KRE Options History — June 2016

In June 2016, KRE traded between $35.53 and $41.98. ATM implied volatility averaged 26.8%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.3% (HV 20d: 24.5%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.95.

Notable Days

  • 2016-06-17: Highest Volume — 57,520 contracts
  • 2016-06-24: Largest IV spike — 29.9% change
  • 2016-06-24: Highest IV Rank — 61.0%
  • 2016-06-27: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.63$35.53$41.98$41.81$38.33
Max Pain$40.32$38.00$41.00$38.00$40.00
ATM IV26.8%20.3%34.5%24.7%25.5%
Expected Move7.7%6.0%10.4%6.5%7.4%
HV 20d24.5%17.5%42.0%20.7%42.0%
HV 60d22.7%20.1%30.2%21.2%30.2%
IV Rank37.7%18.3%61.0%31.9%31.5%
IV Percentile70.6%23.8%94.8%66.3%67.9%
Term Structure-0.4%-1.7%1.2%-0.6%0.4%
VWIV27.0%20.2%37.2%23.1%29.4%
Skew 25d5.0%2.4%10.4%3.5%4.0%
Skew 10d10.6%1.3%19.1%11.9%10.8%
Call IV 25d24.4%19.6%31.3%20.9%24.3%
Put IV 25d29.4%23.2%37.9%24.5%28.3%
Bid-Ask Spread %46.389.3699.1320.1285.78
Gamma HHI0.120.050.210.150.05
Net GEX912.3K-10.4M12.6M6.0M-3.6M
Net DEX-27.8M-190.7M153.9M-172.7M62.5M
Net VEX-1.1M-1.3M-976.8K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.175.673.011.91
Total Volume32,390.09110,02957,52010,02940,689
Total OI252,574.364190,459309,154266,248230,455

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$41.81$38.0024.7%6.5%20.7%31.9%23.1%3.5%-0.6%6.0M-172.7M-1.1M3.0120.122,4987,531109,717156,531
2016-06-02$41.98$41.0022.9%6.0%19.3%26.2%20.8%3.0%-0.5%6.0M-170.8M-1.1M2.489.362,9997,444109,616156,686
2016-06-03$41.22$41.0022.1%6.4%20.5%23.9%21.5%2.4%0.1%6.1M-132.9M-1.1M1.5319.5313,70121,017109,547156,887
2016-06-06$41.86$41.0022.8%6.1%21.0%26.1%20.4%3.2%-0.5%8.6M-190.7M-1.1M0.1716.8230,1915,162116,061161,098
2016-06-07$41.57$41.0020.3%6.0%21.3%18.3%20.2%3.8%1.2%8.8M-162.6M-1.1M0.4216.4112,1885,150120,535152,396
2016-06-08$41.69$41.0021.3%6.1%20.6%21.2%21.3%3.0%-0.6%12.6M-182.5M-1.1M0.7618.926,4464,929125,038152,544
2016-06-09$41.15$41.0022.5%6.5%21.3%25.0%21.7%3.6%0.4%10.2M-150.0M-1.1M0.8722.149,6038,373126,475152,576
2016-06-10$40.54$41.0024.2%6.8%22.0%29.9%24.9%4.4%-0.8%-4.4M-98.3M-1.1M4.1385.865,49522,702126,931155,956
2016-06-13$39.98$41.0029.1%8.3%21.5%45.3%27.5%6.8%-1.0%1.7M-47.8M-1.2M0.8124.3628,13522,894127,043164,609
2016-06-14$39.12$41.0030.8%8.8%22.5%50.6%29.0%6.5%-1.0%-5.5M30.1M-1.2M1.6130.3914,17922,866124,226174,402
2016-06-15$39.29$40.0029.6%8.5%22.6%46.9%32.4%5.6%-1.7%-10.4M7.1M-1.2M0.9740.2413,65313,223125,004180,137
2016-06-16$38.78$40.0030.1%8.7%19.2%48.3%29.2%4.5%-1.1%-5.1M23.7M-1.2M1.0580.2916,47517,257126,022183,132
2016-06-17$38.80$40.0028.8%8.3%19.0%44.2%26.8%5.6%-0.6%-2.7M51.6M-1.2M0.7943.0132,22025,300118,904184,794
2016-06-20$39.17$40.0028.1%8.2%19.1%42.0%28.1%7.2%-0.5%295.5K30.1M-1.2M1.7237.2212,95922,25091,06999,390
2016-06-21$39.34$40.0027.0%8.0%19.2%38.5%28.7%5.4%-0.4%530.9K25.4M-1.2M3.3518.627,28224,40496,478102,186
2016-06-22$39.32$40.0027.0%8.4%17.5%38.6%27.7%6.7%-0.0%159.1K30.7M-1.3M2.5980.669,78025,36396,821107,352
2016-06-23$40.55$40.0026.5%7.5%20.2%35.6%27.4%3.4%-1.2%4.9M-29.5M-1.3M1.8999.139,09717,18699,090108,879
2016-06-24$37.71$40.0034.5%10.0%32.4%61.0%36.4%10.4%-0.8%-829.0K97.0M-1.1M4.3787.556,52928,53399,977109,111
2016-06-27$35.53$40.0034.4%10.4%37.3%60.6%37.2%6.6%0.1%-4.4M153.9M-976.8K5.6724.757,01939,81896,710101,210
2016-06-28$36.56$40.0029.8%8.8%39.4%45.6%29.5%4.2%-0.2%-5.0M120.1M-1.0M1.3580.7316,14221,77097,305111,727
2016-06-29$37.55$40.0027.4%8.2%41.1%37.8%31.1%5.0%0.2%-3.9M93.9M-1.1M1.3778.4521,97730,153100,121111,888
2016-06-30$38.33$40.0025.5%7.4%42.0%31.5%29.4%4.0%0.4%-3.6M62.5M-1.1M1.9185.7813,96226,727105,368125,087