KRE Options History — February 2016

In February 2016, KRE traded between $32.97 and $36.42. ATM implied volatility averaged 34.4%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.5% (HV 20d: 32.9%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-02-10: Highest Volume — 64,427 contracts
  • 2016-02-11: Largest IV spike — 18.1% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.07$32.97$36.42$36.42$35.10
Max Pain$39.80$37.00$41.00$37.00$40.00
ATM IV34.4%28.4%46.5%29.8%30.2%
Expected Move10.0%8.4%13.2%8.6%9.3%
HV 20d32.9%30.0%36.6%30.0%35.0%
HV 60d26.9%24.5%29.5%25.1%29.5%
IV Rank69.9%43.4%100.0%63.4%49.2%
IV Percentile95.4%86.1%100.0%94.8%89.3%
Term Structure-0.8%-3.3%1.7%-2.2%-0.2%
VWIV35.9%25.9%45.2%32.8%39.2%
Skew 25d8.0%4.9%9.9%4.9%9.0%
Skew 10d17.0%8.5%25.7%11.2%20.0%
Call IV 25d30.6%24.4%42.0%26.7%25.5%
Put IV 25d38.6%31.6%51.9%31.6%34.5%
Bid-Ask Spread %50.1411.8488.3935.3279.91
Gamma HHI0.090.070.120.110.09
Net GEX-4.6M-6.7M-1.4M-5.8M-5.2M
Net DEX257.9M222.0M304.9M229.9M280.7M
Net VEX-1.3M-1.4M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.552.340.920.58
Total Volume32,324.420,31264,42725,38936,787
Total OI257,004.8216,508289,341216,508274,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$36.42$37.0029.8%8.6%30.0%63.4%32.8%4.9%-2.2%-5.8M229.9M-1.3M0.9235.3213,20912,18076,567139,941
2016-02-02$35.28$37.0030.5%9.7%30.2%66.5%32.0%9.0%0.7%-5.8M260.9M-1.2M0.7323.8113,95710,25476,727141,381
2016-02-03$35.52$37.0032.1%10.7%30.5%73.3%36.4%6.3%1.0%-6.5M261.7M-1.2M1.3029.1914,36018,66477,443144,560
2016-02-04$35.82$41.0029.0%8.7%30.8%60.3%25.9%5.6%-0.9%-6.7M253.9M-1.3M1.2613.0314,56218,33578,203147,742
2016-02-05$35.26$41.0032.0%9.1%30.1%72.8%30.9%8.6%-1.6%-5.7M257.6M-1.2M0.9619.4514,72214,08278,779146,720
2016-02-08$34.34$41.0037.5%10.2%30.4%95.4%34.8%7.9%-3.3%-5.8M280.6M-1.1M0.5520.1716,1588,81979,122144,684
2016-02-09$34.55$41.0038.6%10.4%30.6%100.0%34.7%8.6%-3.0%-5.8M272.2M-1.2M0.8415.1421,36717,88879,456146,474
2016-02-10$34.23$41.0039.4%11.2%30.4%100.0%37.6%8.0%1.0%-6.3M279.7M-1.2M0.7118.9537,70426,72380,277155,485
2016-02-11$32.97$40.0046.5%13.2%30.2%100.0%45.2%9.9%1.7%-5.1M304.9M-1.3M2.3411.8413,46731,548102,039166,018
2016-02-12$34.44$40.0043.5%12.0%34.6%90.6%40.2%5.9%-2.4%-5.3M264.6M-1.4M1.3717.1116,18722,158104,880178,067
2016-02-16$35.50$40.0038.7%11.2%36.1%75.6%38.6%9.9%1.7%-3.8M225.5M-1.4M1.4979.2912,68018,939107,529175,660
2016-02-17$35.49$40.0035.1%10.1%36.0%64.3%35.0%8.5%-2.0%-4.0M223.8M-1.4M1.0180.6611,80211,863107,572177,605
2016-02-18$34.87$40.0035.0%10.1%36.2%64.2%40.7%8.7%-0.7%-5.6M248.7M-1.3M1.0888.3912,91113,963106,774178,339
2016-02-19$35.08$40.0036.6%10.7%36.0%68.9%40.1%8.0%-2.4%-2.5M250.1M-1.3M1.1881.9812,54514,812108,502180,839
2016-02-22$35.81$40.0031.6%9.0%36.6%53.4%36.2%8.0%-2.0%-1.8M222.0M-1.3M0.9280.5110,5679,745106,736160,576
2016-02-23$34.94$40.0030.5%9.6%34.3%50.1%35.5%9.9%1.7%-2.7M262.3M-1.3M1.4083.2711,16915,687107,921165,588
2016-02-24$34.65$40.0032.1%9.5%33.2%55.0%32.7%8.5%-2.0%-3.5M278.1M-1.2M0.5777.3818,58810,564108,445172,616
2016-02-25$35.15$40.0030.9%9.3%33.3%51.4%35.7%6.8%-0.7%-3.7M267.9M-1.3M0.6670.8618,55812,22099,000178,088
2016-02-26$35.95$40.0028.4%8.4%33.9%43.4%33.9%7.2%-0.8%-1.4M233.9M-1.4M0.7276.6021,41215,33299,288179,777
2016-02-29$35.10$40.0030.2%9.3%35.0%49.2%39.2%9.0%-0.2%-5.2M280.7M-1.2M0.5879.9123,28413,50394,676180,000