KRE Options History — October 2015

In October 2015, KRE traded between $40.49 and $44.00. ATM implied volatility averaged 21.4%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.8% (HV 20d: 23.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.36.

Notable Days

2015-10-29: Highest Volume — 43,665 contracts
2015-10-14: Largest IV spike — 20.1% change
2015-10-14: Highest IV Rank — 49.2%
2015-10-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.06	$40.49	$44.00	$40.87	$42.86
Max Pain	$41.18	$41.00	$43.00	$41.00	$43.00
ATM IV	21.4%	19.0%	24.8%	24.2%	21.7%
Expected Move	6.1%	5.4%	6.8%	6.8%	6.5%
HV 20d	23.2%	21.0%	27.0%	22.0%	27.0%
HV 60d	25.0%	23.4%	27.3%	23.6%	27.3%
IV Rank	32.7%	21.5%	49.2%	46.1%	34.4%
IV Percentile	72.4%	54.4%	91.3%	87.7%	77.0%
Term Structure	-0.1%	-2.5%	1.1%	0.4%	0.6%
VWIV	23.6%	22.0%	26.6%	26.6%	23.0%
Skew 25d	4.5%	2.3%	6.3%	4.7%	6.0%
Skew 10d	9.7%	4.2%	14.1%	8.2%	4.2%
Call IV 25d	19.2%	15.5%	22.5%	21.1%	19.3%
Put IV 25d	23.7%	20.0%	26.3%	25.8%	25.3%
Bid-Ask Spread %	18.74	10.56	28.22	17.96	16.47
Gamma HHI	0.15	0.11	0.22	0.16	0.11
Net GEX	-8.0M	-18.3M	-1.8M	-9.3M	-6.9M
Net DEX	-39.0M	-151.8M	77.0M	34.5M	-54.1M
Net VEX	-1.9M	-2.0M	-1.8M	-2.0M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.58	8.52	1.00	0.58
Total Volume	26,196.136	3,768	43,665	26,109	37,797
Total OI	267,878.955	244,603	284,074	258,346	271,752

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
2015-10-01	$40.87	$41.00	24.2%	6.8%	22.0%	46.1%	26.6%	4.7%	0.4%	-9.3M	34.5M	-2.0M	1.00	17.96	13,040	13,069	102,978	155,368
2015-10-02	$40.49	$41.00	23.7%	6.7%	22.1%	43.7%	24.6%	3.7%	-0.2%	-14.9M	77.0M	-2.0M	1.20	19.55	17,049	20,401	103,637	167,351
2015-10-05	$41.49	$41.00	22.1%	6.7%	23.6%	36.4%	22.9%	3.6%	0.1%	-9.8M	-11.6M	-2.0M	8.52	20.82	396	3,372	104,788	163,133
2015-10-06	$41.40	$41.00	22.1%	6.6%	22.0%	36.4%	24.2%	4.4%	0.1%	-10.7M	-1.9M	-2.0M	0.79	18.17	12,991	10,312	104,628	166,079
2015-10-07	$42.05	$41.00	21.1%	6.1%	22.6%	31.5%	23.7%	3.4%	0.0%	-7.9M	-46.1M	-2.0M	0.84	18.59	13,358	11,269	105,074	166,494
2015-10-08	$42.46	$41.00	20.6%	6.1%	22.7%	29.3%	23.0%	3.5%	0.1%	-6.9M	-68.4M	-2.0M	1.08	18.06	13,749	14,844	105,492	167,866
2015-10-09	$41.96	$41.00	20.9%	6.1%	23.2%	30.7%	23.1%	5.0%	-0.2%	-9.9M	-45.7M	-1.9M	0.81	16.93	13,763	11,092	106,502	171,606
2015-10-12	$42.28	$41.00	21.4%	5.9%	23.3%	32.7%	25.2%	3.0%	-0.3%	-6.5M	-66.6M	-1.9M	0.96	10.56	10,899	10,436	106,720	171,381
2015-10-13	$42.00	$41.00	20.7%	6.1%	22.9%	29.4%	22.0%	5.1%	1.1%	-8.5M	-49.7M	-1.9M	0.90	11.37	12,816	11,524	106,889	171,686
2015-10-14	$40.75	$41.00	24.8%	6.5%	25.2%	49.2%	23.8%	6.3%	-2.5%	-18.3M	48.6M	-1.9M	1.13	17.09	12,713	14,422	106,815	173,468
2015-10-15	$41.52	$41.00	22.1%	6.7%	24.7%	36.4%	25.2%	4.6%	-0.5%	-12.4M	-5.9M	-1.9M	1.08	21.22	11,155	12,006	106,793	175,391
2015-10-16	$41.60	$41.00	21.4%	6.2%	22.4%	32.7%	25.1%	5.0%	0.3%	-13.7M	-20.4M	-1.9M	1.12	20.57	11,198	12,535	107,398	176,676
2015-10-19	$41.64	$41.00	21.3%	6.1%	21.7%	32.3%	22.1%	5.2%	-0.5%	-4.4M	-29.7M	-1.8M	0.70	23.32	10,404	7,285	104,655	139,948
2015-10-20	$42.09	$41.00	20.1%	5.8%	21.0%	26.6%	22.0%	4.0%	-0.0%	-3.9M	-51.3M	-1.9M	0.70	19.26	10,501	7,312	105,108	140,497
2015-10-21	$41.47	$41.00	20.8%	6.0%	21.4%	30.1%	23.0%	6.2%	-0.6%	-5.6M	-12.3M	-1.9M	1.42	20.31	10,571	15,046	105,102	150,389
2015-10-22	$42.14	$41.00	20.4%	5.9%	22.0%	28.0%	22.7%	4.6%	-0.7%	-6.6M	-40.1M	-2.0M	1.52	21.38	10,816	16,466	105,397	158,115
2015-10-23	$43.14	$41.00	19.0%	5.5%	23.1%	21.5%	22.1%	6.2%	-0.5%	-4.0M	-98.6M	-1.9M	1.54	28.22	11,050	17,025	105,698	159,669
2015-10-26	$42.90	$41.50	19.0%	5.6%	22.6%	21.7%	23.4%	4.4%	0.2%	-4.8M	-84.3M	-1.9M	1.50	14.21	10,214	15,366	104,032	158,765
2015-10-27	$42.39	$41.50	20.1%	6.0%	23.1%	26.5%	23.7%	3.8%	-0.2%	-7.1M	-45.2M	-1.9M	1.30	16.10	10,831	14,063	104,098	159,446
2015-10-28	$44.00	$41.50	22.9%	5.4%	26.0%	39.8%	24.6%	2.3%	0.1%	-1.8M	-151.8M	-1.8M	0.61	26.40	24,596	14,898	104,276	159,542
2015-10-29	$43.83	$41.50	19.7%	6.0%	25.8%	24.9%	23.9%	4.9%	0.3%	-3.0M	-135.1M	-1.8M	0.73	15.82	25,267	18,398	102,040	160,595
2015-10-30	$42.86	$43.00	21.7%	6.5%	27.0%	34.4%	23.0%	6.0%	0.6%	-6.9M	-54.1M	-1.9M	0.58	16.47	23,952	13,845	104,326	167,426