KRE Options History — April 2017

In April 2017, KRE traded between $51.57 and $55.72. ATM implied volatility averaged 24.4%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.0% (HV 20d: 24.4%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.53.

Notable Days

  • 2017-04-20: Highest Volume — 69,014 contracts
  • 2017-04-24: Largest IV drop — 8.8% change
  • 2017-04-17: Highest IV Rank — 63.6%
  • 2017-04-17: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.62$51.57$55.72$54.08$54.06
Max Pain$54.58$54.00$55.00$55.00$54.00
ATM IV24.4%20.1%28.3%23.1%21.6%
Expected Move6.9%5.7%8.0%6.5%6.0%
HV 20d24.4%19.0%28.2%26.3%19.6%
HV 60d22.8%22.1%23.5%23.5%22.9%
IV Rank40.1%14.4%63.6%32.7%23.2%
IV Percentile72.3%12.7%96.8%69.4%36.1%
Term Structure-0.0%-1.2%1.0%0.6%-0.2%
VWIV24.6%20.2%28.6%23.0%22.1%
Skew 25d4.4%3.1%6.4%3.1%4.2%
Skew 10d8.3%4.0%11.2%5.5%7.4%
Call IV 25d22.5%19.2%26.3%22.0%19.2%
Put IV 25d26.9%22.5%31.6%25.2%23.4%
Bid-Ask Spread %13.246.6468.5310.8915.01
Gamma HHI0.110.070.200.080.09
Net GEX-26.6M-51.5M653.5K-23.8M-13.4M
Net DEX199.5M-100.0M493.3M173.5M43.1M
Net VEX-2.1M-2.2M-2.0M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.676.275.720.89
Total Volume43,105.42122,43969,01443,06541,944
Total OI342,305.526307,734404,558307,734360,152

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$54.08$55.0023.1%6.5%26.3%32.7%23.0%3.1%0.6%-23.8M173.5M-2.1M5.7210.896,41336,65297,571210,163
2017-04-04$53.98$55.0024.1%6.4%26.3%38.1%22.0%4.0%-1.2%-26.8M187.5M-2.1M3.546.707,63827,01099,841218,716
2017-04-05$53.27$55.0023.5%6.2%26.5%34.7%22.7%4.6%-0.1%-30.6M276.8M-2.1M5.3968.537,66841,320103,153222,234
2017-04-06$53.79$55.0024.1%6.8%26.9%38.1%25.0%3.8%0.1%-29.0M226.9M-2.1M6.2710.476,16038,629105,043229,261
2017-04-07$53.56$55.0024.3%7.0%26.9%39.5%24.8%3.4%0.4%-10.6M259.8M-2.2M3.617.407,67427,688106,470237,610
2017-04-10$53.18$55.0025.3%7.2%26.8%45.6%26.2%5.3%-0.4%-33.9M290.7M-2.1M3.027.255,58116,85899,381219,137
2017-04-11$53.49$55.0027.3%7.6%27.0%57.6%28.6%3.9%-0.7%-34.2M259.7M-2.1M2.917.1713,11638,171101,430224,654
2017-04-12$52.79$55.0027.4%7.8%27.2%58.0%28.1%6.0%0.4%-38.7M347.8M-2.1M1.687.6823,34239,148105,136238,889
2017-04-13$51.84$55.0027.2%7.7%27.4%56.6%26.8%6.4%0.1%-51.5M493.3M-2.1M3.048.4712,52738,104118,389249,833
2017-04-17$51.57$55.0028.3%8.0%27.4%63.6%27.3%5.3%0.5%-42.4M462.6M-2.0M2.5010.2011,02027,594106,889235,559
2017-04-18$52.38$55.0027.0%7.7%28.2%55.4%27.9%4.9%-0.1%-42.6M354.0M-2.1M1.986.6413,76227,257111,509237,060
2017-04-19$52.55$54.0025.4%7.3%19.0%46.2%26.1%4.7%0.2%-42.3M331.3M-2.1M0.677.0625,24816,837117,543247,368
2017-04-20$53.82$54.0024.1%6.9%20.8%38.2%23.1%4.8%1.0%-33.1M134.7M-2.2M1.3510.5129,34239,672130,392247,196
2017-04-21$53.79$54.0024.7%7.1%20.7%41.8%27.0%4.6%0.0%-39.0M154.0M-2.2M1.1912.9919,80823,502130,679273,879
2017-04-24$54.82$54.0022.5%6.4%21.7%28.9%23.5%4.4%0.2%-8.1M-15.8M-2.1M0.9511.2121,12820,09898,118211,318
2017-04-25$55.09$54.0021.9%6.1%21.6%25.3%22.2%3.6%-0.7%-5.0M-41.9M-2.1M1.7414.6910,51018,300101,891219,315
2017-04-26$55.72$54.0021.6%6.0%21.2%23.5%20.2%3.4%-0.6%653.5K-100.0M-2.0M0.7814.7023,22918,212105,332227,562
2017-04-27$54.97$54.0020.1%5.7%21.8%14.4%20.6%3.2%-0.2%-292.3K-47.9M-2.2M0.7814.0321,31916,522121,679233,453
2017-04-28$54.06$54.0021.6%6.0%19.6%23.2%22.1%4.2%-0.2%-13.4M43.1M-2.2M0.8915.0122,13519,809125,714234,438