KRE Options History — March 2015

In March 2015, KRE traded between $40.12 and $41.58. ATM implied volatility averaged 18.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.3% (HV 20d: 16.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.75.

Notable Days

  • 2015-03-03: Highest Volume — 27,511 contracts
  • 2015-03-25: Largest IV spike — 23.3% change
  • 2015-03-25: Highest IV Rank — 52.3%
  • 2015-03-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.79$40.12$41.58$40.55$40.85
Max Pain$40.00$39.00$41.00$40.00$40.50
ATM IV18.8%17.4%22.8%17.5%18.6%
Expected Move5.4%5.0%6.0%5.3%5.3%
HV 20d16.4%14.0%20.1%20.1%17.7%
HV 60d23.3%22.9%23.9%23.9%23.2%
IV Rank24.3%14.8%52.3%15.4%23.3%
IV Percentile51.9%25.8%90.5%26.6%51.6%
Term Structure-0.2%-1.4%1.2%1.1%0.4%
VWIV19.8%18.3%21.9%19.4%19.4%
Skew 25d4.0%1.6%6.2%4.3%4.2%
Skew 10d9.1%-1.0%13.4%7.9%10.6%
Call IV 25d17.3%15.8%18.9%16.6%16.5%
Put IV 25d21.3%20.2%22.7%20.9%20.7%
Bid-Ask Spread %12.999.3920.2914.8113.72
Gamma HHI0.280.110.520.250.51
Net GEX-5.0M-12.8M1.5M-2.7M-7.8M
Net DEX-28.3M-79.8M15.0M-16.4M-29.9M
Net VEX-906.5K-955.7K-836.8K-895.2K-900.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.750.5912.825.181.61
Total Volume12,923.04588727,51116,47015,758
Total OI171,019.136127,620221,439161,371146,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$40.55$40.0017.5%5.3%20.1%15.4%19.4%4.3%1.1%-2.7M-16.4M-895.2K5.1814.812,66513,80554,729106,642
2015-03-03$40.35$40.0017.4%5.2%18.3%14.8%19.0%6.2%0.2%-2.6M-9.6M-893.9K5.1912.624,44523,06655,743106,784
2015-03-04$40.12$40.5019.3%5.6%17.0%28.1%18.7%4.8%-1.4%-6.0M15.0M-934.7K9.0715.282,45922,30657,747114,767
2015-03-05$40.31$39.0017.8%5.4%16.6%17.3%21.9%1.6%-0.5%-4.8M8.2M-924.3K8.2515.042,58021,28157,816114,876
2015-03-06$40.62$39.0017.9%5.0%14.6%18.6%18.3%5.5%0.6%-4.0M-15.7M-915.9K3.0212.556,11018,43958,318120,342
2015-03-09$40.96$40.0017.7%5.1%14.0%17.2%20.2%3.4%-0.1%-5.5M-32.9M-856.3K0.5912.252,1991,30056,176116,230
2015-03-10$40.14$40.0019.9%5.7%15.3%32.3%18.7%3.8%1.2%-7.8M10.4M-891.2K0.8713.993,0982,68657,830117,105
2015-03-11$40.52$40.0019.2%5.4%15.5%27.7%20.3%4.1%-1.3%-7.9M-10.8M-903.0K0.8110.9881966160,001119,096
2015-03-12$41.58$40.0018.2%5.2%17.6%20.2%20.2%3.9%-1.0%-4.9M-74.4M-836.8K1.6811.097,54812,68360,239119,343
2015-03-13$41.35$40.0019.1%5.4%16.4%26.7%19.1%2.5%1.1%-2.6M-79.8M-894.6K2.3411.991,1032,58465,964130,843
2015-03-16$41.27$40.0019.1%5.5%16.4%27.1%20.7%4.2%-0.9%1.5M-75.7M-883.8K12.829.4185010,89565,782128,342
2015-03-17$41.50$40.0018.9%5.4%16.4%25.1%21.1%3.6%-0.1%892.0K-74.7M-914.0K2.269.8527261566,154138,743
2015-03-18$41.10$40.0019.3%5.5%15.1%27.9%20.7%5.1%-1.0%-2.0M-51.7M-902.0K3.3220.295,60318,59966,232139,126
2015-03-19$40.90$40.0018.4%5.3%15.3%22.0%19.3%4.6%-0.1%-12.8M-36.3M-941.1K3.2816.461,4534,77068,052153,387
2015-03-20$41.38$40.0017.8%5.1%15.5%17.7%18.4%4.3%0.3%-5.7M643.4K-942.6K1.1112.474,1734,63152,724153,927
2015-03-23$41.09$40.0017.9%5.2%15.7%18.7%19.1%2.6%0.0%-2.7M-52.5M-887.1K2.3112.361,1302,61546,29581,325
2015-03-24$40.90$40.0018.5%5.1%15.6%22.3%19.6%2.9%-0.9%-4.1M-46.6M-891.9K6.989.391,0657,43447,33583,567
2015-03-25$40.23$40.0022.8%6.0%16.8%52.3%20.7%5.5%-1.2%-6.5M-9.4M-934.6K7.1812.151,1107,96548,13590,741
2015-03-26$40.46$40.0019.2%5.6%16.8%27.6%20.8%4.0%0.0%-8.4M-5.1M-955.7K2.6110.656,29216,43247,75997,592
2015-03-27$40.30$40.0019.8%5.6%16.8%31.4%20.0%3.8%-0.4%-7.3M-102.9K-945.9K0.8013.302,3091,84548,59396,690
2015-03-30$40.99$41.0018.4%5.4%17.7%21.8%19.8%3.4%0.1%-6.8M-35.8M-897.0K1.2715.017,3359,31949,31795,951
2015-03-31$40.85$40.5018.6%5.3%17.7%23.3%19.4%4.2%0.4%-7.8M-29.9M-900.8K1.6113.726,0449,71449,81996,242