KRE Options History — February 2015

In February 2015, KRE traded between $37.90 and $40.65. ATM implied volatility averaged 19.8%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 7.6% (HV 20d: 27.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 3.96.

Notable Days

  • 2015-02-06: Highest Volume — 32,856 contracts
  • 2015-02-03: Largest IV drop — 11.5% change
  • 2015-02-02: Highest IV Rank — 50.1%
  • 2015-02-09: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.76$37.90$40.65$37.90$40.27
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.8%18.1%22.4%22.4%18.1%
Expected Move5.7%5.1%6.4%6.2%5.1%
HV 20d27.3%21.0%31.2%31.2%21.0%
HV 60d24.3%23.1%24.7%23.1%23.9%
IV Rank31.4%19.7%50.1%50.1%19.7%
IV Percentile68.1%42.9%88.9%88.9%42.9%
Term Structure0.6%-2.2%2.6%0.2%0.1%
VWIV21.2%18.8%25.3%23.2%20.2%
Skew 25d5.5%3.2%7.3%6.9%6.0%
Skew 10d11.5%8.2%14.2%10.1%11.1%
Call IV 25d17.7%15.6%19.9%19.9%16.5%
Put IV 25d23.2%21.2%26.9%26.9%22.5%
Bid-Ask Spread %14.9211.6419.2919.2915.54
Gamma HHI0.200.160.280.280.20
Net GEX1.8M-4.9M7.7M-4.9M-868.1K
Net DEX-24.7M-72.8M44.1M44.1M-26.4M
Net VEX-889.9K-919.0K-858.3K-870.7K-863.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.8710.663.2510.08
Total Volume18,559.2111,06832,8561,06824,488
Total OI164,779.579150,464186,954150,464156,061

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$37.90$40.0022.4%6.2%31.2%50.1%23.2%6.9%0.2%-4.9M44.1M-870.7K3.2519.2925181755,38995,075
2015-02-03$38.77$40.0019.9%5.7%30.6%32.1%20.3%7.3%2.0%-2.5M8.4M-866.0K4.0216.172,66210,69955,55395,594
2015-02-04$38.45$40.0021.4%5.7%29.5%42.9%20.9%4.8%-0.5%-3.2M15.9M-881.4K4.4218.462,34210,35356,02696,328
2015-02-05$39.40$40.0019.8%6.1%30.7%31.5%20.3%5.0%1.8%-454.1K-19.7M-868.7K3.2618.334,02913,13056,01496,588
2015-02-06$39.98$40.0019.9%6.0%30.3%32.1%22.5%6.6%0.3%692.4K-51.7M-858.3K1.4815.5213,23919,61757,88296,999
2015-02-09$39.49$40.0020.9%6.4%29.1%39.3%23.5%3.2%2.6%132.8K-20.2M-919.0K1.7315.807,73713,36862,515104,212
2015-02-10$39.64$40.0020.3%5.9%28.6%35.4%22.5%5.2%0.1%522.3K-22.7M-917.7K1.6013.178,03412,84962,464105,198
2015-02-11$39.39$40.0020.6%6.2%28.6%37.0%21.6%3.9%1.6%181.2K-17.0M-896.3K1.2313.0610,48512,89963,458106,303
2015-02-12$40.22$40.0019.4%5.8%28.8%29.2%19.7%4.5%0.1%2.7M-55.8M-886.6K3.3115.713,93913,03061,575106,730
2015-02-13$40.38$40.0019.0%5.8%28.1%25.9%20.9%4.7%1.7%5.2M-72.8M-881.0K7.6415.573,65227,89164,821107,238
2015-02-17$40.65$40.0019.3%5.5%27.7%27.9%21.6%5.6%0.6%2.5M-67.3M-909.8K10.6616.432,59127,63064,850120,699
2015-02-18$39.88$40.0020.1%5.8%28.6%33.6%25.3%5.6%-2.2%4.9M-20.2M-909.1K2.7715.464,38512,14264,990119,770
2015-02-19$39.85$40.0019.3%5.5%28.5%28.0%19.3%5.4%0.0%4.9M-18.9M-912.5K0.8713.4260152065,665120,617
2015-02-20$40.19$40.0019.5%5.5%24.5%29.8%21.4%5.9%1.5%6.6M-50.4M-889.7K0.8912.855,8765,21365,995120,959
2015-02-23$40.00$40.0020.1%5.6%24.3%33.4%20.8%5.9%-0.4%1.6M-10.2M-912.5K2.0012.286,10312,21159,51094,912
2015-02-24$40.30$40.0018.2%5.1%24.3%20.5%20.3%7.2%0.3%3.2M-31.8M-892.9K2.4713.035,21912,90460,33695,000
2015-02-25$40.23$40.0019.0%5.4%23.8%25.8%19.2%6.3%0.6%4.6M-24.5M-881.4K7.1111.792,55718,17060,54995,081
2015-02-26$40.42$40.0018.5%5.1%21.0%22.5%18.8%4.7%-0.0%7.7M-27.7M-890.7K6.4511.642,81718,17560,74399,113
2015-02-27$40.27$40.0018.1%5.1%21.0%19.7%20.2%6.0%0.1%-868.1K-26.4M-863.0K10.0815.542,21022,27860,98795,074