KRE Options History — November 2014

In November 2014, KRE traded between $39.65 and $41.16. ATM implied volatility averaged 17.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.0% (HV 20d: 17.6%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 3.25.

Notable Days

2014-11-13: Highest Volume — 36,491 contracts
2014-11-28: Largest IV spike — 10.6% change
2014-11-05: Highest IV Rank — 32.2%
2014-11-05: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.26	$39.65	$41.16	$39.93	$39.65
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	17.6%	15.9%	18.8%	18.6%	17.6%
Expected Move	5.9%	5.6%	6.2%	6.1%	5.6%
HV 20d	17.6%	13.0%	24.8%	24.8%	15.0%
HV 60d	18.2%	17.8%	18.7%	18.1%	18.7%
IV Rank	23.0%	11.3%	32.2%	30.6%	22.2%
IV Percentile	42.3%	6.0%	67.9%	63.1%	39.7%
Term Structure	-0.1%	-1.6%	0.9%	0.8%	-1.6%
VWIV	23.9%	20.4%	30.6%	29.8%	21.4%
Skew 25d	4.4%	3.4%	5.6%	3.8%	3.5%
Skew 10d	10.2%	8.1%	12.8%	8.6%	8.8%
Call IV 25d	16.3%	14.8%	17.6%	17.6%	16.1%
Put IV 25d	20.6%	18.5%	22.6%	21.4%	19.6%
Bid-Ask Spread %	22.77	18.33	33.38	22.09	33.38
Gamma HHI	0.15	0.12	0.18	0.17	0.17
Net GEX	443.2K	-2.4M	3.8M	-1.9M	-2.0M
Net DEX	-70.4M	-129.2M	-12.7M	-49.4M	-12.7M
Net VEX	-1.2M	-1.4M	-1.1M	-1.4M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.25	0.79	15.06	1.98	0.94
Total Volume	16,027.263	765	36,491	13,425	765
Total OI	246,073.579	214,278	276,544	250,295	218,006

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$39.93	$43.00	18.6%	6.1%	24.8%	30.6%	29.8%	3.8%	0.8%	-1.9M	-49.4M	-1.4M	1.98	22.09	4,508	8,917	92,927	157,368
2014-11-04	$39.80	$43.00	18.3%	6.2%	23.8%	28.8%	30.6%	5.6%	0.0%	-2.4M	-35.9M	-1.4M	1.63	22.99	5,040	8,202	93,496	159,098
2014-11-05	$40.10	$43.00	18.8%	6.2%	23.1%	32.2%	30.2%	5.0%	0.2%	-1.0M	-60.1M	-1.4M	1.54	19.27	9,735	15,006	94,481	159,465
2014-11-06	$40.35	$43.00	17.9%	6.2%	20.7%	26.6%	25.1%	5.0%	0.3%	-338.1K	-87.3M	-1.4M	1.46	18.33	10,405	15,196	105,088	171,456
2014-11-07	$40.35	$43.00	17.9%	6.1%	20.7%	24.3%	23.1%	5.2%	-0.3%	-356.9K	-76.3M	-1.3M	4.35	23.57	4,094	17,809	92,469	160,223
2014-11-10	$40.60	$43.00	17.8%	5.9%	20.4%	24.0%	22.9%	3.4%	-0.0%	-160.3K	-87.1M	-1.3M	4.21	21.86	4,196	17,650	91,373	160,580
2014-11-11	$40.51	$43.00	17.8%	5.9%	20.2%	23.6%	23.1%	4.4%	0.9%	2.0M	-103.8M	-1.3M	4.28	24.28	4,121	17,628	95,420	153,617
2014-11-12	$41.16	$43.00	17.8%	6.0%	14.7%	23.5%	22.6%	4.3%	0.6%	2.2M	-129.2M	-1.2M	2.43	25.51	7,879	19,144	92,563	160,424
2014-11-13	$40.68	$43.00	17.7%	5.8%	15.6%	22.8%	23.4%	3.6%	0.2%	1.4M	-106.0M	-1.2M	1.67	23.43	13,686	22,805	92,710	159,548
2014-11-14	$40.52	$43.00	17.1%	5.7%	15.8%	19.1%	25.7%	3.5%	0.7%	3.8M	-96.4M	-1.2M	1.86	21.36	569	1,058	96,009	161,289
2014-11-17	$40.24	$43.00	18.8%	5.9%	16.4%	30.2%	22.5%	4.3%	0.3%	1.6M	-74.0M	-1.2M	2.22	20.57	5,824	12,921	94,864	157,861
2014-11-18	$40.28	$43.00	17.9%	5.8%	14.8%	24.4%	22.6%	4.2%	-1.4%	2.5M	-82.5M	-1.2M	1.99	22.29	6,457	12,839	94,879	157,848
2014-11-19	$39.84	$43.00	18.0%	5.7%	15.2%	24.8%	24.1%	4.8%	-0.6%	-794.1K	-45.0M	-1.2M	5.54	23.29	460	2,549	94,879	158,750
2014-11-20	$40.11	$43.00	17.8%	5.8%	15.3%	23.4%	21.5%	5.3%	-0.4%	-586.9K	-47.0M	-1.2M	3.21	24.15	4,031	12,943	93,016	158,222
2014-11-21	$39.80	$43.00	17.0%	5.7%	15.8%	18.6%	21.7%	4.7%	-0.2%	-2.0M	-32.5M	-1.2M	3.64	21.47	4,056	14,767	93,107	158,483
2014-11-24	$40.30	$43.00	16.4%	5.7%	16.1%	14.5%	22.0%	4.7%	-0.3%	1.2M	-61.7M	-1.1M	0.79	21.00	915	725	89,346	124,932
2014-11-25	$40.37	$43.00	16.2%	5.7%	13.4%	12.9%	20.6%	3.5%	0.2%	2.5M	-75.3M	-1.1M	2.95	22.45	3,868	11,422	89,920	125,819
2014-11-26	$40.44	$43.00	15.9%	5.6%	13.0%	11.3%	20.4%	4.1%	-0.4%	2.7M	-74.9M	-1.1M	15.06	21.26	145	2,183	90,209	125,653
2014-11-28	$39.65	$43.00	17.6%	5.6%	15.0%	22.2%	21.4%	3.5%	-1.6%	-2.0M	-12.7M	-1.1M	0.94	33.38	395	370	90,309	127,697