KRE Options History — December 2016

In December 2016, KRE traded between $53.07 and $56.44. ATM implied volatility averaged 22.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.5% (HV 20d: 20.3%). Max pain ranged from $47.00 to $53.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-12-08: Highest Volume — 42,707 contracts
  • 2016-12-08: Largest IV spike — 12.3% change
  • 2016-12-12: Highest IV Rank — 25.9%
  • 2016-12-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.18$53.07$56.44$53.25$55.51
Max Pain$49.71$47.00$53.00$48.00$53.00
ATM IV22.7%20.6%25.2%23.7%23.5%
Expected Move6.6%5.8%7.9%7.9%6.4%
HV 20d20.3%16.1%27.9%27.8%16.1%
HV 60d22.2%21.8%22.8%22.3%21.9%
IV Rank17.4%10.1%25.9%20.6%20.0%
IV Percentile39.6%12.3%66.3%54.0%52.8%
Term Structure0.4%-0.5%1.0%-0.5%0.5%
VWIV24.1%20.5%29.3%27.6%23.0%
Skew 25d3.5%2.5%5.1%5.1%3.9%
Skew 10d7.2%1.9%16.7%16.7%7.2%
Call IV 25d21.6%19.2%24.4%21.7%21.8%
Put IV 25d25.1%22.3%28.3%26.8%25.7%
Bid-Ask Spread %17.219.1664.8132.9620.42
Gamma HHI0.150.090.290.130.12
Net GEX5.5M-4.7M12.4M2.6M-3.3M
Net DEX-424.6M-696.8M-143.1M-515.3M-147.2M
Net VEX-1.0M-1.2M-870.1K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.644.211.452.96
Total Volume28,76622,15742,70731,85127,082
Total OI341,299.571259,794416,332354,315317,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$53.25$48.0023.7%7.9%27.8%20.6%27.6%5.1%-0.5%2.6M-515.3M-1.1M1.4532.9612,99118,860139,193215,122
2016-12-02$53.07$49.0023.0%7.4%27.9%18.3%29.3%4.3%-0.3%2.7M-511.6M-1.1M4.2164.817,96933,571145,684225,765
2016-12-05$53.59$47.0021.9%6.2%27.7%14.4%23.4%3.6%0.3%2.8M-550.2M-942.2K3.1911.495,96919,020141,292209,921
2016-12-06$54.43$47.0021.3%6.3%26.9%12.3%22.7%3.9%0.2%2.4M-598.4M-870.1K1.629.4610,06716,260142,378216,717
2016-12-07$55.04$47.0022.3%6.6%26.4%15.8%23.7%3.7%0.5%4.4M-641.9M-877.5K1.209.1614,05116,804147,079222,868
2016-12-08$55.93$47.0025.0%7.3%22.0%25.3%26.2%3.1%0.2%4.2M-693.2M-906.8K1.2010.4019,44623,261154,811228,348
2016-12-09$55.90$47.0024.6%7.2%18.1%23.9%26.4%3.3%0.5%5.2M-696.8M-1.0M1.3610.1012,72517,297165,371243,747
2016-12-12$54.94$47.0025.2%7.3%19.2%25.9%25.9%4.4%0.4%5.2M-619.5M-1.1M1.4811.3410,09714,945164,773235,475
2016-12-13$55.11$47.0024.6%7.1%18.0%23.7%27.8%3.1%0.2%6.9M-643.1M-1.1M1.1811.0312,79715,037169,301237,831
2016-12-14$54.93$47.0025.0%7.2%18.1%25.1%26.4%3.4%0.2%7.9M-640.4M-1.1M1.2512.569,91412,384174,182242,150
2016-12-15$55.59$47.0023.8%6.8%17.0%20.9%24.4%2.9%0.1%7.3M-666.6M-953.2K1.4211.2611,08815,751165,818244,103
2016-12-16$54.75$52.0022.7%6.5%17.9%17.1%24.4%2.5%0.1%-4.7M-211.3M-1.0M1.6211.9410,85417,58995,892249,826
2016-12-19$55.01$52.0021.6%6.2%17.8%13.4%21.3%3.1%0.9%4.7M-165.2M-1.0M0.6415.5713,5078,65080,147179,647
2016-12-20$56.02$52.0020.8%6.0%18.5%10.8%22.1%2.9%0.8%10.4M-248.1M-954.4K1.3823.2111,77816,27085,231179,912
2016-12-21$56.03$52.0020.7%5.9%18.6%10.2%22.3%3.0%0.8%11.1M-246.5M-990.0K1.0817.3012,71713,77787,840186,819
2016-12-22$56.07$52.0021.1%6.0%18.5%11.7%21.9%3.3%1.0%12.4M-253.7M-1.0M1.6410.879,70815,92791,806189,995
2016-12-23$56.11$52.0020.6%5.8%18.5%10.1%20.5%3.1%1.0%10.6M-249.9M-1.0M1.6711.0112,88821,51892,523197,002
2016-12-27$56.44$53.0021.5%5.9%16.2%13.1%21.9%3.8%0.6%9.2M-266.3M-1.0M1.5110.419,43414,21993,506201,219
2016-12-28$55.85$53.0022.1%6.1%17.1%15.1%22.3%3.2%0.6%8.9M-209.0M-1.1M1.4921.289,24913,73795,391206,317
2016-12-29$55.28$53.0022.8%6.3%16.8%17.6%23.3%4.1%0.7%3.5M-143.1M-1.1M2.2724.7410,68024,19896,370208,725
2016-12-30$55.51$53.0023.5%6.4%16.1%20.0%23.0%3.9%0.5%-3.3M-147.2M-1.2M2.9620.426,83520,24798,324218,870