KRE Options History — May 2017

In May 2017, KRE traded between $51.97 and $54.80. ATM implied volatility averaged 21.0%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.3% (HV 20d: 19.8%). Max pain ranged from $54.00 to $54.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-05-17: Highest Volume — 185,743 contracts
  • 2017-05-17: Largest IV spike — 19.0% change
  • 2017-05-17: Highest IV Rank — 43.4%
  • 2017-05-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.56$51.97$54.80$54.62$51.97
Max Pain$54.00$54.00$54.00$54.00$54.00
ATM IV21.0%19.2%24.9%21.1%21.6%
Expected Move6.2%5.8%7.2%6.0%6.4%
HV 20d19.8%17.7%23.0%19.9%19.2%
HV 60d22.4%21.6%23.5%22.9%21.7%
IV Rank20.2%9.3%43.4%20.8%23.8%
IV Percentile30.3%5.2%85.3%30.2%44.8%
Term Structure0.1%-1.8%2.2%0.2%-0.6%
VWIV22.3%19.7%25.6%22.0%22.8%
Skew 25d3.7%3.1%4.5%3.8%3.5%
Skew 10d7.7%5.5%9.8%8.3%8.1%
Call IV 25d19.3%17.9%22.6%19.1%19.9%
Put IV 25d23.0%21.2%27.0%22.9%23.4%
Bid-Ask Spread %12.772.4560.3443.259.67
Gamma HHI0.080.070.100.070.07
Net GEX428.1K-19.5M26.6M-4.9M-4.3M
Net DEX16.6M-115.5M255.8M-15.6M108.5M
Net VEX-2.4M-3.0M-2.0M-2.2M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.191.170.620.48
Total Volume60,651.31818,263185,74325,09668,026
Total OI393,777.409310,215528,267318,374480,630

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$54.62$54.0021.1%6.0%19.9%20.8%22.0%3.8%0.2%-4.9M-15.6M-2.2M0.6243.2515,5069,590123,714194,660
2017-05-02$54.06$54.0020.7%6.1%19.7%18.2%20.9%4.0%-0.1%-8.1M41.5M-2.2M0.4444.2714,4816,440128,878195,563
2017-05-03$54.72$54.0020.3%5.9%20.1%15.8%20.7%3.5%0.4%4.4M-50.6M-2.2M0.5417.4816,2808,742134,466195,666
2017-05-04$54.80$54.0020.1%6.2%19.4%14.3%22.8%3.5%0.2%6.3M-69.0M-2.2M0.8310.1513,98611,606135,744197,536
2017-05-05$54.68$54.0020.3%6.2%19.2%15.5%23.2%3.6%0.6%7.3M-38.5M-2.2M0.656.2313,3968,742136,270204,938
2017-05-08$54.79$54.0019.5%6.0%19.1%10.9%21.9%3.1%1.3%2.1M-42.9M-2.1M0.974.0812,53912,222127,302182,913
2017-05-09$54.25$54.0020.1%6.1%19.3%14.3%21.4%3.3%1.4%-4.4M18.1M-2.0M0.738.1410,5277,736130,005189,083
2017-05-10$54.52$54.0019.2%5.9%19.3%9.3%19.7%3.3%1.2%1.3M-14.3M-2.0M0.663.1513,1068,651130,670189,212
2017-05-11$53.75$54.0020.7%6.2%19.4%18.1%22.1%3.3%1.3%-12.4M73.5M-2.0M0.452.4530,02713,419130,516188,325
2017-05-12$53.41$54.0020.7%6.3%18.3%18.0%22.6%3.3%2.2%-16.3M121.7M-2.1M1.175.6033,30238,845142,814195,533
2017-05-15$54.00$54.0021.0%6.1%18.4%20.0%21.6%3.9%-0.1%-10.2M30.5M-2.2M0.235.3053,59712,437144,352200,384
2017-05-16$54.20$54.0021.0%6.1%17.7%19.7%22.6%3.4%-0.1%-2.1M-30.9M-2.3M0.374.6756,06720,897173,066200,206
2017-05-17$52.08$54.0024.9%7.2%23.0%43.4%25.3%4.3%-0.6%-19.5M255.8M-2.3M0.508.04123,74362,000201,724209,898
2017-05-18$52.43$54.0024.7%7.1%21.4%42.2%25.6%4.5%-1.3%-10.4M131.2M-2.9M0.682.6581,28855,578280,332231,973
2017-05-19$52.39$54.0023.2%6.8%21.4%32.8%23.2%4.2%-1.8%-3.7M129.5M-2.9M0.446.2359,57926,368283,778244,489
2017-05-22$52.67$54.0021.7%6.4%20.2%23.9%22.2%4.2%-0.7%5.1M10.1M-2.8M0.196.6781,84215,481250,721182,783
2017-05-23$53.48$54.0020.2%6.1%21.0%15.2%23.1%3.5%-0.0%19.0M-115.5M-2.9M0.3110.8980,93424,873257,665184,641
2017-05-24$53.20$54.0020.6%6.1%20.4%17.6%21.4%3.7%-0.1%13.3M-79.0M-3.0M0.828.4724,54720,082269,050190,919
2017-05-25$53.31$54.0020.0%5.8%20.1%13.8%20.8%3.2%0.2%18.2M-114.0M-3.0M0.576.8435,26920,164277,628192,638
2017-05-26$52.88$54.0019.9%5.9%19.4%13.6%21.9%3.5%0.3%26.6M-50.3M-3.0M0.436.3439,11016,926288,037193,023
2017-05-30$52.19$54.0021.5%6.4%19.4%23.1%22.5%3.9%-0.6%2.2M64.1M-2.7M0.8160.3431,08125,297286,934184,424
2017-05-31$51.97$54.0021.6%6.4%19.2%23.8%22.8%3.5%-0.6%-4.3M108.5M-2.7M0.489.6745,82722,199288,510192,120