KRE Options History — February 2017

In February 2017, KRE traded between $54.56 and $57.97. ATM implied volatility averaged 20.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.3% (HV 20d: 20.9%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2017-02-17: Highest Volume — 60,557 contracts
  • 2017-02-28: Largest IV spike — 6.2% change
  • 2017-02-28: Highest IV Rank — 23.5%
  • 2017-02-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.75$54.56$57.97$55.35$57.45
Max Pain$54.74$54.00$56.00$56.00$55.00
ATM IV20.5%19.3%21.8%21.6%21.7%
Expected Move6.0%5.5%6.5%6.1%6.5%
HV 20d20.9%16.4%24.4%23.0%16.4%
HV 60d20.6%18.7%24.0%23.6%18.7%
IV Rank12.6%8.4%23.5%13.6%23.5%
IV Percentile15.4%4.0%33.7%27.0%33.7%
Term Structure0.4%-0.0%1.5%0.4%0.1%
VWIV21.8%19.8%23.9%21.3%23.9%
Skew 25d3.1%2.5%3.7%3.7%3.2%
Skew 10d5.7%3.2%8.3%6.5%4.8%
Call IV 25d19.5%18.3%20.6%20.5%20.6%
Put IV 25d22.6%20.9%24.2%24.2%23.7%
Bid-Ask Spread %14.883.5671.7916.0613.54
Gamma HHI0.100.080.200.080.10
Net GEX-7.2M-29.0M9.3M-17.1M-1.1M
Net DEX-116.0M-291.5M139.0M37.0M-110.4M
Net VEX-1.6M-1.7M-1.5M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.025.421.022.92
Total Volume32,288.21119,02360,55727,11224,923
Total OI329,253.211304,620389,104309,486320,970

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$55.35$56.0021.6%6.1%23.0%13.6%21.3%3.7%0.4%-17.1M37.0M-1.7M1.0216.0613,40413,70889,527219,959
2017-02-02$54.56$55.0021.8%6.5%22.6%14.2%23.1%3.4%0.2%-22.6M139.0M-1.7M2.029.3911,08922,40595,272222,369
2017-02-03$56.13$55.0020.7%6.3%24.1%10.3%21.6%2.6%0.3%-22.4M-109.0M-1.6M1.1811.3225,64630,30798,630230,081
2017-02-06$55.64$55.0020.9%6.2%24.1%10.9%21.2%3.1%0.8%-15.9M-9.8M-1.7M3.248.005,86018,98595,605225,178
2017-02-07$55.39$54.0020.5%6.4%23.9%9.7%21.7%3.2%1.5%-17.5M12.6M-1.6M2.1410.757,89716,91296,233217,063
2017-02-08$54.95$54.0021.1%6.4%23.7%11.5%22.8%3.7%1.1%-24.9M67.3M-1.6M1.456.6412,20517,72197,757216,940
2017-02-09$55.83$54.0020.6%6.2%24.4%10.0%21.5%2.9%1.1%-6.6M-76.6M-1.6M1.973.5610,64921,010102,271217,854
2017-02-10$56.12$54.0020.3%6.1%23.9%8.9%21.5%2.7%1.3%43.2K-113.0M-1.6M3.009.368,12524,410105,414228,851
2017-02-13$56.75$54.0020.8%6.0%23.8%11.7%21.7%3.1%0.2%1.0M-171.0M-1.5M1.929.2510,09519,416101,799229,815
2017-02-14$57.75$54.0020.9%6.0%19.5%14.9%22.6%2.6%0.1%6.2M-271.5M-1.5M2.3411.208,81520,646103,511243,963
2017-02-15$57.97$55.0020.3%5.8%19.4%13.8%22.2%2.5%-0.0%9.2M-291.5M-1.5M2.349.449,50722,259107,306249,227
2017-02-16$57.76$55.0019.3%5.5%19.3%8.4%19.8%2.5%-0.0%9.3M-283.8M-1.5M2.419.8713,20231,856109,680259,942
2017-02-17$57.63$55.0019.5%5.5%19.3%9.3%23.5%2.8%0.5%-1.9M-261.9M-1.6M5.4213.909,43951,118115,116273,988
2017-02-21$57.93$55.0019.9%5.7%19.3%13.0%21.0%3.1%0.2%-800.0K-173.3M-1.5M3.5229.776,02421,18792,454212,166
2017-02-22$57.88$55.0019.9%5.7%18.3%12.9%20.7%2.8%0.2%-2.1M-163.0M-1.5M2.8171.797,02119,75494,038219,138
2017-02-23$57.83$55.0019.8%5.7%17.2%12.2%22.2%3.5%0.3%-3.8M-157.1M-1.6M2.7111.506,08716,49796,898225,140
2017-02-24$57.48$55.0020.2%5.9%17.3%14.8%21.5%3.7%0.1%-29.0M-106.8M-1.7M1.4014.9515,13721,13797,669227,723
2017-02-27$57.88$55.0020.4%5.9%17.1%15.9%21.3%3.0%0.2%2.9M-161.0M-1.6M2.1312.406,07712,94699,712216,552
2017-02-28$57.45$55.0021.7%6.5%16.4%23.5%23.9%3.2%0.1%-1.1M-110.4M-1.7M2.9213.546,36018,563101,496219,474