KRE Options History — March 2017

In March 2017, KRE traded between $52.63 and $59.55. ATM implied volatility averaged 21.3%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.3% (HV 20d: 22.6%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.35.

Notable Days

2017-03-21: Highest Volume — 103,082 contracts
2017-03-21: Largest IV spike — 22.9% change
2017-03-27: Highest IV Rank — 45.0%
2017-03-27: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.82	$52.63	$59.55	$59.55	$54.78
Max Pain	$56.43	$55.00	$57.00	$55.00	$55.00
ATM IV	21.3%	17.6%	25.2%	21.2%	21.4%
Expected Move	6.1%	5.0%	6.8%	6.5%	6.0%
HV 20d	22.6%	18.1%	28.4%	20.4%	26.1%
HV 60d	21.2%	19.4%	23.9%	19.8%	23.7%
IV Rank	21.5%	0.0%	45.0%	20.6%	22.2%
IV Percentile	35.5%	0.0%	86.9%	26.6%	35.3%
Term Structure	0.2%	-2.2%	1.5%	0.0%	0.3%
VWIV	22.0%	18.0%	24.9%	23.9%	21.3%
Skew 25d	3.1%	1.3%	8.6%	1.8%	3.4%
Skew 10d	5.4%	-8.7%	11.2%	4.6%	5.8%
Call IV 25d	20.0%	16.6%	23.7%	20.7%	20.2%
Put IV 25d	23.2%	19.4%	26.2%	22.5%	23.7%
Bid-Ask Spread %	19.04	6.79	72.48	51.61	54.39
Gamma HHI	0.12	0.07	0.40	0.11	0.08
Net GEX	-14.6M	-56.6M	21.3M	8.5M	-21.2M
Net DEX	66.3M	-324.2M	368.8M	-324.2M	80.8M
Net VEX	-1.8M	-2.1M	-1.5M	-1.5M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	1.07	5.55	1.24	2.60
Total Volume	42,328.304	20,163	103,082	42,032	33,009
Total OI	323,351.13	218,541	370,819	331,823	344,355

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$59.55	$55.00	21.2%	6.5%	20.4%	20.6%	23.9%	1.8%	0.0%	8.5M	-324.2M	-1.5M	1.24	51.61	18,794	23,238	102,823	229,000
2017-03-02	$57.93	$56.00	21.3%	6.4%	23.1%	21.1%	22.8%	2.0%	-0.0%	6.4M	-164.3M	-1.7M	2.57	72.48	8,758	22,516	108,374	236,106
2017-03-03	$58.19	$56.00	20.6%	6.0%	22.3%	17.2%	22.8%	2.2%	0.3%	21.3M	-194.7M	-1.7M	1.07	10.41	16,761	17,904	110,101	244,749
2017-03-06	$57.97	$57.00	20.4%	5.9%	20.3%	15.9%	21.9%	2.1%	0.2%	-672.9K	-131.0M	-1.8M	2.44	6.79	7,983	19,479	104,039	231,978
2017-03-07	$57.56	$57.00	20.6%	5.9%	20.2%	17.1%	20.8%	2.1%	0.2%	-3.7M	-93.4M	-1.8M	5.55	14.15	6,684	37,116	107,122	234,141
2017-03-08	$57.36	$57.00	20.7%	6.0%	20.1%	17.7%	21.4%	2.8%	0.2%	-7.5M	-59.9M	-1.8M	2.30	11.36	9,649	22,237	107,594	242,612
2017-03-09	$57.28	$57.00	22.0%	6.0%	19.9%	25.5%	21.1%	4.2%	-1.5%	-10.4M	-47.1M	-1.8M	2.10	13.57	7,040	14,807	108,357	242,096
2017-03-10	$56.86	$57.00	20.9%	5.8%	19.4%	19.0%	20.6%	1.9%	-0.3%	-7.4M	10.3M	-1.8M	1.88	14.47	11,664	21,964	109,980	245,238
2017-03-13	$57.06	$57.00	21.0%	5.9%	19.4%	19.2%	23.3%	4.4%	-0.3%	-7.4M	-22.1M	-1.7M	2.56	13.05	10,623	27,157	100,142	238,798
2017-03-14	$56.92	$57.00	20.8%	5.8%	19.0%	18.0%	22.5%	1.3%	-0.4%	-9.6M	489.4K	-1.8M	1.95	11.57	12,226	23,806	103,926	250,011
2017-03-15	$56.47	$57.00	20.3%	5.9%	18.1%	15.0%	22.9%	8.6%	-2.2%	-18.0M	59.0M	-1.8M	1.17	45.42	16,740	19,520	109,261	252,993
2017-03-16	$56.86	$57.00	18.9%	5.5%	18.2%	6.8%	21.0%	2.6%	0.3%	-13.1M	17.0M	-1.7M	1.17	8.00	15,141	17,749	112,713	257,722
2017-03-17	$56.53	$57.00	17.6%	5.0%	18.3%	0.0%	18.0%	2.5%	-0.6%	-56.6M	113.1M	-1.7M	1.86	13.92	10,285	19,092	107,846	262,973
2017-03-20	$56.02	$57.00	18.0%	5.2%	18.5%	2.1%	18.3%	2.5%	1.3%	-18.7M	97.6M	-1.8M	1.63	10.70	7,657	12,506	71,271	147,270
2017-03-21	$52.79	$57.00	22.1%	6.3%	27.5%	26.5%	22.1%	4.4%	1.1%	-20.0M	344.3M	-1.7M	3.42	13.79	23,316	79,766	73,366	151,132
2017-03-22	$52.63	$57.00	23.0%	6.6%	27.4%	31.7%	23.0%	4.0%	0.7%	-26.7M	368.8M	-1.9M	2.08	8.29	22,865	47,641	82,514	181,787
2017-03-23	$52.94	$57.00	23.1%	6.5%	27.7%	32.5%	22.3%	3.7%	1.5%	-23.0M	323.6M	-2.0M	1.40	8.61	15,356	21,485	89,552	195,868
2017-03-24	$53.12	$57.00	23.6%	6.7%	27.8%	35.6%	23.9%	4.0%	1.3%	-24.2M	309.6M	-2.0M	2.15	13.71	15,059	32,425	91,535	203,200
2017-03-27	$52.83	$56.00	25.2%	6.8%	27.5%	45.0%	24.9%	2.0%	0.3%	-30.2M	317.7M	-2.0M	5.06	11.50	13,001	65,731	88,027	200,438
2017-03-28	$53.68	$55.00	22.5%	6.3%	28.4%	28.7%	23.5%	3.8%	0.4%	-26.7M	225.4M	-2.0M	1.37	9.50	19,365	26,555	93,127	219,255
2017-03-29	$53.42	$55.00	22.9%	6.1%	24.3%	31.4%	23.2%	3.7%	0.5%	-28.4M	243.9M	-2.1M	4.05	7.62	7,988	32,388	98,822	219,799
2017-03-30	$55.13	$55.00	22.1%	6.1%	26.2%	26.2%	21.6%	2.4%	1.0%	-18.5M	49.7M	-2.1M	2.50	13.13	16,707	41,798	100,008	225,055
2017-03-31	$54.78	$55.00	21.4%	6.0%	26.1%	22.2%	21.3%	3.4%	0.3%	-21.2M	80.8M	-2.1M	2.60	54.39	9,164	23,845	108,732	235,623