KRE Options History — September 2014

In September 2014, KRE traded between $37.86 and $40.21. ATM implied volatility averaged 18.1%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.5% (HV 20d: 12.6%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2014-09-12: Highest Volume — 45,752 contracts
  • 2014-09-17: Largest IV drop — 13.6% change
  • 2014-09-30: Highest IV Rank — 63.7%
  • 2014-09-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.13$37.86$40.21$39.35$37.86
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV18.1%16.4%20.7%16.7%20.7%
Expected Move5.6%5.4%5.9%5.7%5.9%
HV 20d12.6%10.3%15.5%11.0%14.7%
HV 60d14.2%13.7%14.9%14.3%14.3%
IV Rank39.8%24.8%63.7%26.9%63.7%
IV Percentile54.6%22.2%92.9%28.2%92.9%
Term Structure0.1%-0.6%1.2%0.5%-0.2%
VWIV20.4%18.5%22.7%20.4%22.7%
Skew 25d4.4%3.9%5.0%4.2%4.3%
Skew 10d9.2%7.2%12.0%8.7%7.9%
Call IV 25d16.6%15.0%19.0%15.4%19.0%
Put IV 25d21.0%19.3%23.8%19.6%23.3%
Bid-Ask Spread %18.5215.3421.2820.2219.89
Gamma HHI0.170.140.250.180.18
Net GEX-4.2M-6.3M2.4M-3.3M-5.8M
Net DEX91.0M37.9M129.9M82.2M126.1M
Net VEX-952.5K-1.2M-739.0K-756.1K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.106.151.020.16
Total Volume8,011.6191,61345,7521,6139,820
Total OI201,465.524178,568255,527178,568191,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$39.35$43.0016.7%5.7%11.0%26.9%0.0%4.2%0.5%-3.3M82.2M-756.1K1.0220.2279881563,575114,993
2014-09-03$39.24$43.0017.3%5.6%11.1%32.5%0.0%4.0%0.1%-3.4M83.6M-754.9K6.1520.383041,87064,044115,528
2014-09-04$39.18$43.0017.6%5.6%11.0%35.3%20.4%3.9%0.1%-6.1M91.3M-771.1K4.0715.939153,72064,096117,061
2014-09-05$39.22$43.0016.8%5.6%10.3%28.5%20.2%4.3%-0.0%-5.9M91.5M-739.0K1.5315.342,4003,66264,670119,924
2014-09-08$39.40$43.0016.5%5.5%10.3%25.6%0.0%4.6%0.8%-4.6M89.8M-771.2K1.9416.041,4432,80165,474120,950
2014-09-09$39.00$43.0017.6%5.5%11.1%35.2%18.5%4.4%-0.1%-6.1M111.5M-783.0K0.5616.921,70095066,671123,628
2014-09-10$39.51$43.0017.2%5.5%11.7%32.1%22.7%4.0%-0.6%-3.7M90.4M-792.7K0.8516.252,1611,84167,493123,967
2014-09-11$39.83$43.0016.8%5.5%11.7%28.2%19.1%4.5%0.1%-2.0M74.1M-792.7K1.7815.719361,66868,583125,057
2014-09-12$40.00$43.0017.8%5.6%11.6%37.8%21.1%4.2%-0.2%2.4M60.0M-797.3K0.9317.7523,65522,09769,155126,411
2014-09-15$39.61$43.0018.5%5.7%12.1%43.9%21.7%4.5%0.7%-3.6M83.5M-1.0M1.6116.609741,57384,776143,894
2014-09-16$39.37$43.0019.0%5.7%11.2%48.4%20.7%4.3%-0.4%-6.1M104.8M-1.0M1.0718.139,51110,22183,320145,155
2014-09-17$39.51$43.0016.4%5.4%11.2%24.8%19.3%3.9%1.0%-4.8M87.7M-1.1M1.1021.283,6093,97791,954154,302
2014-09-18$40.21$43.0017.5%5.5%12.5%34.4%20.6%4.0%0.4%277.0K37.9M-1.1M0.1020.6716,2421,54593,460156,085
2014-09-19$39.67$43.0016.8%5.4%13.1%27.9%21.0%4.5%1.2%-5.4M77.9M-1.2M0.2519.084,4091,11598,731156,796
2014-09-22$39.09$43.0018.3%5.6%14.3%42.3%18.7%4.8%-0.2%-1.8M54.3M-1.1M3.4920.621,1914,15674,976110,150
2014-09-23$38.58$43.0018.9%5.6%15.0%47.1%20.1%5.0%-0.0%-5.0M92.5M-1.1M0.8919.154,3193,83575,381113,183
2014-09-24$38.67$43.0018.4%5.5%14.8%42.8%20.0%4.9%0.1%-5.9M99.4M-1.1M0.7719.082,3961,84876,021116,701
2014-09-25$38.09$43.0020.4%5.9%15.5%61.0%21.3%4.1%-0.5%-6.3M129.9M-1.1M0.7520.291,9191,44677,718118,350
2014-09-26$38.22$43.0019.7%5.9%15.4%54.5%20.0%4.8%0.3%-6.0M127.8M-1.1M5.6919.191,0305,86578,966119,370
2014-09-29$38.09$43.0020.7%5.9%15.2%63.5%19.0%4.9%0.1%-4.7M115.4M-1.1M2.5520.519872,52077,378111,349
2014-09-30$37.86$43.0020.7%5.9%14.7%63.7%22.7%4.3%-0.2%-5.8M126.1M-1.0M0.1619.898,4311,38977,811113,669