KRE Options History — November 2015

In November 2015, KRE traded between $43.63 and $45.93. ATM implied volatility averaged 21.0%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 5.0% (HV 20d: 26.0%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.65.

Notable Days

  • 2015-11-05: Highest Volume — 82,806 contracts
  • 2015-11-19: Largest IV drop — 12.9% change
  • 2015-11-18: Highest IV Rank — 46.9%
  • 2015-11-18: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.94$43.63$45.93$43.63$45.65
Max Pain$43.10$42.00$44.00$43.00$44.00
ATM IV21.0%18.6%24.4%21.0%19.2%
Expected Move6.2%5.8%7.0%6.4%6.4%
HV 20d26.0%20.0%28.1%26.4%20.0%
HV 60d26.4%22.9%28.4%27.6%22.9%
IV Rank30.9%19.5%46.9%31.0%22.6%
IV Percentile68.9%46.4%90.9%72.6%49.2%
Term Structure0.1%-1.3%2.7%0.3%0.6%
VWIV22.6%19.6%24.8%22.0%22.2%
Skew 25d3.5%1.7%5.3%4.8%4.7%
Skew 10d7.8%5.5%10.7%5.5%7.8%
Call IV 25d19.2%17.4%21.3%18.5%17.6%
Put IV 25d22.7%20.4%25.1%23.2%22.3%
Bid-Ask Spread %13.268.4920.1214.1415.90
Gamma HHI0.120.090.180.100.14
Net GEX778.7K-8.0M10.5M-4.5M1.1M
Net DEX-199.0M-287.5M-111.1M-111.1M-235.8M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.257.390.250.79
Total Volume24,784.053,06882,80629,0013,983
Total OI302,510.2278,016320,453278,016309,953

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$43.63$43.0021.0%6.4%26.4%31.0%22.0%4.8%0.3%-4.5M-111.1M-1.8M0.2514.1423,2585,743106,820171,196
2015-11-03$43.81$43.0020.7%6.3%26.4%29.7%21.7%4.2%0.2%-3.5M-124.7M-1.8M0.3214.2619,3346,105107,618172,240
2015-11-04$43.81$43.0019.7%5.9%25.9%25.0%23.0%4.5%0.3%-4.5M-124.2M-1.8M0.9415.7519,10017,937108,911173,654
2015-11-05$44.61$42.0020.2%6.0%26.4%27.3%24.1%2.4%0.2%-2.3M-173.8M-1.8M1.5811.5932,14150,665109,207180,329
2015-11-06$45.93$42.0018.6%5.8%27.5%19.5%19.6%2.9%-0.1%6.8M-283.1M-1.7M1.1112.689,31610,307115,991203,232
2015-11-09$45.64$42.0020.4%6.0%27.7%27.9%24.5%3.5%0.6%4.0M-245.1M-1.7M3.2712.095,06116,561113,630188,308
2015-11-10$45.68$43.0019.8%5.8%27.5%25.4%22.9%3.0%0.5%8.7M-262.8M-1.6M7.358.863,33824,528118,229184,129
2015-11-11$45.85$43.0019.4%5.8%24.3%23.2%22.7%3.5%1.1%10.5M-287.5M-1.6M7.3916.133,29124,330118,501183,937
2015-11-12$44.38$43.0021.4%6.5%27.3%33.1%22.1%5.3%2.7%-3.9M-161.0M-1.7M4.498.494,11518,486112,125185,009
2015-11-13$43.80$43.0023.2%6.7%28.0%41.3%24.8%2.1%1.3%-8.0M-112.7M-1.7M2.6013.618,53022,137112,619185,364
2015-11-16$44.28$43.0022.7%6.6%28.1%38.8%22.9%3.8%-0.4%-3.5M-155.6M-1.7M1.0311.601,5101,558114,096189,373
2015-11-17$44.51$43.0023.0%6.6%28.0%40.5%24.1%3.9%-0.5%-1.4M-175.0M-1.7M3.6418.114,30615,694114,216189,089
2015-11-18$45.11$43.0024.4%7.0%27.4%46.9%22.2%1.7%-1.3%2.5M-214.5M-1.7M1.9820.1210,67921,155114,538190,456
2015-11-19$44.91$43.0021.2%6.1%27.2%32.0%21.5%3.5%-0.8%3.2M-205.2M-1.8M3.5311.603,75313,250121,566198,299
2015-11-20$45.14$43.0021.3%6.2%26.1%32.7%22.4%3.0%-0.7%8.6M-228.9M-1.7M2.4114.1114,12534,006121,852198,601
2015-11-23$45.27$44.0021.0%6.0%26.0%30.8%22.4%3.7%-0.4%720.9K-208.8M-1.8M4.3913.301,9088,372121,135181,797
2015-11-24$45.49$44.0021.5%6.0%25.4%33.4%23.1%3.3%-0.4%454.5K-218.7M-1.8M1.9110.561,2272,341121,974188,161
2015-11-25$45.60$44.0020.2%6.0%22.0%27.1%21.0%3.3%-0.4%-264.3K-222.6M-1.8M2.0112.455,58411,215123,034189,952
2015-11-27$45.69$44.0020.7%6.2%21.9%29.5%22.2%2.9%-0.8%888.9K-228.0M-1.8M1.999.825,58711,145122,164188,899
2015-11-30$45.65$44.0019.2%6.4%20.0%22.6%22.2%4.7%0.6%1.1M-235.8M-1.7M0.7915.902,2301,753121,792188,161