KRE Options History — October 2014

In October 2014, KRE traded between $36.03 and $40.07. ATM implied volatility averaged 22.3%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.6% (HV 20d: 20.7%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 3.37.

Notable Days

  • 2014-10-10: Highest Volume — 85,515 contracts
  • 2014-10-15: Largest IV spike — 17.3% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$36.03$40.07$37.41$40.07
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV22.3%17.6%29.6%22.3%18.0%
Expected Move6.5%5.9%7.6%6.2%6.1%
HV 20d20.7%15.1%25.0%15.1%25.0%
HV 60d16.2%14.2%18.1%14.2%18.1%
IV Rank64.1%24.4%100.0%78.4%27.2%
IV Percentile87.6%44.0%100.0%98.0%53.2%
Term Structure-0.4%-1.7%0.7%-0.5%0.1%
VWIV25.5%20.3%29.2%20.6%25.6%
Skew 25d6.0%4.0%9.5%4.3%5.8%
Skew 10d13.3%8.1%27.3%8.3%10.6%
Call IV 25d20.3%15.2%26.7%20.3%15.2%
Put IV 25d26.2%20.9%36.2%24.6%20.9%
Bid-Ask Spread %23.8917.6832.1618.9120.59
Gamma HHI0.190.150.240.200.18
Net GEX-3.8M-6.7M2.7M-4.6M-1.6M
Net DEX102.8M-83.1M199.5M143.5M-83.1M
Net VEX-1.2M-1.4M-932.0K-1.0M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.3443.711.001.03
Total Volume22,651.47872485,5153,40114,320
Total OI240,356.304196,703282,375199,404257,473

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$37.41$43.0022.3%6.2%15.1%78.4%20.6%4.3%-0.5%-4.6M143.5M-1.0M1.0018.911,6971,70485,503113,901
2014-10-02$37.74$43.0021.7%6.0%15.7%73.0%27.8%4.6%-0.1%-4.7M130.7M-1.0M0.4918.342,1741,06986,694115,076
2014-10-03$38.01$43.0020.2%5.9%16.0%59.3%20.5%4.0%-0.3%842.1K106.6M-1.1M1.0420.761,8781,95388,380115,545
2014-10-06$37.68$43.0021.0%6.1%16.0%66.2%20.3%4.8%-0.3%-5.9M130.5M-1.0M0.4617.684,9552,29881,466115,237
2014-10-07$37.05$43.0022.3%6.2%16.6%78.5%22.6%4.7%-1.5%-5.5M163.6M-952.9K0.4621.451,94688683,433115,194
2014-10-08$37.76$43.0020.9%6.0%17.4%65.7%24.1%6.5%-0.3%-6.7M133.7M-1.0M0.3620.5913,8094,94584,797115,594
2014-10-09$36.83$43.0024.1%6.5%18.7%95.1%23.7%5.0%-1.0%-5.1M174.3M-932.0K43.7120.221,43962,89985,459116,050
2014-10-10$36.93$43.0024.1%6.6%18.6%94.3%25.7%5.5%-0.4%-6.3M178.7M-1.1M2.0322.9128,25557,26086,535158,783
2014-10-13$36.74$43.0026.7%6.8%18.5%100.0%25.4%5.8%-0.9%-5.4M163.5M-1.2M2.2224.938271,836100,440158,692
2014-10-14$37.28$43.0025.2%6.8%19.6%88.6%26.7%6.3%-0.5%-4.9M141.3M-1.2M0.3724.6517,1756,355100,913159,203
2014-10-15$36.03$43.0029.6%7.6%22.4%100.0%29.2%9.5%-1.7%-6.0M199.5M-1.1M0.4528.6828,64312,810101,940159,586
2014-10-16$36.65$43.0029.2%7.4%22.3%97.8%26.7%9.5%-1.5%-5.3M154.3M-1.3M0.9328.244,2133,898113,383163,768
2014-10-17$36.70$43.0024.9%7.2%22.1%70.9%27.7%8.0%-0.9%-6.0M155.7M-1.4M0.7532.162,8232,130115,497163,827
2014-10-20$36.77$43.0023.5%7.0%21.8%61.6%0.0%6.7%-0.3%-6.0M126.8M-1.3M7.6029.623132,378102,194157,302
2014-10-21$37.65$43.0021.3%6.5%23.4%48.2%27.0%6.6%-0.2%-4.3M82.0M-1.4M0.4829.3516,1057,785102,301157,500
2014-10-22$37.41$43.0022.2%7.0%23.5%53.4%28.8%5.9%0.1%-3.9M78.2M-1.3M1.6629.4329,52449,053103,372157,317
2014-10-23$37.62$43.0022.1%6.6%23.0%52.8%27.1%6.2%-0.1%-3.8M73.9M-1.4M1.7225.4522,34238,316107,519174,856
2014-10-24$37.67$43.0020.9%6.7%23.0%45.2%27.8%5.6%-0.0%-4.4M83.9M-1.3M0.3425.9322,2827,49397,836142,954
2014-10-27$37.91$43.0020.2%6.5%23.1%40.6%27.3%6.2%0.4%-4.1M76.9M-1.3M3.6125.7815756796,043143,049
2014-10-28$38.94$43.0017.8%6.2%24.9%26.1%26.7%5.1%0.7%2.4M4.7M-1.3M4.1721.511,9728,22496,148143,457
2014-10-29$39.35$43.0017.6%6.1%24.6%24.4%25.2%5.3%0.7%1.4M-29.2M-1.4M1.6022.237,51412,04597,364150,810
2014-10-30$39.37$43.0018.0%6.2%24.5%27.3%25.1%4.9%-0.4%2.7M-25.2M-1.4M0.9920.165,3905,32798,414157,390
2014-10-31$40.07$43.0018.0%6.1%25.0%27.2%25.6%5.8%0.1%-1.6M-83.1M-1.4M1.0320.597,0597,26199,439158,034