KRE Options History — June 2015 In June 2015, KRE traded between $41.94 and $45.41. ATM implied volatility averaged 16.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 15.4%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.42.
Notable Days 2015-06-18 : Highest Volume — 54,174 contracts2015-06-29 : Largest IV spike — 38.0% change2015-06-29 : Highest IV Rank — 47.1%2015-06-30 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $44.22 $41.94 $45.41 $41.94 $44.21 Max Pain $43.64 $42.00 $45.00 $42.00 $45.00 ATM IV 16.2% 14.5% 21.6% 16.5% 20.8% Expected Move 4.7% 4.1% 6.3% 4.9% 6.3% HV 20d 15.4% 12.7% 18.5% 12.7% 18.1% HV 60d 14.3% 13.8% 15.1% 14.6% 15.0% IV Rank 9.9% 0.0% 47.1% 7.9% 42.0% IV Percentile 13.1% 0.0% 85.3% 13.5% 81.3% Term Structure -0.4% -2.6% 0.9% -0.0% -0.5% VWIV 17.4% 14.6% 22.2% 17.6% 22.0% Skew 25d 2.6% 0.3% 4.8% 2.8% 1.6% Skew 10d 5.7% 2.8% 8.4% 5.7% 8.4% Call IV 25d 15.6% 13.9% 21.2% 16.1% 21.2% Put IV 25d 18.3% 15.4% 24.1% 18.9% 22.8% Bid-Ask Spread % 11.51 6.59 18.78 6.61 11.06 Gamma HHI 0.14 0.11 0.23 0.15 0.12 Net GEX 843.2K -11.1M 5.8M -5.7M -1.3M Net DEX -153.2M -217.0M -62.2M -62.2M -121.0M Net VEX -1.1M -1.5M -819.2K -948.1K -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.42 1.03 4.00 4.00 2.95 Total Volume 25,881 8,185 54,174 15,369 16,548 Total OI 210,766.318 185,850 260,267 185,850 205,335
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-06-01 $41.94 $42.00 16.5% 4.9% 12.7% 7.9% 17.6% 2.8% -0.0% -5.7M -62.2M -948.1K 4.00 6.61 3,072 12,297 61,862 123,988 2015-06-02 $42.50 $42.00 16.4% 4.9% 12.9% 6.8% 16.8% 2.6% -0.3% -2.9M -93.1M -857.7K 2.26 6.59 2,507 5,678 62,150 124,835 2015-06-03 $43.19 $42.00 15.8% 4.7% 13.7% 2.6% 16.8% 4.3% -0.4% 2.2M -130.0M -832.3K 1.70 7.48 10,646 18,046 63,654 129,971 2015-06-04 $42.79 $42.00 17.2% 4.7% 14.2% 12.6% 18.3% 2.7% -1.8% -2.3M -111.2M -849.5K 2.18 9.73 7,944 17,282 65,670 132,601 2015-06-05 $43.59 $42.00 16.8% 4.4% 15.4% 10.2% 17.2% 0.7% -1.1% 5.6M -146.8M -819.2K 2.15 8.58 10,201 21,972 63,797 133,475 2015-06-08 $43.68 $44.00 16.1% 4.6% 15.3% 5.3% 16.9% 2.0% -0.3% 5.8M -150.3M -905.3K 1.76 10.09 11,195 19,648 67,057 134,918 2015-06-09 $44.10 $44.00 15.7% 4.6% 15.4% 2.0% 16.5% 3.8% 0.5% 5.2M -175.1M -1.0M 2.75 11.30 7,273 20,019 74,396 139,174 2015-06-10 $44.77 $44.00 14.5% 4.2% 16.0% 0.0% 15.1% 2.2% 0.0% 5.4M -217.0M -1.0M 1.30 10.86 18,698 24,281 77,205 139,980 2015-06-11 $44.65 $44.00 14.7% 4.2% 16.2% 1.3% 14.6% 0.3% 0.1% 5.3M -199.0M -1.1M 2.42 15.68 9,036 21,871 81,023 145,772 2015-06-12 $44.68 $44.00 15.3% 4.3% 16.2% 5.2% 15.4% 2.0% -0.3% 2.7M -197.4M -1.1M 2.02 8.36 8,069 16,335 82,560 151,494 2015-06-15 $44.51 $44.00 15.6% 4.4% 15.2% 7.3% 17.7% 2.6% 0.5% 3.6M -188.1M -1.1M 3.92 10.26 3,864 15,162 84,398 150,518 2015-06-16 $44.94 $44.00 15.8% 4.5% 14.4% 8.9% 16.7% 2.4% 0.7% 2.8M -207.9M -1.1M 2.35 12.36 7,805 18,373 84,707 151,249 2015-06-17 $44.20 $44.00 16.6% 4.7% 15.7% 13.7% 17.0% 3.1% -1.4% 887.7K -171.6M -1.1M 1.03 18.41 19,845 20,361 87,645 154,541 2015-06-18 $44.54 $44.00 15.3% 4.4% 15.6% 5.7% 18.9% 2.8% 0.9% -3.9M -188.6M -1.2M 2.59 9.57 15,104 39,070 90,627 158,071 2015-06-19 $44.42 $44.00 15.7% 4.6% 15.6% 7.8% 20.0% 3.1% -0.9% -11.1M -108.4M -1.3M 2.54 11.46 8,403 21,331 82,230 178,037 2015-06-22 $44.90 $44.00 15.6% 4.3% 15.6% 7.7% 18.9% 2.8% 0.2% 333.1K -142.5M -1.3M 2.77 15.75 5,922 16,392 77,399 110,674 2015-06-23 $45.40 $44.00 14.7% 4.1% 15.4% 1.6% 15.4% 1.3% -1.0% 2.2M -168.4M -1.2M 2.58 12.24 4,050 10,440 78,398 111,599 2015-06-24 $45.13 $44.00 15.5% 4.4% 15.5% 6.9% 16.6% 4.5% -0.4% 1.7M -156.3M -1.3M 2.85 11.39 3,643 10,385 79,213 112,674 2015-06-25 $45.17 $44.00 15.8% 4.4% 15.5% 8.5% 15.5% 2.1% 0.2% 2.0M -159.9M -1.3M 3.05 13.46 4,169 12,725 79,482 113,461 2015-06-26 $45.41 $44.00 15.7% 4.4% 15.1% 7.8% 15.8% 3.1% 0.0% 2.0M -169.7M -1.2M 2.67 13.22 4,699 12,563 80,429 115,698 2015-06-29 $44.16 $45.00 21.6% 6.3% 18.5% 47.1% 22.2% 4.8% -2.6% -1.9M -106.1M -1.3M 1.50 18.78 12,997 19,461 80,547 114,345 2015-06-30 $44.21 $45.00 20.8% 6.3% 18.1% 42.0% 22.0% 1.6% -0.5% -1.3M -121.0M -1.5M 2.95 11.06 4,193 12,355 89,842 115,493
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