KRE Options History — January 2015

In January 2015, KRE traded between $36.51 and $40.34. ATM implied volatility averaged 23.2%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.4% (HV 20d: 24.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 5.47.

Notable Days

  • 2015-01-23: Highest Volume — 47,738 contracts
  • 2015-01-22: Largest IV drop — 18.7% change
  • 2015-01-15: Highest IV Rank — 87.2%
  • 2015-01-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.78$36.51$40.34$40.34$36.83
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.2%19.9%27.6%20.1%21.8%
Expected Move6.6%5.6%7.3%6.1%6.8%
HV 20d24.6%19.6%28.9%19.6%28.9%
HV 60d21.2%20.1%22.4%20.1%22.3%
IV Rank57.2%34.4%87.2%38.3%45.6%
IV Percentile90.8%73.4%99.2%79.8%85.7%
Term Structure-0.5%-2.6%2.2%-0.5%1.2%
VWIV24.1%21.6%27.7%22.0%24.7%
Skew 25d4.6%0.4%7.2%3.0%7.2%
Skew 10d8.5%3.3%14.6%7.2%14.6%
Call IV 25d21.6%17.7%27.1%20.9%18.9%
Put IV 25d26.1%22.9%29.9%23.9%26.0%
Bid-Ask Spread %20.5715.8825.4520.9222.18
Gamma HHI0.210.110.310.190.31
Net GEX-4.3M-7.6M1.7M1.7M-5.3M
Net DEX58.6M-59.7M122.6M-59.7M76.0M
Net VEX-877.5K-963.6K-814.0K-963.6K-850.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.470.5324.603.756.75
Total Volume19,675.0539747,73817,70121,349
Total OI166,089125,089196,334176,639149,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$40.34$40.0020.1%6.1%19.6%38.3%22.0%3.0%-0.5%1.7M-59.7M-963.6K3.7520.923,72313,97871,618105,021
2015-01-05$39.10$40.0023.5%6.8%22.7%60.8%23.0%5.8%-0.5%-1.7M1.8M-956.2K9.3323.086726,26872,008105,684
2015-01-06$38.17$40.0025.6%7.2%23.0%73.9%25.6%5.6%-0.8%-5.5M67.2M-935.6K4.4424.091,8488,20372,373111,652
2015-01-07$38.38$40.0023.5%7.0%23.2%60.8%22.7%4.1%0.1%-6.7M59.3M-940.5K24.6022.412345,75673,639113,654
2015-01-08$39.14$40.0022.5%6.3%24.1%54.3%23.5%6.4%-1.5%-5.3M21.1M-942.8K6.1721.233,78423,35473,746111,812
2015-01-09$38.14$40.0023.3%6.6%23.2%59.3%22.7%0.8%-2.6%-7.6M82.4M-903.6K4.8219.554,19520,22274,019116,861
2015-01-12$37.68$40.0024.3%6.7%23.5%65.6%22.6%3.2%0.9%-6.3M93.6M-858.2K4.0018.093,79415,16573,848114,048
2015-01-13$37.42$40.0023.8%7.1%23.3%62.2%25.2%3.1%2.2%-5.7M99.0M-847.7K4.0922.943,53814,48074,424114,262
2015-01-14$36.99$40.0025.9%7.1%23.4%76.5%26.1%5.3%-1.9%-6.1M119.5M-823.5K2.8020.948,17122,91974,752114,199
2015-01-15$36.51$40.0027.6%7.3%23.6%87.2%25.4%1.4%-2.0%-6.4M122.6M-814.0K3.7719.168,63132,53874,752112,913
2015-01-16$37.13$40.0024.0%7.0%23.0%62.5%24.3%5.5%0.0%-5.8M101.0M-844.9K11.4122.901,01911,62974,999121,335
2015-01-20$36.81$40.0025.1%7.2%21.7%70.2%27.7%5.4%-1.6%-2.5M59.7M-838.5K3.0525.452,6698,13246,15478,935
2015-01-21$36.65$40.0024.5%7.0%21.7%65.7%26.4%5.5%-0.5%-3.3M65.0M-842.8K0.5319.2355929748,46786,744
2015-01-22$38.28$40.0019.9%5.7%27.6%34.4%25.3%5.0%-1.1%-2.1M21.2M-859.2K3.8216.456,34424,24248,98686,893
2015-01-23$37.94$40.0020.4%5.8%27.1%35.7%22.0%4.8%-0.1%121.0K24.4M-840.5K3.4322.9210,77536,96350,67582,568
2015-01-26$38.26$40.0020.8%5.6%27.4%38.4%23.2%5.5%0.9%-2.8M28.9M-891.9K6.6816.591,3589,07654,20191,204
2015-01-27$37.82$40.0021.8%6.1%27.5%45.7%21.6%6.2%-1.6%-4.3M40.4M-882.7K1.0517.9819420354,95293,172
2015-01-28$36.82$40.0023.7%6.5%28.2%58.7%23.8%0.4%-1.1%-5.5M79.6M-849.3K2.5419.437,95020,23055,09993,239
2015-01-29$37.28$40.0022.2%6.3%28.8%48.2%24.4%7.0%0.9%-5.4M68.3M-862.7K2.3815.888,59720,44255,68193,475
2015-01-30$36.83$40.0021.8%6.8%28.9%45.6%24.7%7.2%1.2%-5.3M76.0M-850.9K6.7522.182,75618,59355,97493,742