KRE Options History — July 2017

In July 2017, KRE traded between $54.16 and $56.07. ATM implied volatility averaged 19.3%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.4% (HV 20d: 14.9%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-07-14: Highest Volume — 60,519 contracts
  • 2017-07-06: Largest IV spike — 11.2% change
  • 2017-07-06: Highest IV Rank — 48.1%
  • 2017-07-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.07$54.16$56.07$56.07$54.64
Max Pain$55.15$55.00$56.00$55.00$55.00
ATM IV19.3%17.4%22.8%20.5%17.4%
Expected Move5.5%5.0%6.2%5.8%5.0%
HV 20d14.9%12.2%19.8%19.4%14.1%
HV 60d18.1%17.2%19.3%19.2%17.5%
IV Rank16.1%0.0%48.1%26.6%0.4%
IV Percentile14.6%0.0%76.6%25.4%0.8%
Term Structure0.2%-0.3%0.7%0.3%-0.1%
VWIV19.8%17.0%23.6%22.4%18.4%
Skew 25d3.8%3.4%5.0%4.1%3.4%
Skew 10d8.1%6.4%9.9%7.7%8.1%
Call IV 25d17.8%16.0%19.8%18.5%16.2%
Put IV 25d21.5%19.3%24.8%22.6%19.6%
Bid-Ask Spread %6.542.7010.3510.354.97
Gamma HHI0.100.080.140.100.10
Net GEX14.6M-13.1M32.4M32.3M13.9M
Net DEX-244.4M-482.4M-42.1M-482.4M-170.6M
Net VEX-3.2M-3.6M-2.9M-3.6M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.581.950.731.28
Total Volume42,854.127,22160,51936,27227,221
Total OI397,200.75358,722423,189404,038367,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$56.07$55.0020.5%5.8%19.4%26.6%22.4%4.1%0.3%32.3M-482.4M-3.6M0.7310.3520,98415,288232,921171,117
2017-07-05$56.02$55.0020.5%5.9%19.1%26.8%23.6%3.9%0.2%32.4M-450.0M-3.5M1.123.3317,07119,122227,690172,216
2017-07-06$55.35$55.0022.8%6.2%19.8%48.1%21.9%5.0%-0.3%23.2M-349.2M-3.5M0.7710.0822,97517,659229,158178,787
2017-07-07$55.63$55.0021.2%6.0%17.5%33.6%22.2%3.9%0.1%28.2M-372.6M-3.5M0.719.8629,52920,950226,447183,517
2017-07-10$55.51$55.0020.5%5.8%14.3%26.5%22.2%4.1%-0.2%26.9M-357.4M-3.4M1.378.7414,78520,253223,452169,007
2017-07-11$55.28$55.0020.4%5.9%14.4%26.2%21.0%4.1%0.4%19.5M-284.2M-3.3M1.697.8112,91021,797212,949175,989
2017-07-12$55.19$55.0020.3%5.9%14.3%24.4%21.2%3.9%0.5%17.5M-264.6M-3.3M1.957.1916,06831,321213,282179,377
2017-07-13$55.35$55.0019.9%5.9%14.4%21.2%20.0%3.6%0.7%16.8M-284.4M-3.4M1.836.2816,15529,555215,795193,244
2017-07-14$55.12$56.0019.6%5.7%14.4%18.4%19.8%3.6%0.2%10.2M-243.8M-3.3M1.427.3725,05735,462217,746199,190
2017-07-17$54.97$56.0019.5%5.6%14.1%17.7%20.9%3.7%0.2%16.6M-211.7M-3.3M1.406.8720,69028,903222,095195,429
2017-07-18$54.84$56.0019.1%5.5%14.0%13.7%19.4%3.6%0.5%3.9M-167.2M-3.2M1.085.6723,00424,859214,322200,957
2017-07-19$54.79$55.0018.9%5.4%13.2%11.3%19.1%3.6%-0.1%4.0M-160.6M-3.2M0.826.4323,48119,231215,581201,537
2017-07-20$54.83$55.0018.3%5.3%12.2%6.5%19.0%3.4%0.2%5.6M-164.9M-3.1M1.125.8920,80223,315217,953202,420
2017-07-21$54.23$55.0018.0%5.1%12.5%3.5%17.9%3.5%0.5%-13.1M-42.1M-3.0M1.372.7021,29229,152219,722203,467
2017-07-24$54.79$55.0017.4%5.0%12.6%0.0%17.2%3.5%-0.1%14.1M-182.6M-3.0M0.885.8825,83022,679198,487160,235
2017-07-25$55.68$55.0017.4%5.1%13.2%0.3%17.7%3.4%0.0%21.9M-320.5M-3.1M0.589.0225,70014,902205,944162,967
2017-07-26$54.55$55.0017.8%5.1%15.4%3.5%17.4%3.4%0.1%13.2M-171.4M-3.0M0.746.7922,27316,588208,595165,157
2017-07-27$54.47$55.0018.0%5.2%14.9%5.9%17.3%3.6%0.2%3.3M-130.2M-3.1M1.232.9320,64025,338208,315172,357
2017-07-28$54.16$55.0018.2%5.1%13.7%7.7%17.0%3.8%0.1%1.6M-76.9M-3.0M1.692.7112,74021,501207,419172,119
2017-07-31$54.64$55.0017.4%5.0%14.1%0.4%18.4%3.4%-0.1%13.9M-170.6M-2.9M1.284.9711,93415,287203,033164,020