KRE Options History — October 2017

In October 2017, KRE traded between $55.75 and $57.81. ATM implied volatility averaged 19.8%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.6% (HV 20d: 15.3%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2017-10-06: Highest Volume — 83,344 contracts
  • 2017-10-30: Largest IV spike — 9.5% change
  • 2017-10-09: Highest IV Rank — 43.6%
  • 2017-10-31: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.77$55.75$57.81$57.04$57.10
Max Pain$55.27$54.00$56.00$54.00$56.00
ATM IV19.8%18.2%21.7%20.3%20.3%
Expected Move5.8%5.4%6.3%5.6%6.3%
HV 20d15.3%13.2%22.9%22.9%14.7%
HV 60d18.6%18.2%18.9%18.3%18.7%
IV Rank27.7%14.1%43.6%31.8%31.3%
IV Percentile27.7%6.7%63.9%36.1%31.0%
Term Structure0.0%-0.9%0.5%0.2%0.1%
VWIV21.1%19.2%23.0%21.1%21.7%
Skew 25d2.5%2.1%3.4%3.4%2.2%
Skew 10d5.2%4.0%7.3%7.3%5.0%
Call IV 25d19.1%17.5%20.7%19.3%19.8%
Put IV 25d21.6%19.8%23.6%22.7%22.0%
Bid-Ask Spread %3.372.324.153.503.36
Gamma HHI0.090.070.160.080.08
Net GEX8.3M-5.6M22.3M11.5M1.8M
Net DEX-298.6M-449.2M-192.2M-343.5M-284.2M
Net VEX-4.2M-4.9M-3.4M-3.4M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.633.031.970.82
Total Volume56,130.54528,72083,34466,76551,214
Total OI449,126.727387,921489,492387,921485,961

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$57.04$54.0020.3%5.6%22.9%31.8%21.1%3.4%0.2%11.5M-343.5M-3.4M1.973.5022,50844,257178,976208,945
2017-10-03$56.80$54.0020.2%5.6%18.9%30.5%22.5%2.9%0.0%10.5M-307.1M-3.4M3.033.6315,49946,908176,629214,967
2017-10-04$56.08$54.0021.1%5.8%20.0%38.1%21.8%3.0%0.1%5.3M-233.3M-3.5M2.753.6913,92038,236181,777220,327
2017-10-05$56.86$55.0020.6%5.9%16.2%34.1%21.7%2.8%-0.0%10.2M-329.1M-3.5M1.513.6728,94043,738187,409225,225
2017-10-06$56.86$55.0020.9%6.0%16.2%36.7%21.6%2.7%-0.1%9.5M-329.6M-4.0M1.254.0037,09246,252202,236241,349
2017-10-09$56.68$55.0021.7%6.1%14.7%43.6%23.0%2.9%-0.1%7.9M-292.3M-4.1M1.542.9630,83047,530206,512239,642
2017-10-10$57.15$55.0021.1%6.0%13.2%38.2%21.2%2.7%-0.0%9.2M-342.7M-4.1M1.113.7028,71631,952207,229244,335
2017-10-11$56.77$56.0020.8%6.0%13.8%36.3%21.5%2.6%0.1%7.2M-304.5M-4.1M1.073.3020,76722,134207,603244,869
2017-10-12$56.34$56.0020.7%6.1%13.4%35.3%22.0%2.6%0.5%2.4M-254.2M-4.1M1.063.0821,10722,307208,746246,005
2017-10-13$55.96$56.0019.9%5.8%13.9%27.8%20.9%2.4%0.4%-5.6M-212.8M-4.0M0.983.7220,88120,495209,434245,599
2017-10-16$56.45$56.0020.1%5.8%13.3%29.7%21.2%2.3%-0.9%10.9M-269.3M-4.0M0.853.3315,55613,164207,166231,721
2017-10-17$55.75$56.0019.2%5.5%14.4%22.4%19.3%2.2%-0.1%6.5M-192.2M-3.9M0.772.6129,87123,074207,982232,827
2017-10-18$56.21$56.0019.1%5.5%14.0%21.6%19.2%2.2%-0.5%14.8M-268.5M-4.4M1.003.1525,85225,805221,759244,025
2017-10-19$56.47$56.0018.6%5.4%14.0%17.4%19.5%2.1%-0.5%22.3M-301.3M-4.3M0.633.2836,39422,896221,993247,990
2017-10-20$57.32$55.0018.6%5.4%14.8%17.7%19.5%2.2%-0.8%15.3M-449.2M-4.4M1.132.3221,04523,680231,226258,266
2017-10-23$56.75$55.0018.7%5.5%15.4%18.3%19.9%2.5%0.3%6.5M-236.9M-4.4M0.783.9420,21015,845210,042233,130
2017-10-24$57.06$55.0018.6%5.6%15.3%17.5%19.4%2.1%0.4%7.1M-286.3M-4.4M0.692.8430,78421,374211,740234,940
2017-10-25$56.85$55.0019.1%5.7%13.5%21.9%21.8%2.3%0.2%6.7M-273.7M-4.9M1.444.1529,61242,759223,744245,597
2017-10-26$57.54$55.0018.6%5.6%14.1%17.3%23.0%2.6%0.5%9.3M-364.8M-4.8M0.823.0331,41125,669224,326256,180
2017-10-27$57.81$55.0018.2%5.5%13.9%14.1%20.5%2.3%0.4%9.6M-424.4M-4.7M0.943.9029,76928,053225,665256,425
2017-10-30$57.00$56.0020.0%6.1%14.8%28.8%21.9%2.6%0.3%3.3M-268.7M-4.8M0.872.9135,68831,078219,194251,075
2017-10-31$57.10$56.0020.3%6.3%14.7%31.3%21.7%2.2%0.1%1.8M-284.2M-4.8M0.823.3628,07823,136223,663262,298