,32685,194
2014-07-23$38.62$0.0017.2%5.5%16.1%35.1%0.0%3.6%0.2%-7.6M95.0M-574.7K2.0015.4345791654,22586,124
2014-07-24$39.09$0.0016.6%5.4%16.5%29.6%0.0%3.5%0.5%-7.2M77.0M-582.5K4.1914.339974,17554,18386,626
2014-07-25$39.12$0.0016.9%5.5%16.5%31.9%21.0%3.4%0.3%-5.6M69.3M-571.5K0.2913.921,74050154,54584,439
2014-07-28$38.69$36.0017.9%5.5%16.7%41.1%17.7%3.7%-0.3%-5.9M83.9M-566.4K0.4910.927,3223,55955,43682,442
2014-07-29$38.71$34.0017.9%5.5%16.8%41.1%22.7%3.6%-0.1%-5.3M74.1M-650.6K0.2714.9051913860,02984,590
2014-07-30$39.07$34.0017.6%5.6%16.4%38.2%19.9%3.7%-0.1%-6.1M63.2M-660.0K1.0615.571,2321,30960,39684,656
2014-07-31$38.43$36.0020.5%5.9%17.0%63.2%20.1%4.1%-0.5%-4.6M89.0M-623.0K2.8921.639802,82961,01285,157