KRE Options History — July 2016

In July 2016, KRE traded between $36.87 and $40.37. ATM implied volatility averaged 23.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 14.7% (HV 20d: 38.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.52.

Notable Days

  • 2016-07-07: Highest Volume — 59,419 contracts
  • 2016-07-08: Largest IV drop — 9.0% change
  • 2016-07-05: Highest IV Rank — 39.5%
  • 2016-07-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.39$36.87$40.37$38.00$40.14
Max Pain$38.77$38.00$40.00$40.00$39.50
ATM IV23.4%21.2%27.9%25.7%21.2%
Expected Move6.7%6.0%7.9%7.3%6.0%
HV 20d38.1%19.0%44.2%41.7%19.0%
HV 60d29.7%28.9%30.3%29.7%28.9%
IV Rank24.8%17.5%39.5%32.1%17.5%
IV Percentile43.3%17.9%81.0%69.8%17.9%
Term Structure0.2%-0.9%1.0%0.2%0.2%
VWIV23.6%20.5%27.6%27.6%21.2%
Skew 25d3.8%2.1%4.9%4.3%2.9%
Skew 10d7.4%1.8%12.9%11.0%1.8%
Call IV 25d22.0%19.9%26.2%23.6%20.2%
Put IV 25d25.8%23.1%30.7%27.9%23.1%
Bid-Ask Spread %50.8215.9691.1891.1888.63
Gamma HHI0.090.060.140.060.11
Net GEX2.3M-5.0M10.4M-3.4M8.7M
Net DEX-47.6M-126.8M102.8M78.0M-102.2M
Net VEX-1.4M-1.6M-1.1M-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.4511.341.212.75
Total Volume31,388.313,97159,41943,98121,369
Total OI257,685.95226,212304,475237,206264,551

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$38.00$40.0025.7%7.3%41.7%32.1%27.6%4.3%0.2%-3.4M78.0M-1.1M1.2191.1819,90624,075107,908129,298
2016-07-05$36.87$38.0027.9%7.9%42.0%39.5%27.4%4.5%-0.0%-4.8M102.8M-1.1M0.8475.3115,79513,340112,520113,692
2016-07-06$37.13$38.0027.6%7.9%42.3%38.4%27.2%4.4%0.1%-5.0M95.5M-1.1M0.6876.8521,53114,543112,755115,050
2016-07-07$37.56$38.0027.4%7.7%42.6%37.8%27.1%4.4%-0.1%-2.4M64.6M-1.2M0.4543.8940,84318,576118,626115,609
2016-07-08$38.27$38.0024.9%7.3%43.3%29.7%25.7%4.3%0.1%2.2M-9.9M-1.4M0.9880.8417,41217,067146,288121,705
2016-07-11$38.81$38.0024.7%7.1%43.6%28.9%25.0%4.1%-0.1%3.4M-33.0M-1.4M0.5127.3425,11112,723144,968112,131
2016-07-12$39.70$38.0023.8%6.8%44.2%26.2%23.4%3.7%-0.2%5.1M-88.9M-1.4M1.3434.4519,72926,473146,067116,724
2016-07-13$39.64$38.0023.3%6.5%43.5%24.3%23.8%4.9%-0.9%2.9M-75.9M-1.5M4.7722.665,81427,730156,934130,819
2016-07-14$40.33$38.0022.4%6.6%43.8%21.4%22.7%3.2%0.5%5.1M-126.8M-1.5M5.6915.965,04428,685157,198134,029
2016-07-15$40.37$38.0022.1%6.4%43.5%20.3%22.5%3.4%1.0%1.7M-118.9M-1.6M6.5090.254,81831,315158,148146,327
2016-07-18$40.21$39.0022.4%6.4%43.6%21.5%22.5%3.7%-0.1%3.7M-88.9M-1.5M11.3425.452,63629,880124,629121,367
2016-07-19$40.17$39.0022.2%6.4%43.5%20.8%20.5%3.4%0.3%2.3M-78.9M-1.5M6.2723.243,24620,365124,715127,341
2016-07-20$40.01$39.0021.6%6.2%43.5%19.0%22.3%3.5%0.5%363.1K-63.5M-1.5M5.9319.623,36619,971124,818130,493
2016-07-21$39.72$39.5022.4%6.4%43.6%21.6%22.5%4.0%0.4%-1.2M-41.9M-1.5M5.4885.193,39418,592124,862130,759
2016-07-22$40.11$39.5021.4%6.1%42.3%18.3%23.3%2.1%0.4%-966.5K-76.7M-1.5M2.1389.989,26119,772124,970130,475
2016-07-25$39.93$39.5022.5%6.4%32.7%21.7%20.9%3.8%0.3%4.0M-67.9M-1.5M1.4461.568,58712,386128,770121,130
2016-07-26$40.20$39.5022.0%6.3%22.9%20.3%22.0%4.4%0.2%6.5M-96.2M-1.5M3.3317.263,22310,748133,812122,813
2016-07-27$40.29$39.5021.3%6.1%21.4%18.1%21.4%3.6%0.4%7.2M-107.1M-1.5M1.8728.436,14911,470133,952124,467
2016-07-28$40.36$39.5021.3%6.0%19.8%17.9%22.9%4.0%0.3%10.4M-116.1M-1.5M6.8518.354,18128,640136,991126,008
2016-07-29$40.14$39.5021.2%6.0%19.0%17.5%21.2%2.9%0.2%8.7M-102.2M-1.5M2.7588.635,70515,664137,318127,233