KRE Options History — May 2015

In May 2015, KRE traded between $40.82 and $42.84. ATM implied volatility averaged 16.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.0% (HV 20d: 13.7%). Max pain ranged from $41.00 to $41.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.62.

Notable Days

  • 2015-05-06: Highest Volume — 34,880 contracts
  • 2015-05-08: Largest IV drop — 10.5% change
  • 2015-05-07: Highest IV Rank — 23.2%
  • 2015-05-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.92$40.82$42.84$40.82$42.21
Max Pain$41.10$41.00$41.50$41.00$41.50
ATM IV16.7%15.4%18.6%17.2%16.9%
Expected Move4.9%4.4%5.5%5.0%4.8%
HV 20d13.7%12.1%14.6%13.8%12.8%
HV 60d14.6%13.6%15.9%15.9%14.6%
IV Rank8.8%0.0%23.2%13.4%10.9%
IV Percentile16.0%0.0%56.0%23.0%22.6%
Term Structure0.1%-1.0%1.0%0.3%-1.0%
VWIV17.5%16.0%19.3%18.0%17.0%
Skew 25d2.5%-0.9%4.3%4.3%3.7%
Skew 10d6.2%3.8%8.5%7.6%7.5%
Call IV 25d15.7%14.3%17.1%15.9%14.3%
Put IV 25d18.2%16.2%20.3%20.2%18.1%
Bid-Ask Spread %7.935.5410.169.087.33
Gamma HHI0.180.140.340.260.14
Net GEX-1.6M-6.8M10.6M-6.8M-4.2M
Net DEX-79.7M-115.2M-31.8M-31.8M-80.7M
Net VEX-887.3K-991.6K-778.2K-862.0K-991.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.645.732.113.74
Total Volume17,339.851,40334,88016,96016,434
Total OI170,411.2155,093188,251159,330188,251

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$40.82$41.0017.2%5.0%13.8%13.4%18.0%4.3%0.3%-6.8M-31.8M-862.0K2.119.085,44511,51558,576100,754
2015-05-04$41.26$41.0017.4%5.3%14.2%14.6%19.2%1.9%0.8%-5.3M-59.2M-812.4K0.649.3185454957,58699,156
2015-05-05$41.06$41.0017.6%5.3%14.3%16.5%18.4%4.3%0.5%-6.5M-49.6M-806.0K1.629.936,1159,90658,27199,440
2015-05-06$41.31$41.0018.1%5.3%14.4%19.7%19.3%2.2%0.4%-4.5M-59.5M-811.0K5.739.625,18329,69759,80599,928
2015-05-07$41.23$41.0018.6%5.5%14.4%23.2%19.3%3.3%-0.2%-4.6M-52.2M-837.9K3.049.976,41619,53459,912101,003
2015-05-08$41.46$41.0016.6%5.2%14.6%9.6%16.0%1.8%0.0%10.6M-69.2M-819.2K0.9310.162,2552,10362,706101,153
2015-05-11$41.77$41.0016.6%4.9%14.2%9.0%18.7%1.8%0.2%-292.6K-82.9M-778.2K0.818.146,7235,47059,11999,672
2015-05-12$41.89$41.0017.0%4.9%13.9%12.0%17.1%2.7%-0.2%-214.9K-87.5M-853.1K1.838.185,52810,09364,891104,867
2015-05-13$42.05$41.0016.3%4.9%12.9%7.1%16.8%2.4%0.5%4.3M-103.1M-837.8K2.126.925,05910,70866,499105,322
2015-05-14$42.19$41.0016.3%4.8%12.9%7.2%17.7%-0.9%1.0%2.9M-109.2M-821.1K4.388.245,34623,42467,463106,241
2015-05-15$41.62$41.0016.3%4.7%12.1%3.4%16.8%2.8%-0.0%-5.8M-56.8M-955.6K2.367.186,21714,68566,266120,134
2015-05-18$42.38$41.0016.2%4.7%13.4%3.0%16.7%2.0%0.6%-2.1M-87.9M-897.6K0.716.307,0074,96555,33099,763
2015-05-19$42.84$41.0016.1%4.6%13.8%2.4%17.0%2.0%0.4%-237.4K-115.2M-902.3K1.816.672,7594,98161,120103,836
2015-05-20$42.62$41.0015.8%4.5%13.9%0.0%16.5%2.6%-0.3%-1.1M-107.0M-919.0K2.897.485,55916,05762,393108,073
2015-05-21$42.51$41.0015.9%4.5%13.9%0.7%17.1%2.5%-0.2%-2.2M-98.3M-971.1K4.227.543,75815,85463,063114,436
2015-05-22$42.27$41.0015.4%4.4%13.7%0.0%16.8%3.0%-0.7%-1.6M-81.6M-981.8K4.096.543,93516,07863,270118,296
2015-05-26$42.01$41.5016.6%4.8%13.6%8.6%18.0%2.9%-0.2%-3.9M-65.5M-966.4K2.305.546,07313,95160,363119,377
2015-05-27$42.49$41.5016.7%4.6%13.3%9.3%16.8%0.8%-0.6%-214.6K-100.4M-959.5K3.086.374,50513,86963,722121,783
2015-05-28$42.49$41.5016.2%4.6%13.2%5.9%17.0%3.3%-0.0%-1.2M-97.3M-962.7K3.908.143,70914,47863,809122,575
2015-05-29$42.21$41.5016.9%4.8%12.8%10.9%17.0%3.7%-1.0%-4.2M-80.7M-991.6K3.747.333,46812,96664,312123,939