KRE Options History — September 2017

In September 2017, KRE traded between $49.54 and $56.75. ATM implied volatility averaged 20.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.1% (HV 20d: 22.1%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-09-12: Highest Volume — 80,518 contracts
  • 2017-09-05: Largest IV spike — 13.8% change
  • 2017-09-07: Highest IV Rank — 49.6%
  • 2017-09-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.18$49.54$56.75$52.48$56.75
Max Pain$51.70$50.00$53.00$53.00$53.00
ATM IV20.0%18.1%22.4%19.2%19.9%
Expected Move5.7%5.0%6.4%5.0%5.6%
HV 20d22.1%16.9%23.6%16.9%23.0%
HV 60d17.9%15.8%18.6%15.8%18.3%
IV Rank28.8%12.8%49.6%22.5%28.2%
IV Percentile28.0%6.7%73.4%12.3%23.8%
Term Structure0.2%-0.2%0.6%0.3%0.4%
VWIV21.0%18.2%23.5%18.2%20.5%
Skew 25d3.6%3.1%4.5%3.5%3.1%
Skew 10d7.7%5.8%8.8%7.8%5.8%
Call IV 25d18.7%16.8%21.1%17.9%18.6%
Put IV 25d22.3%20.1%25.3%21.4%21.7%
Bid-Ask Spread %3.982.977.453.404.62
Gamma HHI0.110.060.250.100.08
Net GEX5.8M-26.7M26.1M-6.3M12.0M
Net DEX-36.3M-356.2M422.8M113.8M-356.2M
Net VEX-2.5M-2.8M-2.1M-2.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.303.801.111.68
Total Volume44,973.827,73580,51828,99674,118
Total OI389,933.8314,937473,414397,026380,551

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$52.48$53.0019.2%5.0%16.9%22.5%18.2%3.5%0.3%-6.3M113.8M-2.4M1.113.4013,72715,269202,303194,723
2017-09-05$50.83$52.0021.9%6.2%19.9%45.0%22.6%4.1%-0.1%-14.9M276.2M-2.1M3.803.7610,30639,164200,170175,918
2017-09-06$50.91$52.0021.6%6.0%19.9%42.3%21.3%3.9%-0.2%-24.9M292.4M-2.2M1.514.3915,72623,795201,532194,240
2017-09-07$49.54$52.0022.4%6.2%21.4%49.6%22.5%4.0%0.0%-26.7M422.8M-2.1M1.253.7028,45135,458208,504194,238
2017-09-08$50.14$50.0022.3%6.4%20.9%48.7%23.5%4.5%0.1%-7.9M290.8M-2.4M1.374.2715,22120,923263,882206,341
2017-09-11$51.48$50.0020.7%6.0%23.1%34.7%21.9%3.5%0.2%20.7M19.4M-2.5M0.583.7241,90424,163268,531201,780
2017-09-12$52.65$50.0020.4%5.9%23.3%32.2%20.6%3.6%0.0%26.1M-118.6M-2.5M0.303.3162,03418,484251,446211,066
2017-09-13$52.88$51.0019.9%5.8%23.4%28.1%22.3%3.5%0.3%24.3M-92.3M-2.6M0.503.0627,91913,878247,477217,046
2017-09-14$52.32$51.0020.1%5.9%23.6%30.0%21.7%3.7%0.6%7.1M-7.4M-2.6M0.702.9718,80613,254252,446220,968
2017-09-15$52.36$51.0019.8%5.8%21.9%27.6%23.2%3.3%0.6%3.3M34.8M-2.6M0.992.9913,95013,785243,291224,266
2017-09-18$53.15$51.0019.6%5.7%22.5%25.5%20.3%3.6%-0.1%6.9M-69.0M-2.5M2.023.3711,96124,183156,339158,598
2017-09-19$53.43$52.0019.3%5.5%22.4%23.2%20.5%3.8%0.0%5.2M-83.7M-2.6M1.293.8512,40215,980158,607170,494
2017-09-20$54.11$52.0018.7%5.4%22.6%18.4%19.4%3.1%0.4%9.8M-147.4M-2.6M0.745.0920,26914,963161,014172,046
2017-09-21$54.32$52.0018.4%5.3%22.6%15.7%19.3%3.1%0.1%16.1M-183.0M-2.6M1.124.5014,41416,154166,196171,982
2017-09-22$54.39$52.0018.1%5.1%22.6%12.8%20.0%3.3%0.4%15.7M-179.7M-2.7M0.963.9917,49616,777166,745178,377
2017-09-25$54.48$52.0019.2%5.5%22.6%22.6%22.1%3.5%0.6%10.2M-152.2M-2.7M1.757.4511,52620,224161,638165,609
2017-09-26$54.91$52.0018.8%5.2%22.3%18.6%20.4%3.3%0.3%10.0M-191.8M-2.6M1.594.0616,72226,627161,415174,352
2017-09-27$56.12$53.0019.8%5.5%23.1%27.3%20.7%3.5%0.4%13.9M-293.5M-2.7M1.463.5224,96636,523163,969183,506
2017-09-28$56.28$53.0019.3%5.3%23.1%23.4%19.7%3.3%0.5%14.7M-301.7M-2.8M2.653.5115,89142,063173,021194,049
2017-09-29$56.75$53.0019.9%5.6%23.0%28.2%20.5%3.1%0.4%12.0M-356.2M-2.8M1.684.6227,62146,497174,531206,020