KRE Options History — August 2017

In August 2017, KRE traded between $51.59 and $55.01. ATM implied volatility averaged 19.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 16.2%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.87.

Notable Days

  • 2017-08-21: Highest Volume — 71,433 contracts
  • 2017-08-10: Largest IV spike — 14.3% change
  • 2017-08-17: Highest IV Rank — 44.3%
  • 2017-08-11: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.06$51.59$55.01$54.78$52.02
Max Pain$53.17$53.00$55.00$55.00$53.00
ATM IV19.5%16.6%21.8%16.9%19.8%
Expected Move5.6%4.8%6.3%4.9%5.4%
HV 20d16.2%12.5%19.7%12.8%17.1%
HV 60d17.0%16.1%18.0%17.5%16.7%
IV Rank24.2%0.0%44.3%0.0%27.2%
IV Percentile23.7%0.0%60.7%0.0%19.0%
Term Structure0.1%-0.7%1.4%0.1%0.2%
VWIV20.2%17.7%24.0%18.4%19.2%
Skew 25d4.0%3.3%5.1%3.4%3.6%
Skew 10d8.6%7.4%10.8%7.5%8.0%
Call IV 25d17.8%15.2%20.1%16.0%18.5%
Put IV 25d21.9%18.7%24.5%19.3%22.1%
Bid-Ask Spread %6.842.7427.095.844.30
Gamma HHI0.090.080.120.100.09
Net GEX-319.8K-16.4M27.7M14.2M-14.1M
Net DEX44.0M-229.1M242.7M-187.2M179.1M
Net VEX-2.6M-2.9M-2.3M-2.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.344.441.061.38
Total Volume36,469.21722,35871,43324,81230,846
Total OI391,431.826370,213428,216370,213397,193

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$54.78$55.0016.9%4.9%12.8%0.0%18.4%3.4%0.1%14.2M-187.2M-2.9M1.065.8412,04812,764203,511166,702
2017-08-02$54.89$55.0017.1%4.8%12.8%1.0%18.2%3.3%-0.1%16.4M-202.1M-2.9M1.007.3113,06313,048203,843166,925
2017-08-03$54.45$53.0017.3%5.3%12.5%2.7%23.6%3.5%-0.4%12.5M-146.3M-2.8M1.236.5613,92017,177204,949167,429
2017-08-04$55.01$53.0016.6%5.0%12.9%0.0%19.7%3.5%-0.0%27.7M-229.1M-2.8M0.605.4828,85317,295206,528170,947
2017-08-07$54.69$53.0017.1%5.1%13.0%4.8%17.7%3.6%0.5%14.7M-181.5M-2.9M1.304.8312,89416,730215,425166,263
2017-08-08$54.75$53.0017.5%5.1%13.0%8.1%18.1%3.7%-0.0%12.8M-179.9M-2.9M1.546.3411,69817,984216,057173,148
2017-08-09$53.99$53.0018.4%5.5%13.8%15.8%20.3%4.1%0.8%1.5M-48.0M-2.9M3.645.747,28826,548216,424177,954
2017-08-10$52.75$53.0021.1%6.0%15.8%38.2%20.3%5.1%-0.7%-2.9M117.5M-2.8M4.317.359,43740,682216,622181,551
2017-08-11$52.34$53.0021.3%6.3%15.9%40.5%20.9%4.8%0.7%-1.4M179.0M-2.7M4.443.188,53137,839217,049186,819
2017-08-14$53.44$53.0019.8%5.8%18.0%27.8%20.6%4.2%-0.5%3.8M1.3M-2.8M3.746.168,16630,581215,924182,796
2017-08-15$53.35$53.0019.6%5.6%18.0%25.7%19.8%4.2%-0.3%2.1M12.9M-2.7M1.924.9512,10923,283217,378189,373
2017-08-16$53.00$53.0019.7%5.6%18.0%26.2%21.1%4.0%-0.0%-2.3M70.0M-2.7M1.934.8212,52524,134222,451193,106
2017-08-17$51.73$53.0021.8%6.2%19.7%44.3%21.3%4.5%1.4%-16.4M240.8M-2.6M2.368.1315,97937,770224,971195,890
2017-08-18$51.79$53.0021.3%6.1%19.5%39.9%24.0%4.5%0.5%-11.5M242.7M-2.6M2.132.7413,14727,956227,777200,439
2017-08-21$51.59$53.0021.0%5.9%18.9%37.7%19.1%4.4%-0.1%-8.3M197.4M-2.4M0.343.1853,23018,203212,985173,470
2017-08-22$52.06$53.0020.6%5.9%18.2%34.3%20.2%3.9%0.1%-2.8M126.3M-2.5M1.9127.0913,46425,741224,237174,889
2017-08-23$52.18$53.0020.7%5.8%17.1%35.0%20.0%3.9%-0.5%-12.1M152.1M-2.5M1.087.4713,31814,337196,004185,858
2017-08-24$52.37$53.0019.7%5.5%17.2%26.4%20.4%4.2%0.1%-10.9M127.6M-2.5M1.215.8512,41415,013199,002187,633
2017-08-25$52.72$53.0019.6%5.4%17.4%25.6%20.0%4.2%-0.1%-5.6M75.7M-2.5M0.774.5914,10410,836200,127190,048
2017-08-28$52.25$53.0020.5%5.8%17.2%33.4%20.1%4.2%-0.3%-5.3M130.5M-2.4M1.105.8910,62511,733196,984174,975
2017-08-29$51.96$53.0020.2%5.6%17.1%30.9%21.3%4.3%-0.0%-10.0M177.7M-2.3M2.5614.699,81325,088197,581177,696
2017-08-30$52.17$53.0020.2%5.6%17.2%30.5%20.5%3.9%-0.0%-9.4M154.9M-2.4M1.524.7714,50222,076198,167187,832
2017-08-31$52.02$53.0019.8%5.4%17.1%27.2%19.2%3.6%0.2%-14.1M179.1M-2.4M1.384.3012,97317,873202,161195,032