KRE Options History — November 2016

In November 2016, KRE traded between $42.88 and $52.42. ATM implied volatility averaged 23.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.6% (HV 20d: 25.0%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2016-11-10: Highest Volume — 68,431 contracts
  • 2016-11-10: Largest IV spike — 14.1% change
  • 2016-11-14: Highest IV Rank — 33.8%
  • 2016-11-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.73$42.88$52.42$43.73$52.42
Max Pain$43.43$42.00$48.00$42.00$47.00
ATM IV23.4%20.4%27.5%21.7%22.1%
Expected Move7.0%6.4%7.9%6.8%7.1%
HV 20d25.0%16.4%29.4%16.6%29.4%
HV 60d19.8%14.9%22.3%14.9%22.2%
IV Rank19.6%9.4%33.8%13.7%15.2%
IV Percentile48.3%14.3%81.7%29.8%33.3%
Term Structure-0.1%-1.6%1.8%0.2%-0.5%
VWIV26.2%23.6%30.2%23.6%26.5%
Skew 25d4.8%3.3%6.3%5.5%3.7%
Skew 10d10.0%4.6%13.1%12.7%9.7%
Call IV 25d21.4%18.6%25.4%19.2%20.7%
Put IV 25d26.3%23.3%31.0%24.7%24.4%
Bid-Ask Spread %30.959.4587.3187.3112.28
Gamma HHI0.120.090.150.120.15
Net GEX3.5M-2.1M10.7M3.2M2.5M
Net DEX-330.5M-512.3M-24.2M-87.7M-475.6M
Net VEX-1.0M-1.2M-831.8K-906.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.848.821.421.62
Total Volume36,571.8579,95268,4319,95227,586
Total OI293,607.667209,228349,066209,228349,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$43.73$42.0021.7%6.8%16.6%13.7%23.6%5.5%0.2%3.2M-87.7M-906.9K1.4287.314,1155,83791,902117,326
2016-11-02$43.00$42.0022.2%7.1%16.4%15.5%29.7%5.1%0.1%-542.6K-34.8M-880.7K2.5141.443,5488,89592,138118,538
2016-11-03$42.88$42.0023.1%6.8%16.5%18.7%26.4%5.5%-0.2%-1.8M-30.7M-888.5K4.5317.123,28514,87692,565121,623
2016-11-04$42.98$42.0023.7%7.0%16.5%20.9%26.0%6.3%-0.2%-2.1M-24.2M-923.3K8.8218.554,94543,62692,551130,732
2016-11-07$44.25$42.0021.9%6.5%19.5%14.4%23.6%5.9%0.9%-422.4K-87.9M-1.0M3.5227.6210,06935,41991,455163,419
2016-11-08$44.10$42.0021.6%6.5%19.0%13.5%24.1%5.7%0.9%-677.2K-85.0M-1.1M1.8414.5715,47628,44897,214167,078
2016-11-09$46.41$42.0020.4%6.4%25.9%9.4%26.5%4.7%1.8%10.7M-300.7M-932.5K1.9125.6415,69229,971109,044167,454
2016-11-10$48.48$42.0023.3%7.1%27.1%19.4%27.5%5.1%1.8%8.2M-401.5M-831.8K1.9718.8523,00345,428113,724169,282
2016-11-11$49.51$42.0024.1%7.1%27.5%22.2%26.2%5.2%0.7%6.3M-435.1M-975.7K1.5020.7420,19330,216124,584196,046
2016-11-14$50.68$43.0027.5%7.9%27.3%33.8%30.2%5.6%-0.7%5.2M-402.8M-939.3K0.8821.5830,74027,202112,491171,407
2016-11-15$51.09$43.0027.4%7.9%27.3%33.4%27.7%4.9%-1.1%5.9M-452.6M-944.4K1.6516.5417,75429,214126,584179,844
2016-11-16$50.35$43.0027.4%7.9%28.2%33.7%28.6%4.6%-1.6%8.7M-419.4M-1.1M2.0976.3011,03723,091133,970181,984
2016-11-17$51.16$43.0025.9%7.5%28.2%28.4%26.1%4.6%-1.0%7.8M-483.0M-1.0M2.9377.6611,21532,835136,776184,677
2016-11-18$51.59$43.0023.7%6.8%28.1%20.8%25.0%4.1%-0.2%5.4M-512.3M-1.0M2.2564.9811,46625,806139,182195,484
2016-11-21$51.57$43.0023.2%6.8%28.3%19.0%23.8%3.7%-0.6%6.5M-451.6M-1.1M1.3128.2911,34214,887130,035184,103
2016-11-22$51.90$43.0022.6%6.7%28.0%16.9%25.8%4.5%-0.3%6.9M-486.6M-1.0M1.5111.5511,18116,839133,293186,951
2016-11-23$52.34$43.0021.9%6.6%28.0%14.5%25.2%4.8%-0.5%4.5M-503.5M-1.0M2.2113.7613,87630,607133,336194,344
2016-11-25$52.30$48.0021.9%6.7%28.2%14.6%25.1%5.0%-0.7%823.2K-483.2M-1.1M1.1033.5912,14113,341135,483212,307
2016-11-28$51.24$48.0022.8%7.1%29.4%17.4%25.8%3.5%-0.3%-1.9M-382.9M-1.2M0.849.4513,37611,171133,586208,215
2016-11-29$51.43$47.0022.7%7.2%29.4%17.2%26.5%3.3%-0.5%-1.8M-399.3M-1.2M1.0412.0513,83014,430135,802210,166
2016-11-30$52.42$47.0022.1%7.1%29.4%15.2%26.5%3.7%-0.5%2.5M-475.6M-1.1M1.6212.2810,52417,062138,143210,923