KRE Options History — September 2015

In September 2015, KRE traded between $39.36 and $42.11. ATM implied volatility averaged 24.4%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 6.6% (HV 20d: 31.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2015-09-28: Highest Volume — 40,150 contracts
  • 2015-09-28: Largest IV spike — 12.8% change
  • 2015-09-01: Highest IV Rank — 76.2%
  • 2015-09-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.83$39.36$42.11$39.36$41.20
Max Pain$40.71$39.00$43.00$43.00$41.00
ATM IV24.4%21.3%30.5%30.5%25.8%
Expected Move7.0%6.1%9.5%9.5%6.8%
HV 20d31.0%22.5%34.0%31.1%22.5%
HV 60d23.0%22.1%24.0%22.1%23.6%
IV Rank47.3%32.2%76.2%76.2%53.8%
IV Percentile88.6%76.6%99.2%99.2%93.7%
Term Structure-0.3%-2.2%1.1%-0.7%-0.8%
VWIV28.2%22.5%34.5%34.5%27.2%
Skew 25d4.7%-1.3%6.9%6.9%5.2%
Skew 10d10.1%-4.7%18.0%7.9%6.4%
Call IV 25d22.5%19.4%27.3%27.3%22.5%
Put IV 25d27.2%20.1%34.2%34.2%27.6%
Bid-Ask Spread %29.6914.4480.5180.5120.10
Gamma HHI0.130.100.210.100.15
Net GEX-6.9M-10.6M-5.5M-5.6M-8.6M
Net DEX39.4M-25.4M112.7M112.7M17.9M
Net VEX-2.0M-2.1M-1.9M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.575.471.381.04
Total Volume26,011.2382,17940,15019,93925,772
Total OI264,825.143234,369283,775269,939257,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$39.36$43.0030.5%9.5%31.1%76.2%34.5%6.9%-0.7%-5.6M112.7M-2.0M1.3880.518,39511,544112,870157,069
2015-09-02$40.08$43.0027.4%8.4%31.9%61.3%30.1%5.5%-0.8%-6.6M91.9M-2.0M0.8376.7411,4909,560113,059157,747
2015-09-03$40.46$39.0025.3%7.4%32.3%51.5%31.8%4.6%-0.1%-6.9M66.7M-2.1M0.9826.4213,84113,520116,442158,172
2015-09-04$40.25$39.0027.6%7.6%32.3%62.5%30.4%4.9%-1.2%-5.8M82.1M-2.1M1.2129.5013,42716,245116,560160,671
2015-09-08$41.23$40.0024.2%6.9%33.1%46.2%25.2%6.8%-0.8%-5.8M24.7M-2.1M5.4717.463371,842114,423158,974
2015-09-09$41.02$40.0024.0%6.9%32.9%45.3%32.3%3.6%1.1%-5.7M26.9M-2.1M0.9218.2213,28712,244114,814160,480
2015-09-10$41.31$40.0024.1%6.9%32.5%45.7%32.9%5.8%-0.0%-6.1M19.0M-2.1M0.9119.1913,55512,278115,125160,767
2015-09-11$41.26$40.0023.9%6.9%32.4%44.9%31.8%4.0%0.2%-5.8M19.5M-2.1M1.7726.278,51315,030115,407160,944
2015-09-14$41.41$40.0024.2%7.0%32.0%46.2%33.5%5.8%-0.6%-6.6M13.0M-2.0M1.0829.0613,33114,387114,328162,204
2015-09-15$42.02$40.0021.6%6.2%32.6%34.0%22.5%4.3%0.4%-7.2M-25.4M-2.1M3.8224.182,1568,238116,548161,274
2015-09-16$42.11$41.0021.3%6.1%32.6%32.2%23.6%5.9%-0.8%-9.0M-18.5M-2.0M1.8829.2110,98720,649113,231166,402
2015-09-17$41.09$41.0021.8%6.2%33.3%34.5%27.0%-1.3%-2.2%-6.6M48.6M-1.9M1.3672.0711,26915,320113,303170,472
2015-09-18$39.99$41.0023.7%6.8%33.5%43.9%27.1%5.8%-1.0%-10.6M111.2M-1.9M1.7231.1414,13824,271112,412170,744
2015-09-21$40.65$41.0022.4%6.4%34.0%37.4%24.1%4.2%-0.2%-6.2M34.0M-2.0M0.9420.6215,06214,20597,670136,699
2015-09-22$40.01$41.0023.4%6.8%30.3%42.2%28.4%5.4%0.5%-6.2M59.5M-2.0M0.5720.0515,1058,683100,303138,966
2015-09-23$40.59$41.0022.9%6.5%29.6%39.8%23.0%4.2%0.4%-7.4M45.1M-2.0M1.5014.4412,95919,443100,785144,673
2015-09-24$40.80$41.0024.6%6.6%28.2%48.0%25.9%2.7%0.6%-6.0M26.1M-2.0M1.1116.4412,76814,226100,918142,098
2015-09-25$41.25$41.0023.0%6.6%27.9%40.6%25.7%5.2%-0.3%-5.5M-3.1M-2.0M1.2316.3914,09217,301101,263142,514
2015-09-28$40.69$41.0026.0%7.6%28.3%54.6%28.1%3.9%0.1%-6.4M26.5M-2.0M2.0917.1112,99927,151101,814144,103
2015-09-29$40.62$41.0025.7%7.4%27.8%53.4%28.0%6.1%-0.4%-9.1M49.5M-2.0M1.1518.3412,37614,240102,491154,913
2015-09-30$41.20$41.0025.8%6.8%22.5%53.8%27.2%5.2%-0.8%-8.6M17.9M-2.0M1.0420.1012,65913,113102,591155,085