KRE Options History — January 2016

In January 2016, KRE traded between $34.24 and $40.87. ATM implied volatility averaged 30.2%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.2% (HV 20d: 25.0%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 5.48.

Notable Days

  • 2016-01-20: Highest Volume — 58,886 contracts
  • 2016-01-26: Largest IV drop — 34.4% change
  • 2016-01-20: Highest IV Rank — 100.0%
  • 2016-01-25: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$34.24$40.87$40.87$36.07
Max Pain$39.50$37.00$41.00$41.00$37.00
ATM IV30.2%23.4%38.6%25.3%29.1%
Expected Move8.8%6.6%12.0%6.9%8.0%
HV 20d25.0%22.8%29.3%24.7%29.3%
HV 60d24.8%23.8%25.9%24.0%25.0%
IV Rank70.3%42.2%100.0%51.2%60.4%
IV Percentile96.1%82.1%100.0%92.1%94.4%
Term Structure0.2%-4.8%6.7%-1.3%1.2%
VWIV28.8%23.3%35.4%24.5%29.2%
Skew 25d5.5%0.9%9.8%4.1%9.8%
Skew 10d10.0%1.5%19.0%8.1%10.6%
Call IV 25d27.2%23.3%35.2%23.9%25.7%
Put IV 25d32.7%27.3%38.8%28.0%35.5%
Bid-Ask Spread %51.9218.98105.3218.9897.22
Gamma HHI0.120.080.170.170.10
Net GEX-10.6M-15.2M-6.3M-13.3M-6.3M
Net DEX282.0M133.3M432.0M133.3M242.5M
Net VEX-1.3M-1.6M-1.1M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.481.0713.3710.061.10
Total Volume41,459.31617,55058,88623,24833,598
Total OI256,330211,110324,459252,528235,930

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$40.87$41.0025.3%6.9%24.7%51.2%24.5%4.1%-1.3%-13.3M133.3M-1.5M10.0618.982,10221,14693,032159,496
2016-01-05$40.87$41.0025.6%6.6%23.4%52.8%24.9%4.0%-0.7%-14.7M134.4M-1.5M6.3723.042,38215,16893,069165,645
2016-01-06$40.28$41.0023.4%7.7%22.8%42.2%23.3%5.4%3.8%-14.8M171.1M-1.5M13.3757.383,70749,55393,216163,650
2016-01-07$39.23$41.0029.5%7.8%23.8%71.5%26.0%6.4%-0.8%-14.6M262.3M-1.6M10.0821.933,94139,73794,866185,597
2016-01-08$38.32$40.0031.2%8.8%24.3%79.2%24.6%7.5%-0.0%-13.5M317.6M-1.5M9.9535.364,24642,25695,500191,103
2016-01-11$38.30$40.0028.0%8.0%24.2%64.1%24.4%3.5%0.4%-15.2M337.6M-1.4M6.8130.855,48037,30295,155194,785
2016-01-12$38.47$40.0027.2%7.6%23.1%60.3%25.1%4.4%0.1%-15.2M344.3M-1.4M8.9834.714,57441,06196,137196,081
2016-01-13$37.01$40.0033.0%9.2%26.2%88.0%27.2%2.8%0.5%-11.0M393.3M-1.2M7.5238.136,78551,05196,299197,379
2016-01-14$37.41$40.0028.8%8.0%24.4%68.1%28.4%5.1%0.1%-13.2M391.1M-1.3M5.6230.226,42836,11698,852202,256
2016-01-15$36.65$40.0031.2%8.9%24.0%79.6%30.0%0.9%0.5%-7.8M432.0M-1.3M5.9434.477,16242,563101,905222,554
2016-01-19$36.34$40.0029.8%8.5%23.9%72.9%28.9%5.4%3.0%-8.3M245.2M-1.3M4.8442.785,75427,85167,502143,608
2016-01-20$35.86$39.0038.4%11.0%23.5%100.0%35.1%1.1%0.2%-8.6M264.0M-1.3M3.2440.1613,89144,99568,415147,325
2016-01-21$35.39$39.0037.6%10.9%23.4%96.5%35.4%6.5%-4.8%-8.4M301.6M-1.3M2.1733.2212,65327,46678,890157,122
2016-01-22$35.74$39.0032.4%9.3%23.8%74.7%34.7%7.2%-0.2%-7.3M299.4M-1.3M2.6779.9213,43635,85179,724157,168
2016-01-25$34.24$38.5038.6%12.0%25.3%100.0%29.4%9.2%-2.0%-6.7M292.3M-1.1M1.8982.6014,57527,60872,602145,312
2016-01-26$35.10$38.5025.3%9.1%27.8%44.9%34.4%5.9%6.7%-7.9M285.7M-1.2M1.2792.5313,63717,29074,024148,472
2016-01-27$35.55$38.5031.3%9.9%28.9%69.6%30.5%6.0%-1.4%-7.8M265.0M-1.2M1.21105.3218,71922,62274,497148,680
2016-01-28$36.05$37.0028.8%9.0%29.2%59.4%31.2%8.4%-0.6%-6.6M245.0M-1.3M1.0787.5616,94918,07279,905154,517
2016-01-29$36.07$37.0029.1%8.0%29.3%60.4%29.2%9.8%1.2%-6.3M242.5M-1.3M1.1097.2216,03017,56881,382154,548