KRE Options History — July 2015

In July 2015, KRE traded between $42.96 and $44.98. ATM implied volatility averaged 18.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.7% (HV 20d: 17.4%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.90.

Notable Days

  • 2015-07-09: Highest Volume — 33,300 contracts
  • 2015-07-29: Largest IV drop — 7.4% change
  • 2015-07-08: Highest IV Rank — 53.2%
  • 2015-07-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.09$42.96$44.98$44.69$43.56
Max Pain$44.09$44.00$45.00$45.00$44.00
ATM IV18.2%15.9%22.5%20.0%16.5%
Expected Move5.2%4.6%6.2%6.0%4.6%
HV 20d17.4%14.0%18.7%17.7%14.0%
HV 60d15.6%15.1%16.0%15.1%15.5%
IV Rank24.4%9.3%53.2%36.8%13.3%
IV Percentile42.6%6.3%89.7%73.8%18.7%
Term Structure-0.0%-1.2%1.4%-0.1%0.1%
VWIV18.8%15.9%23.0%21.3%15.9%
Skew 25d3.7%2.3%6.6%3.9%2.4%
Skew 10d6.8%4.6%9.7%7.8%5.2%
Call IV 25d17.2%14.8%21.6%19.1%16.0%
Put IV 25d21.0%17.8%26.2%22.9%18.4%
Bid-Ask Spread %16.2011.4420.4619.9516.11
Gamma HHI0.130.110.320.120.11
Net GEX-1.6M-6.9M10.2M-338.0K-3.9M
Net DEX-125.5M-200.1M-68.6M-136.0M-90.7M
Net VEX-1.7M-1.8M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.676.351.812.16
Total Volume19,268.36410,83133,30014,27917,204
Total OI218,751.091199,026233,568205,743221,035

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$44.69$45.0020.0%6.0%17.7%36.8%21.3%3.9%-0.1%-338.0K-136.0M-1.5M1.8119.955,0809,19988,892116,851
2015-07-02$43.95$45.0020.5%6.2%18.4%39.7%21.0%5.4%-0.1%-3.4M-99.9M-1.6M1.4620.378,08011,80990,532119,061
2015-07-06$43.92$44.0020.7%5.8%17.3%41.3%23.0%6.6%-1.2%-4.2M-100.0M-1.6M1.7815.024,9608,80791,779119,965
2015-07-07$43.32$44.0021.0%6.1%18.0%43.0%21.9%3.0%-0.2%-6.7M-72.6M-1.6M0.6715.9113,6309,17092,961119,970
2015-07-08$42.96$44.0022.5%6.2%17.8%53.2%21.2%4.6%-0.9%-6.9M-68.6M-1.8M0.8515.4813,14211,216102,787120,965
2015-07-09$43.64$44.0021.1%5.8%17.9%43.7%20.9%4.5%0.2%-4.0M-105.3M-1.8M1.4714.2013,49819,802103,077120,025
2015-07-10$44.16$44.0019.7%5.6%18.5%34.6%19.4%3.8%-1.0%-2.7M-136.2M-1.8M3.3015.665,48318,082103,153130,415
2015-07-13$44.52$44.0018.4%5.3%18.7%25.9%18.1%2.7%-0.7%-763.0K-154.2M-1.8M1.6418.434,2156,930101,755129,720
2015-07-14$44.58$44.0017.4%5.1%18.7%19.5%18.9%4.1%-0.7%1.9M-165.9M-1.7M1.8511.533,8067,025102,002129,888
2015-07-15$44.79$44.0016.9%5.0%18.4%16.2%18.1%4.6%-0.0%4.9M-183.1M-1.7M2.6312.734,65612,231102,543130,077
2015-07-16$44.93$44.0016.0%4.7%17.4%10.0%17.0%2.7%1.1%10.2M-200.1M-1.6M1.6419.677,55712,413103,525129,564
2015-07-17$44.47$44.0016.5%4.9%17.6%13.3%17.5%2.5%1.4%3.1M-163.6M-1.7M3.7216.524,15815,453103,316129,873
2015-07-20$44.68$44.0016.4%4.7%17.7%12.7%16.9%2.3%0.4%1.0M-162.6M-1.7M4.5814.752,96713,58890,304108,722
2015-07-21$44.49$44.0016.4%4.7%17.3%12.8%17.4%3.7%-0.2%958.9K-159.7M-1.7M6.3517.433,03719,27390,721109,124
2015-07-22$44.98$44.0015.9%4.6%17.3%9.3%16.9%2.6%0.6%-494.8K-170.9M-1.7M5.9818.303,35820,07091,086115,594
2015-07-23$44.33$44.0016.4%4.7%17.9%12.8%18.4%4.5%0.3%-3.7M-134.4M-1.8M3.6920.464,23215,62991,407121,548
2015-07-24$43.86$44.0017.4%5.0%18.2%19.4%17.4%4.3%-0.2%-3.2M-106.2M-1.8M4.7016.473,59416,90792,306123,476
2015-07-27$43.38$44.0018.6%5.3%18.3%27.6%18.7%3.3%0.2%-3.9M-81.2M-1.8M5.9712.793,28419,60591,464122,656
2015-07-28$43.44$44.0017.9%5.2%15.6%23.0%19.7%3.5%-0.1%-5.0M-79.4M-1.8M3.3016.014,71115,55491,807127,415
2015-07-29$43.59$44.0016.6%4.7%15.7%14.2%17.0%4.0%0.4%-3.1M-94.8M-1.8M2.4817.254,89712,15693,516126,523
2015-07-30$43.66$44.0016.5%4.7%15.1%13.3%16.9%3.5%0.3%-3.9M-95.5M-1.8M1.8011.444,7998,63793,850127,274
2015-07-31$43.56$44.0016.5%4.6%14.0%13.3%15.9%2.4%0.1%-3.9M-90.7M-1.8M2.1616.115,44311,76193,553127,482