KRE Options History — April 2015

In April 2015, KRE traded between $40.74 and $41.80. ATM implied volatility averaged 17.5%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 14.5%). Max pain ranged from $40.00 to $41.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2015-04-07: Highest Volume — 44,287 contracts
  • 2015-04-02: Largest IV drop — 12.5% change
  • 2015-04-01: Highest IV Rank — 28.3%
  • 2015-04-01: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.19$40.74$41.80$40.74$41.14
Max Pain$40.93$40.00$41.50$40.50$41.00
ATM IV17.5%16.1%19.3%19.3%17.9%
Expected Move5.0%4.7%5.6%5.6%5.4%
HV 20d14.5%12.1%17.6%17.5%13.7%
HV 60d19.4%15.9%22.3%22.3%15.9%
IV Rank15.4%5.5%28.3%28.3%18.5%
IV Percentile28.4%1.6%65.9%65.9%38.9%
Term Structure0.1%-0.7%1.6%-0.1%-0.5%
VWIV20.1%16.2%22.5%19.0%17.6%
Skew 25d3.7%2.5%5.2%3.6%2.5%
Skew 10d8.5%4.7%11.2%4.7%9.7%
Call IV 25d16.2%15.0%17.7%17.3%17.0%
Put IV 25d19.9%18.1%21.5%20.9%19.5%
Bid-Ask Spread %12.398.8918.1618.1613.13
Gamma HHI0.350.230.530.530.24
Net GEX-5.8M-11.7M2.6M-8.7M-5.2M
Net DEX-49.7M-90.5M-20.7M-25.6M-54.8M
Net VEX-876.4K-926.0K-821.8K-917.7K-821.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.181.428.802.182.17
Total Volume19,325.8575,03044,28713,72016,484
Total OI157,712.333145,869182,597147,717157,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$40.74$40.5019.3%5.6%17.5%28.3%19.0%3.6%-0.1%-8.7M-25.6M-917.7K2.1818.164,3109,41050,82396,894
2015-04-02$41.04$40.0016.9%5.3%17.6%11.4%19.5%5.1%-0.1%-9.4M-43.7M-891.2K2.2210.774,68510,38950,86996,984
2015-04-06$40.82$40.0018.8%5.4%17.6%24.5%21.7%5.2%-0.5%-8.3M-32.2M-870.1K2.4017.123,9139,38849,65996,210
2015-04-07$40.93$41.0018.9%5.3%17.4%25.2%19.7%4.8%-0.5%-8.5M-40.9M-865.9K8.8011.624,52039,76749,72396,860
2015-04-08$40.97$41.0018.2%5.3%15.6%20.2%19.5%4.0%0.5%-9.2M-28.1M-913.1K8.2510.885444,48650,467105,348
2015-04-09$40.94$41.0017.8%5.2%15.3%17.7%21.7%3.3%-0.3%-11.4M-20.7M-916.2K2.178.895,80912,63050,757109,527
2015-04-10$40.95$41.0017.9%5.1%12.1%18.5%21.2%2.5%-0.2%-11.7M-30.5M-924.4K1.949.495,87411,37152,124110,504
2015-04-13$41.44$40.0018.5%5.4%12.7%22.3%18.9%3.6%-0.6%-8.4M-52.5M-872.4K1.4211.3811,59916,46451,603110,179
2015-04-14$41.16$41.0018.2%5.2%12.9%20.3%21.7%4.2%0.2%-10.3M-42.1M-926.0K2.7910.126,48018,05957,875116,867
2015-04-15$41.80$41.0016.5%4.7%14.0%8.7%22.2%3.6%0.2%-456.6K-90.5M-866.2K2.0312.668,19616,66158,635119,571
2015-04-16$41.78$41.0016.6%4.7%13.4%9.4%22.4%3.7%0.6%-3.7M-82.7M-876.1K2.6913.315,79915,62059,198121,465
2015-04-17$41.01$41.0017.7%5.1%15.0%17.2%22.3%4.0%-0.7%2.6M-44.6M-900.0K2.6011.027,10618,45560,610121,987
2015-04-20$41.28$41.0017.1%4.7%14.6%12.9%22.1%3.8%0.1%-2.6M-57.3M-859.3K3.0113.194,85614,63153,56794,140
2015-04-21$41.27$41.0016.1%4.7%14.4%5.5%19.9%3.1%0.0%-2.7M-57.4M-858.8K2.8010.655,77016,12853,85894,595
2015-04-22$41.55$41.0016.7%4.7%14.4%9.7%21.1%3.4%0.3%-2.4M-66.9M-864.4K2.9212.525,38715,73155,00496,332
2015-04-23$41.44$41.0016.4%4.7%13.0%8.2%22.5%2.7%0.2%-3.5M-63.9M-864.2K4.4411.643,31814,72355,51397,482
2015-04-24$41.11$41.5016.7%4.8%13.3%10.2%16.2%3.6%-0.2%-4.6M-48.6M-857.5K2.839.633,91811,09555,76597,693
2015-04-27$40.78$41.5017.3%4.9%13.6%13.9%18.1%4.5%1.6%-6.8M-32.0M-866.8K3.5313.672,6339,28254,22796,886
2015-04-28$41.35$41.5016.6%4.8%13.1%8.9%16.9%4.6%0.5%-4.1M-58.0M-838.5K3.3816.143,05010,31254,60897,101
2015-04-29$41.58$41.5016.9%5.0%13.1%11.1%17.6%2.8%0.6%-3.2M-70.2M-834.0K2.2814.235,17311,81755,18798,160
2015-04-30$41.14$41.0017.9%5.4%13.7%18.5%17.6%2.5%-0.5%-5.2M-54.8M-821.8K2.1713.135,20311,28157,53199,571