KRE Options History — April 2016

In April 2016, KRE traded between $36.27 and $41.02. ATM implied volatility averaged 23.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.9% (HV 20d: 21.1%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-04-27: Highest Volume — 47,548 contracts
  • 2016-04-13: Largest IV drop — 9.6% change
  • 2016-04-07: Highest IV Rank — 37.5%
  • 2016-04-07: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.01$36.27$41.02$37.74$40.45
Max Pain$37.57$37.00$39.00$38.00$39.00
ATM IV23.0%20.5%26.5%23.7%22.1%
Expected Move6.6%5.9%7.6%6.7%6.6%
HV 20d21.1%17.4%23.0%18.7%23.0%
HV 60d28.7%26.9%29.9%29.9%26.9%
IV Rank26.8%18.8%37.5%28.8%23.8%
IV Percentile58.4%38.5%80.2%65.5%49.6%
Term Structure-0.1%-1.0%1.1%0.2%1.1%
VWIV23.9%20.0%26.3%24.1%24.9%
Skew 25d4.5%2.9%5.8%4.5%4.2%
Skew 10d9.2%4.3%14.5%10.3%14.5%
Call IV 25d21.1%19.3%24.3%21.3%21.1%
Put IV 25d25.6%22.2%29.5%25.8%25.3%
Bid-Ask Spread %17.359.5228.0818.2520.27
Gamma HHI0.130.100.310.120.11
Net GEX-1.4M-9.1M6.9M-3.3M59.4K
Net DEX-10.1M-100.9M146.0M46.4M-67.2M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.405.050.480.72
Total Volume24,368.819,63047,54820,77816,752
Total OI231,678.048206,618252,067252,067239,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$37.74$38.0023.7%6.7%18.7%28.8%24.1%4.5%0.2%-3.3M46.4M-1.3M0.4818.2514,0606,71891,220160,847
2016-04-04$37.72$37.0024.3%6.7%18.2%30.7%23.5%4.6%-0.2%-3.5M47.2M-1.3M0.8920.458,6017,65390,610134,187
2016-04-05$36.92$37.0025.3%7.1%19.6%33.9%24.4%5.3%-0.3%-5.9M94.4M-1.2M1.1011.188,7319,56190,904135,685
2016-04-06$37.28$37.0024.3%7.0%18.0%30.8%24.6%4.4%-0.3%-5.9M83.1M-1.2M1.1923.028,93510,65791,204137,420
2016-04-07$36.27$37.0026.5%7.6%20.3%37.5%26.0%5.2%-0.3%-7.9M143.1M-1.1M2.3912.998,87921,23991,524138,831
2016-04-08$36.48$37.0025.2%7.4%19.9%33.6%26.1%5.1%-0.2%-9.1M146.0M-1.2M1.6713.409,68716,13491,746145,627
2016-04-11$36.93$37.0025.1%7.1%17.4%33.2%26.3%5.8%-0.2%-9.0M103.7M-1.2M1.629.523,6785,95291,647143,155
2016-04-12$37.52$37.0024.8%6.8%18.4%32.2%22.9%5.2%-1.0%-6.9M68.7M-1.2M0.4014.3812,2224,90691,715143,683
2016-04-13$38.95$37.0022.4%6.5%22.7%24.8%21.3%4.7%0.1%6.9M-54.0M-1.2M0.4420.7615,7506,897100,821144,748
2016-04-14$39.30$37.0022.5%6.6%22.5%25.2%23.0%4.7%0.6%3.3M-68.3M-1.2M0.6417.719,9156,31696,508146,806
2016-04-15$39.22$37.0022.6%6.5%22.6%25.4%23.2%4.1%-0.1%-608.3K-72.3M-1.2M0.7918.469,0157,099100,668146,486
2016-04-18$39.57$37.0021.9%6.3%22.0%23.2%23.3%4.2%-0.0%-211.1K-39.0M-1.2M1.7412.263,8236,63583,470123,148
2016-04-19$40.11$37.0021.2%6.1%22.4%20.9%22.0%3.6%-0.1%1.6M-62.7M-1.2M0.5711.8616,9209,64583,825123,207
2016-04-20$40.67$37.0020.5%5.9%22.7%18.8%20.0%2.9%-0.3%3.9M-90.2M-1.2M1.6319.9111,97219,55393,054126,099
2016-04-21$40.40$37.0021.4%6.1%22.3%21.5%21.8%4.3%0.0%2.1M-71.0M-1.3M3.5822.906,39422,89794,433136,130
2016-04-22$40.78$38.0022.0%6.5%22.1%23.5%23.4%4.2%-0.5%1.1M-85.7M-1.3M4.3319.325,93825,70896,911139,438
2016-04-25$40.48$39.0022.4%6.5%22.4%24.6%24.5%4.1%-0.3%810.1K-66.9M-1.3M5.0519.944,67423,58696,428127,747
2016-04-26$41.02$39.0021.6%6.3%22.6%22.3%24.9%3.9%-0.2%1.2M-94.1M-1.3M1.3314.4918,02224,00096,380127,868
2016-04-27$40.99$39.0021.8%6.3%22.5%22.7%24.8%3.7%-0.5%2.6M-100.9M-1.3M1.5528.0818,61128,937104,906128,193
2016-04-28$40.46$39.0022.5%6.5%22.9%25.0%26.2%5.7%-0.1%320.7K-71.9M-1.3M0.9115.3018,38116,692105,653133,110
2016-04-29$40.45$39.0022.1%6.6%23.0%23.8%24.9%4.2%1.1%59.4K-67.2M-1.3M0.7220.279,7367,016105,967133,230