KRE Options History — December 2015

In December 2015, KRE traded between $41.51 and $45.75. ATM implied volatility averaged 22.7%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.1% (HV 20d: 21.6%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2015-12-08: Highest Volume — 33,583 contracts
  • 2015-12-23: Largest IV drop — 27.0% change
  • 2015-12-11: Highest IV Rank — 55.7%
  • 2015-12-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.89$41.51$45.75$45.75$42.11
Max Pain$42.09$41.00$44.00$44.00$43.00
ATM IV22.7%18.7%26.2%19.8%21.8%
Expected Move6.5%5.8%7.4%6.5%6.4%
HV 20d21.6%19.2%23.7%19.2%23.1%
HV 60d23.6%22.8%24.2%22.9%23.4%
IV Rank39.2%19.9%55.7%25.3%34.7%
IV Percentile77.5%40.1%95.6%56.0%71.4%
Term Structure-0.6%-2.5%0.7%-0.2%0.2%
VWIV24.0%21.8%28.0%23.4%23.8%
Skew 25d3.3%-0.7%7.1%3.3%4.9%
Skew 10d5.6%-4.7%11.7%6.2%4.9%
Call IV 25d21.1%16.6%26.4%18.0%19.9%
Put IV 25d24.4%21.3%29.0%21.3%24.8%
Bid-Ask Spread %21.318.0156.3914.1356.39
Gamma HHI0.130.110.160.130.14
Net GEX-8.8M-13.8M1.4M1.4M-9.9M
Net DEX-14.1M-234.9M135.7M-234.9M42.9M
Net VEX-1.7M-1.9M-1.6M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.814.423.554.42
Total Volume19,6312,17233,5837,76415,739
Total OI297,217.955248,070330,035308,639256,559

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$45.75$44.0019.8%6.5%19.2%25.3%23.4%3.3%-0.2%1.4M-234.9M-1.7M3.5514.131,7056,059120,518188,121
2015-12-02$44.90$44.0020.5%6.8%20.6%28.4%24.7%4.3%0.5%-4.3M-164.7M-1.7M1.8313.1410,58519,403121,905193,142
2015-12-03$44.27$41.0023.4%6.1%21.3%42.5%24.8%1.7%-0.6%-8.3M-111.9M-1.9M1.6813.9410,47517,627128,351200,505
2015-12-04$45.04$41.0020.0%5.8%21.2%26.0%22.3%3.1%0.1%-5.2M-183.5M-1.9M1.7610.549,99117,536129,191200,844
2015-12-07$44.05$41.0021.8%6.1%19.8%34.8%23.6%3.3%-0.3%-9.5M-99.1M-1.9M0.8112.081,201971128,781198,652
2015-12-08$43.33$41.0021.6%6.3%20.4%34.0%23.9%3.7%0.6%-13.3M-30.2M-1.9M2.738.019,00424,579128,995199,143
2015-12-09$42.57$41.0022.5%6.5%21.1%37.9%23.8%3.2%-0.4%-13.8M25.1M-1.8M1.8813.998,70316,324129,386196,616
2015-12-10$42.69$41.0022.4%6.1%21.0%37.4%21.8%2.7%-1.3%-13.7M5.6M-1.8M1.1816.2710,64212,583129,686195,125
2015-12-11$41.59$41.0026.2%7.4%19.9%55.7%27.0%2.5%-0.8%-12.2M101.1M-1.8M1.0311.0811,88412,206132,259195,743
2015-12-14$41.51$41.0025.7%7.3%19.6%53.3%28.0%3.7%-0.2%-12.2M59.8M-1.7M1.3624.7810,42614,225131,884184,618
2015-12-15$42.56$41.0023.5%6.7%21.4%42.7%23.7%3.8%0.7%-10.7M-20.6M-1.8M3.1516.835,67517,888132,344187,477
2015-12-16$43.01$41.0024.9%7.1%21.8%49.4%23.0%2.7%-0.4%-6.6M-68.6M-1.8M2.4630.365,69813,999134,797187,961
2015-12-17$42.42$41.0022.3%6.4%21.4%37.2%23.3%3.3%-1.0%-9.7M-15.8M-1.7M2.9319.384,57613,425137,024191,259
2015-12-18$41.55$43.0024.0%6.7%22.3%45.4%24.0%2.8%0.3%-8.0M135.7M-1.7M3.1121.044,45413,849118,037191,242
2015-12-21$41.59$43.0023.9%6.8%22.1%44.7%24.1%2.4%-2.4%-8.7M82.5M-1.6M3.5622.773,27811,67094,108153,962
2015-12-22$41.81$43.0025.6%6.4%22.2%52.6%21.9%3.1%-1.1%-8.6M70.9M-1.6M2.8239.493,64310,28194,395155,221
2015-12-23$42.42$43.0018.7%5.8%23.0%19.9%22.5%7.1%-0.5%-7.9M30.0M-1.7M3.5224.643,75713,21795,152155,203
2015-12-24$42.60$43.0022.9%6.1%23.1%40.1%22.2%4.0%0.7%-5.7M8.7M-1.7M3.0222.623,36810,16195,438158,055
2015-12-28$42.41$43.0023.2%7.0%23.0%41.6%25.5%-0.7%-1.8%-8.5M31.0M-1.6M4.1717.943,60715,05393,926157,953
2015-12-29$42.90$43.0023.2%6.2%23.6%41.2%26.7%5.4%-2.5%-7.8M795.6K-1.6M3.2539.043,73412,12094,289163,293
2015-12-30$42.40$43.0022.3%6.0%23.7%37.0%24.2%3.3%-1.5%-9.8M24.8M-1.6M3.7220.323,51113,05094,310163,325
2015-12-31$42.11$43.0021.8%6.4%23.1%34.7%23.8%4.9%0.2%-9.9M42.9M-1.6M4.4256.392,90612,83394,386162,173