KRE Options History — January 2017

In January 2017, KRE traded between $53.77 and $56.77. ATM implied volatility averaged 22.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.7% (HV 20d: 19.6%). Max pain ranged from $53.00 to $56.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.27.

Notable Days

  • 2017-01-17: Highest Volume — 62,603 contracts
  • 2017-01-17: Largest IV spike — 9.8% change
  • 2017-01-17: Highest IV Rank — 23.6%
  • 2017-01-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.42$53.77$56.77$55.55$55.52
Max Pain$55.70$53.00$56.00$53.00$56.00
ATM IV22.3%20.3%24.5%24.2%22.1%
Expected Move6.4%5.6%7.0%6.7%6.4%
HV 20d19.6%15.9%23.0%16.0%23.0%
HV 60d22.8%21.6%24.0%21.8%23.6%
IV Rank16.0%8.8%23.6%22.5%15.2%
IV Percentile37.4%10.3%64.3%59.1%37.3%
Term Structure0.1%-0.5%0.5%-0.2%0.3%
VWIV23.3%20.2%25.2%25.2%23.6%
Skew 25d3.5%2.3%4.5%3.8%3.7%
Skew 10d7.6%4.7%9.5%7.3%8.2%
Call IV 25d21.1%19.4%22.9%22.6%20.7%
Put IV 25d24.6%21.9%27.4%26.4%24.4%
Bid-Ask Spread %25.9210.5363.9061.5710.57
Gamma HHI0.110.080.140.130.08
Net GEX-15.5M-39.5M2.9M-1.0M-19.8M
Net DEX-22.1M-225.6M215.7M-136.3M45.8M
Net VEX-1.5M-1.7M-1.2M-1.2M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.997.123.180.99
Total Volume36,59024,02062,60334,98636,574
Total OI341,814258,524455,420305,364298,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$55.55$53.0024.2%6.7%16.0%22.5%25.2%3.8%-0.2%-1.0M-136.3M-1.2M3.1861.578,36626,62088,794216,570
2017-01-04$56.48$53.0023.3%6.4%16.6%19.4%24.9%3.6%0.1%2.9M-225.6M-1.2M5.5923.845,25229,38492,528227,016
2017-01-05$55.44$56.0023.7%7.0%17.5%20.8%24.7%3.2%0.0%-808.9K-128.8M-1.3M4.2717.526,36527,19993,274234,965
2017-01-06$55.86$56.0022.4%6.5%17.2%16.1%23.1%3.0%0.2%-4.9M-133.5M-1.3M2.8316.966,63618,77894,646246,666
2017-01-09$55.25$56.0023.5%6.8%16.7%20.1%24.9%3.5%0.3%-8.6M-74.3M-1.3M2.6914.466,51717,50389,496247,173
2017-01-10$55.82$56.0022.5%6.5%17.2%16.4%25.2%3.1%0.1%-7.4M-128.2M-1.3M6.3217.295,75736,40791,349253,396
2017-01-11$55.97$56.0021.9%6.3%15.9%14.3%24.0%3.4%0.2%-11.0M-123.7M-1.4M7.1214.574,93535,13392,703270,669
2017-01-12$55.18$56.0023.6%6.8%16.8%20.2%23.7%3.6%0.2%-20.4M-2.2M-1.6M3.9621.5710,87643,09593,740290,784
2017-01-13$55.87$56.0022.3%6.4%17.3%16.0%23.0%4.1%-0.1%-14.5M-104.1M-1.6M2.6213.5712,15631,85999,416310,985
2017-01-17$53.77$56.0024.5%7.0%21.7%23.6%24.7%4.5%-0.4%-31.3M215.7M-1.7M3.1511.8515,09047,51397,287316,614
2017-01-18$54.35$56.0023.6%6.8%21.5%20.5%23.4%4.1%-0.4%-37.4M139.5M-1.7M2.5213.938,52521,468104,965333,449
2017-01-19$54.08$56.0023.4%6.7%21.4%19.8%23.7%4.3%-0.3%-39.5M143.4M-1.7M4.0941.599,72439,811106,962330,063
2017-01-20$54.42$56.0022.0%6.3%20.4%14.8%21.9%4.2%-0.5%-23.2M98.9M-1.7M1.7515.1512,33721,538109,794345,626
2017-01-23$54.36$56.0020.8%5.9%20.4%10.8%22.7%3.4%0.3%-26.1M135.2M-1.6M2.8510.536,80919,40362,380196,144
2017-01-24$55.44$56.0020.4%5.9%21.7%9.4%22.8%2.9%0.4%-17.8M25.6M-1.6M2.5661.227,38718,92964,405197,482
2017-01-25$56.53$56.0020.3%5.7%22.9%8.8%20.9%2.7%0.3%-12.0M-68.4M-1.4M2.1412.6913,02527,88466,132200,749
2017-01-26$56.77$56.0020.3%5.7%22.8%8.8%21.0%2.3%0.5%-10.4M-94.0M-1.5M1.2957.6814,23418,38674,076213,350
2017-01-27$56.26$56.0020.3%5.6%22.7%8.8%20.2%2.5%0.5%-9.7M-68.2M-1.6M1.8363.909,13816,71580,530218,010
2017-01-30$55.48$56.0021.8%6.3%23.0%14.2%23.4%3.8%0.4%-16.9M42.2M-1.6M3.6818.017,35927,11376,682208,660
2017-01-31$55.52$56.0022.1%6.4%23.0%15.2%23.6%3.7%0.3%-19.8M45.8M-1.7M0.9910.5718,37718,19779,839218,911