KRE Options History — March 2016

In March 2016, KRE traded between $36.52 and $38.57. ATM implied volatility averaged 25.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.4% (HV 20d: 30.7%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-03-03: Highest Volume — 81,121 contracts
  • 2016-03-11: Largest IV drop — 7.0% change
  • 2016-03-09: Highest IV Rank — 42.1%
  • 2016-03-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$36.52$38.57$36.52$37.73
Max Pain$37.95$36.00$40.00$40.00$38.00
ATM IV25.3%23.2%28.0%27.3%24.1%
Expected Move7.3%6.6%8.6%8.6%6.9%
HV 20d30.7%19.9%37.7%37.7%19.9%
HV 60d30.7%29.9%31.3%30.7%29.9%
IV Rank33.7%27.3%42.1%40.0%30.1%
IV Percentile75.1%64.7%84.9%83.7%69.4%
Term Structure-0.0%-0.8%0.9%-0.0%-0.1%
VWIV26.7%22.4%36.2%36.2%24.2%
Skew 25d4.9%3.6%6.5%5.8%4.2%
Skew 10d10.8%7.3%14.5%11.2%9.3%
Call IV 25d23.2%21.3%25.3%24.9%22.0%
Put IV 25d28.1%25.8%31.7%30.7%26.2%
Bid-Ask Spread %21.359.7481.5078.5516.82
Gamma HHI0.120.080.280.090.18
Net GEX-3.3M-8.9M10.4M-3.9M-7.8M
Net DEX126.6M5.3M234.9M234.9M48.7M
Net VEX-1.4M-1.5M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.302.330.861.93
Total Volume38,404.04510,43181,12143,89627,536
Total OI284,786.773232,119345,882275,142234,656

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$36.52$40.0027.3%8.6%37.7%40.0%36.2%5.8%-0.0%-3.9M234.9M-1.3M0.8678.5523,64520,25194,911180,231
2016-03-02$37.21$40.0026.5%8.2%36.3%37.6%33.6%3.6%-0.2%-5.0M201.5M-1.3M0.9181.5016,45514,93397,984183,606
2016-03-03$37.91$37.0026.2%7.4%36.7%36.5%25.0%4.8%0.3%-3.7M218.7M-1.4M0.7615.0446,11735,004110,825193,789
2016-03-04$38.37$36.0026.3%7.6%36.8%36.9%26.0%4.8%-0.8%-4.8M133.9M-1.5M0.6314.6437,39323,491110,029196,772
2016-03-07$38.32$38.0026.8%7.6%36.1%38.4%26.7%4.8%0.3%-4.0M134.3M-1.5M0.749.7429,75022,004110,991189,654
2016-03-08$37.39$38.0027.2%8.0%35.9%39.9%26.3%6.5%0.9%-4.1M196.2M-1.4M1.2610.8819,93925,050111,188192,010
2016-03-09$37.03$38.0028.0%8.0%36.3%42.1%30.0%6.4%0.3%-5.2M223.6M-1.4M1.3513.9114,59919,711116,559197,928
2016-03-10$37.44$38.0026.8%7.8%36.0%38.3%29.1%4.9%-0.3%-4.5M197.6M-1.5M1.3311.8514,84019,706116,641197,912
2016-03-11$38.52$37.0024.9%7.1%33.4%32.5%27.0%5.0%-0.8%-2.2M123.9M-1.5M1.3912.2615,29721,275116,781198,813
2016-03-14$38.29$37.0025.6%7.4%30.8%34.7%28.3%5.5%-0.5%-2.8M155.7M-1.4M1.6313.6717,68628,853116,607199,338
2016-03-15$37.99$38.0025.6%7.3%29.7%34.7%27.0%5.4%-0.4%-315.1K169.3M-1.4M0.6910.9343,94630,259123,331203,437
2016-03-16$37.65$38.0024.1%6.9%30.0%30.1%25.2%4.9%0.7%147.8K185.2M-1.5M1.3125.4818,30723,961135,483206,115
2016-03-17$37.82$38.0023.6%6.8%29.0%28.4%23.9%3.8%-0.2%813.1K165.6M-1.5M0.7519.7231,51223,740138,478207,404
2016-03-18$38.47$38.0023.9%6.9%29.3%29.5%25.7%4.6%-0.8%10.4M155.5M-1.4M0.8518.1927,86323,778118,963208,227
2016-03-21$38.57$38.0023.8%6.8%28.7%29.1%24.1%4.3%0.1%-2.5M6.3M-1.4M0.3015.3124,0167,17387,639144,480
2016-03-22$38.44$38.0023.2%6.7%26.9%27.3%22.4%4.5%0.3%-1.8M5.3M-1.4M0.4211.3615,1296,35591,919144,940
2016-03-23$37.96$38.0024.0%6.9%27.2%29.7%24.8%4.9%0.2%-3.6M34.2M-1.4M0.4528.4614,6226,61192,612145,371
2016-03-24$37.75$38.0024.8%7.1%27.2%32.3%26.1%4.6%0.4%-6.5M50.0M-1.4M1.3312.704,4695,96293,057145,977
2016-03-28$37.68$38.0025.2%7.4%26.3%33.5%25.9%5.4%-0.0%-6.6M53.7M-1.4M2.3318.603,4007,92789,798144,753
2016-03-29$37.63$38.0024.8%7.1%24.4%32.3%24.7%4.8%-0.1%-8.9M60.6M-1.3M0.8713.969,3338,10089,975147,702
2016-03-30$38.03$38.0023.4%6.6%20.6%27.9%24.4%4.6%-0.1%-5.1M29.6M-1.3M0.6516.049,0475,84488,824149,599
2016-03-31$37.73$38.0024.1%6.9%19.9%30.1%24.2%4.2%-0.1%-7.8M48.7M-1.2M1.9316.829,40918,12785,660148,996