KRE Options History — August 2014

In August 2014, KRE traded between $37.61 and $39.30. ATM implied volatility averaged 18.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.3% (HV 20d: 14.1%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 6.77.

Notable Days

  • 2014-08-04: Highest Volume — 28,295 contracts
  • 2014-08-29: Largest IV drop — 6.7% change
  • 2014-08-07: Highest IV Rank — 73.8%
  • 2014-08-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.32$37.61$39.30$37.86$38.95
Max Pain$42.24$39.00$43.00$39.00$43.00
ATM IV18.3%16.1%21.7%20.9%16.2%
Expected Move5.8%5.4%6.2%6.0%5.6%
HV 20d14.1%10.6%15.9%15.9%10.6%
HV 60d15.0%14.3%16.3%16.3%14.3%
IV Rank42.8%21.5%73.8%67.0%22.6%
IV Percentile52.9%13.5%96.4%92.9%16.7%
Term Structure0.2%-0.5%0.8%-0.5%0.2%
VWIV21.2%17.8%25.3%21.0%17.8%
Skew 25d4.1%3.0%5.0%4.8%4.0%
Skew 10d8.8%6.2%11.6%9.3%11.3%
Call IV 25d16.9%14.8%19.9%19.7%14.8%
Put IV 25d21.0%18.3%24.5%24.5%18.8%
Bid-Ask Spread %16.7913.4223.7616.0516.88
Gamma HHI0.220.150.380.380.18
Net GEX-4.2M-7.1M-783.7K-4.0M-4.5M
Net DEX103.6M47.4M154.5M114.7M99.6M
Net VEX-637.3K-760.0K-554.1K-590.3K-760.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.770.3432.792.050.50
Total Volume5,116.09529228,2952,6363,215
Total OI157,844.048143,906177,689148,384177,689

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$37.86$39.0020.9%6.0%15.9%67.0%21.0%4.8%-0.5%-4.0M114.7M-590.3K2.0516.058651,77161,18587,199
2014-08-04$37.79$39.0020.2%5.9%15.8%61.0%22.6%4.3%-0.1%-4.5M115.4M-554.1K31.9813.5485827,43759,99484,591
2014-08-05$37.74$39.0021.4%6.1%15.3%71.6%0.0%4.6%0.2%-5.6M124.4M-627.8K0.7915.5047937960,53995,337
2014-08-06$37.95$39.0020.8%6.1%15.5%65.8%19.3%4.6%0.3%-5.9M115.9M-628.7K4.8415.067503,63060,74495,534
2014-08-07$37.61$43.0021.7%6.2%15.5%73.8%22.4%4.4%0.0%-5.5M140.1M-667.2K3.7622.175321,99961,22798,972
2014-08-08$37.83$43.0020.6%6.2%15.8%64.3%25.3%5.0%-0.0%-6.9M137.0M-627.9K0.8315.5433327561,302100,450
2014-08-11$37.95$43.0020.2%6.2%15.9%60.8%19.8%5.0%0.2%-7.1M135.8M-609.8K5.3414.777263,87559,31199,621
2014-08-12$37.82$43.0019.7%6.1%15.3%56.2%0.0%4.3%-0.1%-7.1M154.5M-648.9K2.4716.209702,39859,887103,158
2014-08-13$38.11$43.0018.7%6.0%15.0%47.7%0.0%3.7%0.8%-6.5M136.9M-628.9K6.9518.754403,05760,442101,435
2014-08-14$38.02$43.0018.5%5.9%12.6%46.1%22.5%3.3%0.1%-4.3M126.3M-595.9K3.9819.553721,48160,03898,250
2014-08-15$37.81$43.0018.0%5.9%12.1%39.3%0.0%3.0%0.4%-5.4M139.5M-589.0K1.4116.091,1871,67660,26399,363
2014-08-18$38.45$43.0016.9%5.7%13.7%28.9%0.0%3.9%0.3%-2.5M83.0M-583.5K0.9120.321,4751,34657,32986,577
2014-08-19$38.48$43.0016.3%5.8%13.6%23.8%0.0%4.0%0.5%-2.4M79.2M-579.2K1.9823.7649097258,35687,177
2014-08-20$38.41$43.0016.2%5.6%13.6%22.9%21.3%4.2%0.4%-2.3M82.8M-574.9K1.1114.9847052058,72488,028
2014-08-21$38.88$43.0016.1%5.4%13.6%21.5%19.4%3.8%0.2%-1.9M68.9M-593.2K0.3413.429,0563,11959,10888,429
2014-08-22$38.97$43.0016.3%5.5%13.7%23.6%0.0%3.8%0.1%-1.4M47.4M-747.0K4.6814.096763,16171,71693,641
2014-08-25$39.02$43.0016.2%5.5%13.1%23.0%24.7%4.0%0.4%-1.6M61.6M-672.0K29.5716.271654,87962,52892,399
2014-08-26$39.30$43.0016.1%5.5%13.3%21.6%18.5%3.5%0.4%-783.7K52.0M-665.3K5.2217.022,45612,83162,59496,715
2014-08-27$39.05$43.0016.4%5.5%13.1%25.0%20.7%3.3%0.2%-3.7M74.5M-724.8K0.6916.2317311963,447109,371
2014-08-28$38.74$43.0017.3%5.5%12.0%33.2%17.8%3.5%0.0%-4.6M87.1M-715.0K32.7916.362026,62362,629109,426
2014-08-29$38.95$43.0016.2%5.6%10.6%22.6%0.0%4.0%0.2%-4.5M99.6M-760.0K0.5016.882,1381,07762,715114,974