KRE Options History — August 2016

In August 2016, KRE traded between $39.35 and $42.99. ATM implied volatility averaged 21.4%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 16.5%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.57.

Notable Days

2016-08-10: Highest Volume — 55,603 contracts
2016-08-19: Largest IV drop — 8.2% change
2016-08-02: Highest IV Rank — 21.4%
2016-08-04: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.25	$39.35	$42.99	$39.65	$42.99
Max Pain	$39.13	$39.00	$40.00	$40.00	$39.00
ATM IV	21.4%	19.9%	22.6%	22.0%	21.8%
Expected Move	6.2%	5.6%	6.4%	6.3%	6.2%
HV 20d	16.5%	14.6%	19.3%	19.3%	14.6%
HV 60d	28.7%	27.8%	29.7%	29.0%	27.8%
IV Rank	13.3%	4.9%	21.4%	20.1%	11.4%
IV Percentile	20.4%	4.4%	38.5%	27.8%	27.4%
Term Structure	0.2%	-0.7%	1.8%	-0.0%	-0.3%
VWIV	23.7%	20.5%	26.5%	20.6%	23.4%
Skew 25d	4.4%	3.0%	6.3%	3.1%	6.3%
Skew 10d	9.5%	3.1%	13.1%	3.1%	11.8%
Call IV 25d	19.6%	18.1%	21.1%	20.9%	19.1%
Put IV 25d	24.0%	22.5%	25.4%	24.0%	25.4%
Bid-Ask Spread %	27.91	10.05	92.19	92.19	45.69
Gamma HHI	0.17	0.08	0.38	0.09	0.21
Net GEX	13.9M	2.4M	27.5M	5.0M	16.2M
Net DEX	-170.5M	-342.2M	-16.5M	-44.6M	-335.1M
Net VEX	-1.3M	-1.4M	-1.2M	-1.4M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.42	4.66	1.48	2.85
Total Volume	25,052.609	1,590	55,603	11,278	49,192
Total OI	269,486.826	244,275	304,795	254,185	304,795

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$39.65	$40.00	22.0%	6.3%	19.3%	20.1%	20.6%	3.1%	-0.0%	5.0M	-44.6M	-1.4M	1.48	92.19	4,550	6,728	133,881	120,304
2016-08-02	$39.35	$40.00	22.4%	6.4%	15.6%	21.4%	21.3%	4.0%	-0.1%	2.4M	-16.5M	-1.4M	1.07	15.89	5,797	6,189	134,128	120,367
2016-08-03	$39.85	$40.00	21.7%	6.2%	15.9%	19.2%	20.5%	4.3%	0.0%	6.4M	-57.9M	-1.4M	1.02	22.61	5,543	5,673	135,298	121,511
2016-08-04	$39.94	$39.00	21.1%	6.4%	15.6%	17.1%	26.4%	3.1%	0.1%	8.1M	-74.1M	-1.4M	1.52	16.42	5,794	8,789	136,322	122,030
2016-08-05	$41.30	$39.00	20.7%	6.4%	18.2%	15.9%	24.0%	3.9%	-0.1%	9.2M	-210.2M	-1.3M	0.95	14.39	12,325	11,674	137,257	121,660
2016-08-08	$41.17	$39.00	21.2%	6.3%	18.0%	17.5%	24.8%	3.0%	1.0%	10.5M	-162.6M	-1.4M	1.37	16.15	9,479	12,967	131,824	112,451
2016-08-09	$41.30	$39.00	19.9%	6.1%	16.4%	13.2%	25.1%	3.6%	1.8%	9.2M	-167.7M	-1.3M	1.06	20.92	9,106	9,694	131,955	117,807
2016-08-10	$40.76	$39.00	20.9%	6.3%	17.2%	13.3%	24.7%	3.6%	1.0%	6.7M	-124.5M	-1.3M	0.42	18.46	39,294	16,309	131,973	117,861
2016-08-11	$40.90	$39.00	21.3%	6.4%	16.2%	13.0%	24.4%	3.9%	1.0%	7.1M	-100.7M	-1.3M	1.41	16.66	12,759	17,942	128,930	123,176
2016-08-12	$40.67	$39.00	21.3%	6.3%	16.3%	12.8%	24.0%	4.9%	0.6%	9.9M	-89.1M	-1.4M	1.07	15.36	9,731	10,389	137,650	125,163
2016-08-15	$41.31	$39.00	21.6%	6.3%	17.1%	14.0%	25.2%	4.5%	-0.7%	14.7M	-155.5M	-1.4M	1.16	15.03	9,549	11,085	141,394	118,848
2016-08-16	$41.22	$39.00	21.8%	6.3%	17.1%	14.2%	26.0%	4.5%	0.4%	14.8M	-145.5M	-1.4M	1.33	12.92	8,292	11,021	143,046	122,931
2016-08-17	$41.30	$39.00	22.3%	6.4%	17.0%	15.5%	23.4%	4.8%	-0.3%	15.6M	-156.7M	-1.4M	0.52	19.07	13,637	7,083	143,298	123,147
2016-08-18	$41.48	$39.00	21.8%	6.2%	16.7%	11.3%	22.0%	4.8%	-0.3%	17.1M	-181.1M	-1.4M	0.47	13.08	1,085	505	151,857	126,783
2016-08-19	$41.55	$39.00	20.0%	5.6%	16.5%	4.9%	24.3%	3.6%	1.8%	19.4M	-196.1M	-1.4M	1.46	22.16	10,948	15,955	152,216	127,193
2016-08-22	$41.57	$39.00	20.9%	5.8%	16.3%	8.2%	24.2%	4.7%	-0.3%	18.1M	-183.4M	-1.3M	2.05	89.37	6,821	13,991	147,120	121,335
2016-08-23	$41.70	$39.00	20.9%	5.8%	16.2%	8.2%	23.1%	4.2%	-0.3%	19.0M	-201.2M	-1.3M	3.20	10.05	5,495	17,607	147,583	121,617
2016-08-24	$41.63	$39.00	22.5%	6.2%	16.3%	14.0%	21.0%	4.9%	-0.6%	16.6M	-187.1M	-1.3M	0.76	57.05	13,357	10,185	149,111	124,739
2016-08-25	$41.79	$39.00	22.6%	6.3%	16.3%	14.3%	26.5%	5.3%	-0.5%	19.4M	-217.9M	-1.4M	1.41	24.59	17,729	25,036	162,301	133,963
2016-08-26	$42.10	$39.00	21.8%	6.1%	16.2%	11.5%	24.1%	6.2%	-0.5%	23.6M	-262.7M	-1.4M	4.66	12.84	5,298	24,687	165,647	135,747
2016-08-29	$42.42	$39.00	20.9%	5.8%	15.3%	8.4%	24.8%	4.0%	-0.2%	27.5M	-308.8M	-1.3M	2.50	14.56	8,750	21,906	165,819	132,219
2016-08-30	$42.85	$39.00	20.3%	5.8%	14.9%	6.1%	21.8%	5.8%	0.0%	22.6M	-342.2M	-1.2M	2.42	56.57	13,544	32,720	161,212	132,728
2016-08-31	$42.99	$39.00	21.8%	6.2%	14.6%	11.4%	23.4%	6.3%	-0.3%	16.2M	-335.1M	-1.2M	2.85	45.69	12,784	36,408	160,414	144,381