KRE Options History — June 2017

In June 2017, KRE traded between $52.15 and $55.67. ATM implied volatility averaged 21.1%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.6% (HV 20d: 19.6%). Max pain ranged from $52.00 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-06-28: Highest Volume — 92,139 contracts
  • 2017-06-30: Largest IV drop — 6.4% change
  • 2017-06-29: Highest IV Rank — 37.4%
  • 2017-06-23: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.09$52.15$55.67$52.58$55.19
Max Pain$54.25$52.00$55.00$54.00$55.00
ATM IV21.1%19.7%22.6%20.3%20.3%
Expected Move6.1%5.7%6.5%6.1%5.7%
HV 20d19.6%17.3%23.4%19.1%18.8%
HV 60d20.9%19.0%23.4%21.8%19.1%
IV Rank22.1%11.9%37.4%15.6%24.5%
IV Percentile38.3%9.5%71.8%18.7%21.0%
Term Structure0.2%-0.5%2.2%-0.4%0.1%
VWIV22.1%20.9%24.2%21.5%21.3%
Skew 25d3.6%2.6%4.5%3.2%3.4%
Skew 10d8.0%6.1%11.9%9.1%8.2%
Call IV 25d19.8%18.8%21.4%18.9%18.8%
Put IV 25d23.4%21.5%24.9%22.0%22.2%
Bid-Ask Spread %7.573.1614.4314.4310.82
Gamma HHI0.100.070.230.070.23
Net GEX46.5M-8.1M97.0M10.5M93.9M
Net DEX-369.7M-810.8M-9.0M-50.1M-466.7M
Net VEX-3.5M-3.9M-3.0M-3.0M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.322.370.661.17
Total Volume53,207.86429,26692,13941,51358,964
Total OI527,429.591455,873629,392506,234513,497

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$52.58$54.0020.3%6.1%19.1%15.6%21.5%3.2%-0.4%10.5M-50.1M-3.0M0.6614.4325,01716,496313,317192,917
2017-06-02$52.45$53.5019.8%5.9%19.1%12.8%21.5%3.7%-0.5%-8.1M-43.1M-3.0M0.328.3338,73912,373317,055196,044
2017-06-05$52.46$52.0019.7%5.8%19.1%11.9%21.2%2.6%0.1%13.3M-87.0M-3.1M0.598.0224,78514,718335,669188,323
2017-06-06$52.15$53.0020.2%5.9%19.1%15.2%22.4%3.4%0.5%4.1M-9.0M-3.0M0.826.9524,22319,753337,219193,964
2017-06-07$52.62$53.0020.0%5.8%19.3%13.7%21.3%3.0%-0.1%17.7M-119.2M-3.2M0.898.7723,25020,660346,719196,016
2017-06-08$54.08$52.0020.3%5.9%21.8%15.6%21.7%3.1%0.2%53.2M-449.8M-3.6M1.143.1631,16635,472354,657204,510
2017-06-09$55.65$53.0020.8%5.8%23.4%18.9%21.5%3.6%0.4%69.8M-798.9M-3.9M1.046.5426,55727,617364,670221,203
2017-06-12$55.57$53.0021.5%6.2%23.2%23.1%22.5%3.9%0.1%70.3M-761.8M-3.8M0.658.0135,74023,112366,903210,711
2017-06-13$55.67$55.0020.8%6.0%23.0%19.0%22.3%3.8%0.1%76.2M-810.8M-3.9M1.003.2025,31825,444378,231217,942
2017-06-14$55.59$55.0021.6%6.0%23.0%23.6%23.1%3.5%-0.3%73.2M-754.3M-3.9M1.054.1140,66642,720372,997233,476
2017-06-15$55.39$55.0021.9%6.4%17.3%25.0%22.6%4.0%0.5%69.4M-739.3M-3.9M1.178.1622,82926,763384,129245,263
2017-06-16$54.89$55.0020.7%6.0%17.7%18.0%20.9%4.4%0.5%53.6M-501.9M-3.7M1.089.0018,97520,408341,824252,075
2017-06-19$55.08$55.0020.6%6.0%17.7%17.9%21.4%3.9%0.1%63.4M-515.6M-3.6M2.235.739,07320,193312,400143,473
2017-06-20$54.37$55.0021.1%6.0%18.5%20.3%21.9%4.1%0.3%47.9M-359.2M-3.5M1.118.3021,03223,337313,669150,316
2017-06-21$53.65$55.0022.2%6.4%18.5%27.3%21.7%4.5%2.2%35.5M-199.0M-3.4M2.377.7411,54027,312320,227156,158
2017-06-22$53.20$55.0022.5%6.4%18.6%28.8%22.9%3.6%1.1%24.9M-119.9M-3.3M1.129.2631,52035,368307,256159,455
2017-06-23$52.86$55.0022.6%6.5%18.8%29.4%22.9%3.4%-0.2%13.6M-46.4M-3.5M0.688.8334,74023,784321,209173,640
2017-06-26$53.40$55.0021.9%6.3%18.9%25.4%23.2%3.3%0.3%37.2M-171.1M-3.4M0.797.0518,45214,541320,293160,582
2017-06-27$53.63$55.0022.5%6.3%18.2%29.3%23.3%4.4%0.2%43.3M-208.3M-3.4M0.805.3820,88616,638320,399159,248
2017-06-28$54.26$55.0021.6%6.3%18.4%32.8%21.6%3.7%0.2%62.5M-339.0M-3.6M0.345.9768,86423,275326,590167,397
2017-06-29$55.18$55.0021.6%6.1%18.9%37.4%24.2%3.6%-0.1%97.0M-582.0M-3.6M0.968.8445,08943,164337,812173,996
2017-06-30$55.19$55.0020.3%5.7%18.8%24.5%21.3%3.4%0.1%93.9M-466.7M-3.7M1.1710.8227,22131,743322,966190,531