KRE Options History — August 2015

In August 2015, KRE traded between $38.77 and $44.19. ATM implied volatility averaged 21.4%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.2% (HV 20d: 17.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2015-08-20: Highest Volume — 57,453 contracts
  • 2015-08-24: Largest IV spike — 34.8% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.35$38.77$44.19$43.63$41.21
Max Pain$43.57$43.00$44.00$44.00$43.00
ATM IV21.4%15.8%35.5%16.8%26.5%
Expected Move6.4%4.4%11.0%4.7%8.4%
HV 20d17.2%11.4%27.2%14.0%27.2%
HV 60d17.1%15.5%20.3%15.5%20.1%
IV Rank38.1%8.8%100.0%15.4%57.1%
IV Percentile58.1%6.0%100.0%25.8%96.4%
Term Structure-0.6%-2.8%2.4%-0.3%-1.2%
VWIV23.6%15.4%37.2%15.4%29.6%
Skew 25d4.3%1.1%8.9%3.3%6.9%
Skew 10d6.7%1.9%14.8%6.2%8.4%
Call IV 25d19.9%14.2%38.6%16.0%22.9%
Put IV 25d24.2%16.7%44.2%19.3%29.7%
Bid-Ask Spread %32.698.7281.8816.1474.18
Gamma HHI0.110.100.130.110.11
Net GEX-5.2M-8.2M-2.5M-4.9M-5.7M
Net DEX-29.2M-136.5M137.7M-94.8M31.4M
Net VEX-1.8M-2.1M-1.7M-1.7M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.886.006.001.67
Total Volume22,711.4293,76457,4533,76422,509
Total OI244,167.952218,693271,005220,490268,763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$43.63$44.0016.8%4.7%14.0%15.4%15.4%3.3%-0.3%-4.9M-94.8M-1.7M6.0016.145383,22692,660127,830
2015-08-04$43.71$44.0016.4%4.6%13.1%12.5%16.2%5.8%-0.1%-3.4M-113.2M-1.7M1.889.624,5518,54292,956125,737
2015-08-05$44.08$44.0016.0%4.4%13.0%9.8%15.5%2.2%-0.1%-2.5M-134.3M-1.7M2.658.723,92910,40393,726126,558
2015-08-06$43.83$43.0016.5%5.0%12.0%13.4%18.2%2.5%-0.2%-3.3M-117.8M-1.7M2.0512.035,15510,58594,135128,229
2015-08-07$43.54$43.0016.4%5.0%11.4%12.8%19.0%1.1%-0.1%-3.0M-96.8M-1.7M1.7610.885,2299,22195,850129,470
2015-08-10$44.19$43.0015.8%4.9%12.3%8.8%19.8%4.0%0.2%-3.3M-136.5M-1.7M1.2711.247,2359,20595,338128,859
2015-08-11$43.56$44.0017.0%5.2%13.2%16.7%18.0%2.4%0.7%-4.6M-101.3M-1.7M1.489.952,9644,39798,936130,110
2015-08-12$42.73$43.0018.9%5.9%14.5%28.9%22.0%2.6%-0.2%-5.7M-47.1M-1.7M2.5812.616,53316,85599,212132,910
2015-08-13$42.95$44.0018.7%5.5%14.6%28.1%21.7%2.1%0.8%-6.9M-52.0M-1.8M2.8315.007,05319,95399,625140,363
2015-08-14$43.47$44.0017.5%5.4%15.1%20.3%21.8%3.9%2.4%-7.7M-82.2M-1.8M2.0021.707,80115,61899,823140,927
2015-08-17$43.54$44.0017.7%5.1%15.0%21.2%20.3%3.4%0.3%-6.7M-99.4M-1.8M3.9120.513,78514,786102,584140,060
2015-08-18$43.53$44.0017.9%5.2%15.0%22.4%19.5%3.0%-0.4%-7.1M-98.2M-1.8M4.2719.496,37127,199102,671140,089
2015-08-19$42.91$44.0019.5%5.6%15.0%33.1%23.6%4.1%-2.6%-8.2M-41.1M-1.9M0.8815.7414,86113,035105,249152,609
2015-08-20$41.82$44.0022.5%6.5%16.6%52.9%23.4%4.2%-2.4%-5.6M31.8M-1.9M1.7619.0220,78736,666106,630156,261
2015-08-21$41.40$44.0026.4%7.7%16.6%78.7%26.9%5.7%-2.8%-5.1M56.3M-2.0M2.6225.657,34519,273109,218159,487
2015-08-24$39.57$43.0035.5%11.0%22.3%100.0%37.2%5.6%-1.7%-4.5M100.1M-2.0M1.8381.8810,47919,189105,925148,036
2015-08-25$38.77$44.0030.5%9.3%22.8%76.3%27.1%8.9%-2.1%-4.6M137.7M-1.9M2.3576.727,83718,418111,015150,977
2015-08-26$39.83$43.0029.8%8.9%25.4%72.7%35.7%5.9%-1.1%-5.6M109.0M-2.0M2.4875.716,95617,219109,725149,888
2015-08-27$40.47$43.0026.8%8.4%26.4%58.4%32.7%6.0%-0.5%-5.7M72.7M-2.0M1.7475.209,96817,374109,991154,090
2015-08-28$40.62$43.0027.4%8.3%26.5%61.1%32.1%6.3%-1.5%-6.0M61.9M-2.1M1.6274.519,11714,773113,527157,478
2015-08-31$41.21$43.0026.5%8.4%27.2%57.1%29.6%6.9%-1.2%-5.7M31.4M-2.1M1.6774.188,43714,072112,592156,171