KRE Options History — December 2014

In December 2014, KRE traded between $38.77 and $41.19. ATM implied volatility averaged 19.8%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.1% (HV 20d: 19.8%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.56.

Notable Days

2014-12-09: Highest Volume — 38,273 contracts
2014-12-10: Largest IV spike — 22.9% change
2014-12-16: Highest IV Rank — 66.8%
2014-12-16: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.05	$38.77	$41.19	$38.85	$40.70
Max Pain	$42.05	$39.00	$43.00	$43.00	$40.00
ATM IV	19.8%	16.3%	24.5%	17.1%	19.7%
Expected Move	6.1%	5.3%	7.1%	5.7%	5.8%
HV 20d	19.8%	15.3%	22.5%	15.3%	19.9%
HV 60d	20.1%	19.2%	20.6%	19.2%	20.3%
IV Rank	36.4%	14.0%	66.8%	19.1%	35.8%
IV Percentile	66.0%	13.1%	97.6%	26.2%	78.6%
Term Structure	0.4%	-1.0%	1.8%	0.5%	1.8%
VWIV	23.0%	19.3%	31.0%	21.8%	19.9%
Skew 25d	4.8%	2.9%	6.9%	3.3%	4.7%
Skew 10d	10.3%	3.4%	17.5%	3.4%	11.2%
Call IV 25d	18.4%	14.2%	22.8%	16.7%	18.5%
Put IV 25d	23.1%	18.3%	28.9%	20.0%	23.3%
Bid-Ask Spread %	25.76	17.02	39.45	21.28	22.68
Gamma HHI	0.18	0.14	0.25	0.18	0.18
Net GEX	-876.0K	-10.7M	5.9M	-5.2M	2.4M
Net DEX	-43.2M	-114.8M	65.1M	42.0M	-83.5M
Net VEX	-1.1M	-1.2M	-900.2K	-1.1M	-975.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.56	0.90	6.56	6.56	0.90
Total Volume	15,683.864	727	38,273	22,876	727
Total OI	216,872.318	168,652	252,322	215,631	176,127

Daily Data (22 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
2014-12-01	$38.85	$43.00	17.1%	5.7%	15.3%	19.1%	21.8%	3.3%	0.5%	-5.2M	42.0M	-1.1M	6.56	21.28	3,025	19,851	88,751	126,880
2014-12-02	$39.26	$43.00	16.7%	5.8%	15.8%	16.2%	21.4%	3.3%	1.2%	-4.2M	12.6M	-1.1M	4.52	21.18	3,555	16,076	89,625	130,890
2014-12-03	$39.85	$43.00	16.3%	5.6%	16.8%	14.0%	21.6%	5.3%	-0.2%	-1.2M	-29.5M	-1.1M	3.24	22.30	4,420	14,319	91,183	132,644
2014-12-04	$39.78	$43.00	17.2%	5.7%	16.5%	19.7%	23.7%	4.8%	1.5%	-1.6M	-19.1M	-1.1M	3.26	21.04	1,649	5,379	92,238	134,667
2014-12-05	$40.49	$43.00	16.9%	5.8%	17.6%	17.9%	22.5%	3.3%	0.9%	4.2M	-96.5M	-1.0M	3.19	20.41	5,343	17,028	93,231	139,620
2014-12-08	$40.39	$43.00	18.6%	6.0%	17.6%	28.7%	21.4%	5.5%	0.7%	1.9M	-79.9M	-1.1M	1.76	17.02	7,909	13,923	93,805	134,710
2014-12-09	$40.77	$43.00	19.3%	6.0%	17.8%	33.1%	21.7%	3.5%	-0.3%	2.3M	-103.5M	-1.1M	1.74	18.90	13,986	24,287	98,761	135,375
2014-12-10	$39.49	$43.00	23.7%	6.8%	21.2%	61.7%	29.6%	2.9%	0.6%	-3.1M	-11.1M	-1.2M	3.28	26.06	3,680	12,074	104,612	146,028
2014-12-11	$39.58	$43.00	21.3%	6.4%	20.2%	46.2%	24.7%	4.0%	1.6%	-3.1M	-14.7M	-1.2M	3.27	24.00	3,629	11,880	105,168	146,565
2014-12-12	$39.14	$43.00	24.2%	6.9%	20.2%	65.2%	31.0%	5.2%	1.2%	-5.7M	34.0M	-1.2M	4.48	26.63	3,072	13,763	105,453	146,625
2014-12-15	$38.77	$43.00	24.4%	7.0%	20.4%	66.2%	27.5%	6.0%	-0.3%	-8.5M	65.1M	-1.1M	3.95	25.50	2,903	11,479	104,010	147,601
2014-12-16	$38.89	$43.00	24.5%	7.1%	20.4%	66.8%	26.5%	6.1%	-1.0%	-7.4M	47.0M	-1.1M	3.15	24.32	4,462	14,049	104,224	147,849
2014-12-17	$39.72	$43.00	22.4%	6.8%	21.9%	53.7%	24.6%	6.5%	0.8%	-3.2M	-16.4M	-1.1M	1.69	29.67	6,591	11,148	104,172	148,150
2014-12-18	$40.42	$43.00	20.5%	6.4%	22.5%	41.3%	23.0%	5.3%	-0.1%	5.9M	-108.5M	-1.0M	1.52	32.35	7,888	12,002	104,822	147,423
2014-12-19	$40.15	$43.00	19.5%	6.2%	22.5%	34.4%	22.8%	5.0%	0.7%	-10.7M	-34.8M	-1.0M	3.69	31.09	622	2,298	83,766	147,994
2014-12-22	$40.30	$0.00	19.0%	5.8%	22.3%	31.4%	21.4%	6.9%	-0.2%	2.1M	-64.3M	-997.0K	2.41	39.45	4,238	10,221	70,484	98,168
2014-12-23	$40.77	$39.00	18.9%	5.4%	22.3%	30.5%	21.2%	5.7%	-0.1%	3.1M	-90.0M	-972.2K	4.69	32.34	2,185	10,243	70,830	98,211
2014-12-24	$40.66	$39.00	18.5%	5.4%	22.3%	28.3%	19.9%	3.0%	0.0%	2.7M	-81.6M	-966.3K	4.39	28.91	2,352	10,330	70,745	98,306
2014-12-26	$40.78	$40.00	17.4%	5.3%	22.3%	20.8%	20.1%	4.2%	-0.2%	3.1M	-95.0M	-931.7K	4.72	25.97	2,180	10,294	71,022	98,415
2014-12-29	$41.19	$40.00	20.0%	5.6%	21.2%	38.0%	21.0%	5.1%	-0.5%	3.8M	-114.8M	-900.2K	5.35	27.99	2,660	14,222	70,641	98,035
2014-12-30	$41.14	$40.00	19.0%	5.6%	19.6%	31.5%	19.3%	5.5%	0.2%	3.1M	-107.2M	-922.7K	6.50	27.64	414	2,689	71,153	102,212
2014-12-31	$40.70	$40.00	19.7%	5.8%	19.9%	35.8%	19.9%	4.7%	1.8%	2.4M	-83.5M	-975.8K	0.90	22.68	382	345	71,358	104,769