KRE Options History — September 2016

In September 2016, KRE traded between $41.31 and $42.99. ATM implied volatility averaged 21.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.0% (HV 20d: 13.2%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2016-09-09: Highest Volume — 70,300 contracts
  • 2016-09-29: Largest IV spike — 11.9% change
  • 2016-09-13: Highest IV Rank — 22.9%
  • 2016-09-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.15$41.31$42.99$42.64$42.37
Max Pain$41.57$39.00$42.00$39.00$42.00
ATM IV21.2%18.2%25.0%22.4%18.7%
Expected Move6.0%5.2%7.0%6.5%5.3%
HV 20d13.2%10.4%16.8%15.2%16.8%
HV 60d23.0%15.4%27.9%27.9%15.8%
IV Rank9.8%0.0%22.9%13.8%1.8%
IV Percentile23.5%0.0%66.3%37.3%1.6%
Term Structure-0.1%-1.0%0.3%-0.2%0.1%
VWIV21.9%18.2%27.1%23.3%19.4%
Skew 25d4.9%3.7%6.2%5.3%5.1%
Skew 10d9.4%3.6%13.7%10.3%8.0%
Call IV 25d19.4%16.3%22.6%20.1%16.8%
Put IV 25d24.2%20.6%28.4%25.4%21.9%
Bid-Ask Spread %39.8710.8685.8313.1224.49
Gamma HHI0.180.080.460.210.10
Net GEX2.8M-23.1M15.9M11.1M2.6M
Net DEX-102.1M-336.8M60.1M-278.3M-51.1M
Net VEX-1.0M-1.3M-832.1K-1.3M-855.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.453.232.912.35
Total Volume33,166.52412,50270,30045,04212,502
Total OI260,852.476185,110342,768320,859188,100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$42.64$39.0022.4%6.5%15.2%13.8%23.3%5.3%-0.2%11.1M-278.3M-1.3M2.9113.1211,53233,510161,564159,295
2016-09-02$42.99$40.0020.3%5.6%10.4%6.2%21.8%5.0%-0.1%14.2M-336.8M-1.2M3.2362.6211,62937,520167,740175,028
2016-09-06$42.28$41.0021.9%6.3%12.2%11.8%21.6%3.7%-0.4%5.4M-176.2M-1.2M0.8210.8626,02821,330149,423153,292
2016-09-07$42.63$41.0021.8%6.0%12.5%11.4%21.8%4.9%-0.2%-629.7K-186.4M-1.1M0.9221.3423,91821,976141,511160,125
2016-09-08$42.74$41.0021.8%6.0%11.2%11.7%22.0%4.8%-0.2%-6.7M-196.7M-1.1M1.1013.9224,36526,769141,879167,394
2016-09-09$42.57$41.0024.0%6.5%11.4%19.5%24.5%5.1%-0.5%-23.1M-182.8M-1.1M0.4517.2448,41721,883142,602167,658
2016-09-12$42.73$42.0023.3%6.4%11.0%17.0%24.4%6.2%-1.0%15.9M-232.6M-1.1M1.1025.2924,83027,327165,200156,219
2016-09-13$42.06$42.0025.0%7.0%11.7%22.9%27.1%5.9%-0.5%12.3M-150.5M-1.1M0.9925.0823,30623,061163,214156,289
2016-09-14$41.79$42.0024.4%6.9%11.9%20.7%26.8%5.4%-0.4%7.8M-99.4M-1.0M2.5217.537,53518,964164,851165,360
2016-09-15$42.17$42.0022.5%6.4%12.3%14.0%25.6%4.8%-0.3%15.1M-153.3M-983.8K0.9621.1222,20921,421165,067165,350
2016-09-16$41.67$42.0022.3%6.2%13.1%13.4%22.3%3.8%-0.9%10.2M60.1M-975.7K2.2829.3310,52823,994134,339165,063
2016-09-19$41.72$42.0021.1%6.0%13.0%8.8%19.8%5.5%0.1%463.7K-3.4M-942.2K2.9525.684,71413,91890,939108,881
2016-09-20$41.79$42.0020.0%5.7%13.1%5.2%21.1%4.8%0.3%-1.2M-8.3M-960.2K1.0169.1811,99212,14092,672115,150
2016-09-21$41.94$42.0019.5%5.6%13.1%3.4%21.5%5.2%0.1%133.6K-15.9M-927.7K1.5047.947,08010,58797,131116,666
2016-09-22$42.21$42.0018.4%5.3%13.2%0.0%18.3%4.2%0.1%4.7M-47.8M-913.3K2.9875.425,27715,71998,573116,693
2016-09-23$42.22$42.0018.2%5.2%13.2%0.0%18.2%4.2%0.3%209.6K-32.0M-891.8K2.8474.305,71416,21199,715121,730
2016-09-26$41.31$42.0020.2%5.8%15.1%7.0%19.6%4.1%0.3%-4.6M9.0M-844.7K3.1572.224,92315,51083,419102,112
2016-09-27$41.64$42.0019.6%5.6%15.1%5.0%18.8%3.9%0.2%-2.5M-5.1M-860.6K2.5123.274,37710,98583,413102,713
2016-09-28$42.12$42.0018.7%5.3%15.3%1.8%18.4%5.4%0.1%2.9M-42.4M-857.0K1.0785.839,78410,44183,672102,750
2016-09-29$41.64$42.0020.9%6.1%15.6%9.6%22.6%4.9%0.3%-5.0M-14.4M-832.1K2.2681.453,8588,71382,312102,798
2016-09-30$42.37$42.0018.7%5.3%16.8%1.8%19.4%5.1%0.1%2.6M-51.1M-855.7K2.3524.493,7378,76582,167105,933