KRE Options History — October 2016

In October 2016, KRE traded between $41.75 and $43.97. ATM implied volatility averaged 19.9%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.9% (HV 20d: 18.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2016-10-27: Highest Volume — 23,339 contracts
  • 2016-10-13: Largest IV spike — 11.5% change
  • 2016-10-17: Highest IV Rank — 15.5%
  • 2016-10-17: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.98$41.75$43.97$41.99$43.85
Max Pain$41.95$41.00$42.00$42.00$42.00
ATM IV19.9%17.7%22.6%19.9%20.0%
Expected Move5.8%5.2%6.4%5.7%6.1%
HV 20d18.0%16.2%20.4%16.7%16.8%
HV 60d15.8%14.9%16.6%15.6%14.9%
IV Rank6.3%0.0%15.5%5.8%7.9%
IV Percentile12.1%0.0%46.4%6.3%11.9%
Term Structure0.2%-0.9%1.1%0.7%0.2%
VWIV22.8%18.2%26.6%21.1%20.9%
Skew 25d5.1%3.8%6.3%5.6%5.3%
Skew 10d9.3%3.6%13.5%9.4%10.9%
Call IV 25d18.0%15.9%20.6%17.7%18.2%
Put IV 25d23.1%20.3%26.9%23.3%23.4%
Bid-Ask Spread %33.6811.4689.6889.6825.34
Gamma HHI0.110.100.130.100.13
Net GEX2.5M-6.5M7.2M1.7M5.8M
Net DEX-61.8M-106.8M17.5M-31.9M-98.1M
Net VEX-835.8K-918.6K-795.5K-820.1K-901.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.503.861.233.59
Total Volume13,457.4297,09823,3397,68916,429
Total OI188,679.476165,126216,132165,126207,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$41.99$42.0019.9%5.7%16.7%5.8%21.1%5.6%0.7%1.7M-31.9M-820.1K1.2389.683,4464,24376,45888,668
2016-10-04$42.45$42.0019.6%5.6%16.2%5.0%21.2%5.5%0.9%3.0M-49.5M-824.4K0.7033.954,1842,91476,57688,713
2016-10-05$43.26$42.0018.8%5.3%17.3%2.1%20.3%5.9%1.0%6.3M-88.4M-821.0K1.0589.014,0454,26578,11288,940
2016-10-06$43.26$41.0019.1%5.9%17.3%3.4%24.8%4.7%1.1%4.8M-86.9M-848.9K3.0317.692,9558,96279,96590,735
2016-10-07$43.24$42.0019.5%5.8%17.2%4.5%25.4%5.4%0.8%2.4M-86.9M-848.5K1.8517.294,1787,74280,46893,622
2016-10-10$43.43$42.0019.6%5.8%17.2%4.9%25.5%4.8%0.5%6.4M-98.2M-824.2K0.8911.503,8923,46080,73290,621
2016-10-11$42.92$42.0020.9%6.0%16.8%9.4%23.2%3.9%-0.0%4.7M-72.8M-803.1K3.3111.463,97413,15281,00691,030
2016-10-12$42.90$42.0020.1%5.9%16.6%6.7%25.3%4.6%0.8%1.9M-55.0M-860.1K1.1821.673,2953,89681,749101,542
2016-10-13$41.83$42.0022.4%6.4%18.8%14.8%23.6%6.2%0.3%-2.4M8.3M-819.8K2.7424.034,19411,47581,902102,137
2016-10-14$42.11$42.0022.0%6.3%18.4%13.4%23.9%6.3%0.3%-1.9M-5.0M-874.1K3.8619.363,30112,73083,450111,363
2016-10-17$41.75$42.0022.6%6.4%18.7%15.5%25.8%5.4%-0.3%-5.7M17.5M-841.0K3.4019.072,9299,97181,906111,245
2016-10-18$42.11$42.0021.7%6.2%18.9%12.4%25.1%5.7%-0.9%-6.5M1.1M-837.4K1.6718.983,1445,25782,120116,182
2016-10-19$43.04$42.0020.0%5.7%20.4%6.2%26.6%5.2%-0.4%1.2M-64.7M-830.3K1.2621.154,3165,44883,828116,362
2016-10-20$43.08$42.0020.0%5.8%20.3%6.3%24.5%4.8%-0.8%3.2M-72.5M-828.3K2.2719.764,52510,29385,188117,720
2016-10-21$43.20$42.0019.4%5.6%20.3%4.1%22.5%5.2%-0.8%3.3M-74.8M-812.7K3.0923.154,39413,57185,479122,636
2016-10-24$43.54$42.0017.7%5.2%18.5%0.0%22.5%4.2%0.3%4.2M-83.7M-813.6K1.8075.216,06110,94082,513113,206
2016-10-25$43.42$42.0017.9%5.3%18.5%0.6%19.1%4.6%0.3%3.8M-75.4M-816.9K2.6824.294,52612,14582,976113,579
2016-10-26$43.71$42.0018.5%5.6%18.2%2.5%18.2%4.7%0.3%4.6M-88.4M-795.5K0.9721.247,5567,30481,611115,425
2016-10-27$43.97$42.0018.0%5.5%17.6%1.0%19.2%3.8%0.5%7.2M-106.8M-812.1K0.5036.6315,5977,74283,611115,734
2016-10-28$43.57$42.0019.5%5.9%17.2%6.2%19.3%4.7%0.2%4.7M-86.2M-918.6K2.9286.755,14015,01592,558123,574
2016-10-31$43.85$42.0020.0%6.1%16.8%7.9%20.9%5.3%0.2%5.8M-98.1M-901.8K3.5925.343,58012,84991,189115,838