KRE Options History — May 2016

In May 2016, KRE traded between $38.42 and $41.76. ATM implied volatility averaged 24.2%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.0% (HV 20d: 21.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.47.

Notable Days

  • 2016-05-13: Highest Volume — 44,400 contracts
  • 2016-05-27: Largest IV spike — 7.9% change
  • 2016-05-06: Highest IV Rank — 37.4%
  • 2016-05-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.91$38.42$41.76$40.59$41.76
Max Pain$38.14$38.00$39.00$39.00$38.00
ATM IV24.2%21.3%26.5%22.9%21.3%
Expected Move7.1%6.3%7.9%7.0%6.6%
HV 20d21.2%17.3%24.2%22.9%22.7%
HV 60d24.0%21.2%27.1%26.9%21.2%
IV Rank30.4%21.4%37.4%26.4%21.4%
IV Percentile63.5%34.5%79.8%57.1%34.5%
Term Structure0.2%-0.8%2.8%-0.2%-0.4%
VWIV24.6%21.4%29.7%26.6%24.3%
Skew 25d4.7%2.9%5.9%3.9%5.3%
Skew 10d8.2%-2.4%22.7%9.3%5.3%
Call IV 25d22.0%20.0%23.9%21.4%20.0%
Put IV 25d26.7%24.2%29.0%25.3%25.3%
Bid-Ask Spread %13.048.7820.4410.5414.45
Gamma HHI0.120.100.160.110.14
Net GEX-564.4K-4.7M6.2M1.1M6.2M
Net DEX-38.8M-157.3M66.7M-79.5M-157.3M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.956.734.143.04
Total Volume23,480.2389,70244,40014,4139,702
Total OI251,920.667227,702284,917233,526265,553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$40.59$39.0022.9%7.0%22.9%26.4%26.6%3.9%-0.2%1.1M-79.5M-1.3M4.1410.542,80411,609105,288128,238
2016-05-03$39.66$39.0024.5%7.5%23.2%31.2%27.3%5.1%-0.4%-2.1M-13.4M-1.3M4.5314.642,60511,796105,512132,989
2016-05-04$38.98$39.0025.7%7.9%24.2%35.1%27.6%4.3%-0.4%-3.2M33.3M-1.2M4.1720.444,63919,353105,533134,535
2016-05-05$38.71$38.0025.9%7.5%21.8%35.7%22.7%5.6%0.6%-3.3M48.6M-1.2M3.2612.754,30414,031105,901138,232
2016-05-06$38.85$38.0026.5%7.2%21.8%37.4%23.2%5.5%-0.1%-3.6M55.0M-1.2M1.2011.2712,48515,027106,194139,290
2016-05-09$38.79$38.0024.5%7.2%21.6%31.3%22.6%4.5%0.5%-3.9M36.2M-1.1M1.238.9910,51812,93596,429133,241
2016-05-10$39.47$38.0023.3%7.2%21.7%27.6%24.4%3.8%1.3%-2.8M-11.8M-1.1M1.738.7810,48818,10996,599131,103
2016-05-11$39.33$38.0023.1%7.1%17.4%26.8%21.4%5.0%2.0%-3.5M-5.2M-1.1M1.7011.6110,43417,76896,629135,328
2016-05-12$39.11$38.0023.6%7.1%17.3%28.6%21.9%2.9%0.9%-4.7M16.8M-1.1M1.4912.0510,34315,38896,709136,722
2016-05-13$38.42$38.0025.3%7.7%18.4%33.9%24.5%5.9%2.8%-3.9M66.7M-1.1M2.6113.9712,29232,10896,740136,977
2016-05-16$38.99$38.0025.3%7.3%18.9%33.7%29.7%5.8%0.3%-3.5M13.9M-1.2M6.5811.424,21027,69199,316142,643
2016-05-17$38.92$38.0025.6%7.4%18.1%34.7%28.2%5.1%-0.2%-4.2M29.5M-1.2M6.7013.414,15727,846100,297152,793
2016-05-18$40.28$38.0025.4%7.3%21.6%34.0%25.9%5.2%-0.8%-234.3K-69.5M-1.2M1.4617.4116,69124,366101,068158,312
2016-05-19$39.94$38.0025.7%7.3%21.6%34.9%28.3%5.4%-0.2%294.1K-66.5M-1.3M6.7313.723,87626,098113,865166,744
2016-05-20$40.29$38.0024.9%7.2%21.6%32.5%22.3%4.7%-0.6%-192.3K-95.7M-1.3M3.919.473,32712,994114,467170,450
2016-05-23$40.24$38.0024.5%7.1%21.4%31.4%23.8%4.8%-0.5%93.3K-60.5M-1.2M4.429.022,1849,664103,586159,393
2016-05-24$41.06$38.0023.3%6.7%22.2%27.5%23.7%3.7%-0.1%3.5M-111.9M-1.2M0.9513.6710,65910,175103,721159,578
2016-05-25$41.68$38.0022.8%6.5%22.8%25.9%23.5%4.1%-0.5%6.1M-156.1M-1.2M4.8014.463,43516,479108,828160,509
2016-05-26$41.32$38.0021.4%6.3%22.5%21.7%23.2%4.9%0.3%4.1M-131.2M-1.2M3.8415.253,29612,661109,561165,698
2016-05-27$41.71$38.0023.1%6.3%22.7%27.0%22.4%3.1%-0.6%5.8M-155.6M-1.2M4.3716.412,70611,832109,817165,946
2016-05-31$41.76$38.0021.3%6.6%22.7%21.4%24.3%5.3%-0.4%6.2M-157.3M-1.2M3.0414.452,4037,299109,578155,975