KRE Options History — November 2017

In November 2017, KRE traded between $54.35 and $59.84. ATM implied volatility averaged 20.9%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.5% (HV 20d: 16.4%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2017-11-29: Highest Volume — 97,123 contracts
  • 2017-11-20: Largest IV drop — 7.5% change
  • 2017-11-17: Highest IV Rank — 52.8%
  • 2017-11-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.36$54.35$59.84$56.78$59.35
Max Pain$54.17$54.00$56.00$56.00$55.00
ATM IV20.9%19.4%22.8%20.2%22.0%
Expected Move6.3%5.8%7.4%6.2%7.4%
HV 20d16.4%13.5%22.0%14.1%22.0%
HV 60d18.2%17.8%19.0%18.7%18.9%
IV Rank36.9%24.1%52.8%31.0%46.0%
IV Percentile48.8%15.5%82.5%29.8%74.6%
Term Structure0.1%-1.0%1.4%0.0%-0.4%
VWIV22.4%21.1%26.2%21.8%26.2%
Skew 25d1.8%-0.2%2.5%2.5%2.4%
Skew 10d3.8%2.2%5.9%4.8%5.9%
Call IV 25d20.6%18.8%22.9%19.6%21.6%
Put IV 25d22.4%20.8%24.4%22.1%24.0%
Bid-Ask Spread %4.652.899.643.495.80
Gamma HHI0.100.060.370.080.10
Net GEX9.6M-36.0M57.9M-2.0M57.9M
Net DEX-254.7M-1.04B179.6M-230.6M-951.3M
Net VEX-4.9M-5.3M-4.5M-4.7M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.522.761.000.52
Total Volume59,933.71432,09297,12356,63373,905
Total OI521,454.286475,722623,198483,757623,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$56.78$56.0020.2%6.2%14.1%31.0%21.8%2.5%0.0%-2.0M-230.6M-4.7M1.003.4928,30828,325222,143261,614
2017-11-02$57.23$54.0020.1%6.1%13.5%29.9%22.1%2.3%0.3%445.7K-294.4M-4.7M0.823.0028,12523,112222,850263,898
2017-11-03$57.11$54.0019.5%5.9%13.5%25.0%21.4%2.0%0.5%449.9K-289.4M-4.7M0.583.5037,43921,869223,338264,110
2017-11-06$57.00$54.0019.4%5.8%13.5%24.1%21.1%2.3%0.9%6.8M-279.5M-4.6M0.522.9531,39716,349223,069252,653
2017-11-07$55.39$54.0020.4%6.2%16.6%32.9%21.7%2.3%1.4%-5.8M-44.6M-4.5M0.643.6732,34020,586222,836253,333
2017-11-08$54.99$54.0020.8%6.2%16.6%36.1%21.8%2.0%0.6%-9.2M34.1M-4.5M1.142.8938,35043,856223,558255,986
2017-11-09$54.45$54.0021.3%6.2%16.8%40.1%22.1%1.9%0.3%-9.3M112.1M-4.9M1.333.2538,78251,420230,795270,646
2017-11-10$54.35$54.0021.0%6.2%16.7%37.4%21.4%2.0%0.8%-8.5M179.6M-4.9M1.863.4226,03148,408232,042283,559
2017-11-13$55.18$54.0021.6%6.2%17.3%42.7%21.4%2.0%-1.0%-1.6M-43.8M-4.9M1.423.5224,12234,208235,567268,238
2017-11-14$55.63$54.0021.9%6.3%17.1%45.5%22.5%1.7%-0.5%-2.1M-114.1M-4.9M1.043.2327,69728,872233,204267,370
2017-11-15$55.65$54.0022.7%6.5%16.8%51.7%24.1%1.5%-0.8%-2.5M-117.8M-5.0M1.894.7018,83035,581241,147271,929
2017-11-16$55.64$54.0022.1%6.3%16.7%47.2%23.3%1.5%0.3%-7.0M-130.6M-5.0M2.083.5115,31831,937251,971280,343
2017-11-17$56.00$54.0022.8%6.6%15.9%52.8%22.9%1.7%-0.5%-36.0M-199.6M-5.0M0.723.9742,25130,527252,094280,835
2017-11-20$56.47$54.0021.1%6.1%15.9%38.3%22.1%1.8%-0.6%24.8M-314.4M-5.1M2.626.3014,23837,342262,159254,799
2017-11-21$56.42$54.0020.5%6.0%15.7%33.5%22.0%2.3%-0.4%25.9M-295.9M-5.2M2.766.3811,96033,044263,843266,757
2017-11-22$56.30$54.0020.1%6.0%15.7%29.9%21.5%2.3%-0.5%25.9M-282.0M-5.2M2.297.8511,89327,182265,409268,462
2017-11-24$55.91$54.0020.0%6.1%15.1%29.3%21.1%0.4%1.0%21.8M-221.1M-5.2M1.795.8111,51920,573272,096279,154
2017-11-27$56.02$54.0019.8%6.2%15.0%27.3%21.5%1.9%0.1%22.8M-238.9M-5.1M0.856.3423,61319,996273,356267,887
2017-11-28$57.90$54.0020.7%6.8%18.6%34.9%24.0%-0.2%0.1%43.8M-587.0M-5.2M0.559.6446,42225,758289,442270,569
2017-11-29$59.84$54.5021.3%6.9%21.9%39.9%25.3%0.9%-0.3%55.4M-1.04B-5.1M0.624.5360,00837,115325,037279,244
2017-11-30$59.35$55.0022.0%7.4%22.0%46.0%26.2%2.4%-0.4%57.9M-951.3M-5.3M0.525.8048,60225,303335,069288,129