KRE Options History — December 2017

In December 2017, KRE traded between $58.05 and $60.38. ATM implied volatility averaged 21.9%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.6% (HV 20d: 21.3%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-12-15: Highest Volume — 80,496 contracts
  • 2017-12-20: Largest IV drop — 7.5% change
  • 2017-12-05: Highest IV Rank — 63.9%
  • 2017-12-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.30$58.05$60.38$59.30$58.93
Max Pain$55.20$55.00$56.00$55.00$56.00
ATM IV21.9%19.8%24.1%22.4%20.3%
Expected Move6.3%5.6%7.5%7.5%5.6%
HV 20d21.3%16.5%23.9%21.9%16.5%
HV 60d17.7%17.3%18.0%17.8%17.6%
IV Rank45.0%27.6%63.9%49.6%31.5%
IV Percentile67.0%22.2%92.5%79.8%37.7%
Term Structure0.1%-1.2%1.8%-1.0%1.3%
VWIV22.6%20.0%27.3%27.3%20.4%
Skew 25d3.1%1.8%4.5%3.1%2.7%
Skew 10d6.5%3.5%8.9%6.7%5.3%
Call IV 25d20.8%19.2%22.5%21.6%19.2%
Put IV 25d24.0%21.1%26.0%24.7%21.9%
Bid-Ask Spread %4.532.5612.245.753.25
Gamma HHI0.170.090.430.100.43
Net GEX56.5M39.7M97.3M55.7M97.3M
Net DEX-742.6M-1.11B-457.6M-938.1M-457.6M
Net VEX-5.2M-5.5M-4.9M-5.4M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.284.680.930.47
Total Volume41,378.0515,49780,49674,15637,150
Total OI615,770.6500,624747,422648,180520,891

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$59.30$55.0022.4%7.5%21.9%49.6%27.3%3.1%-1.0%55.7M-938.1M-5.4M0.935.7538,43035,726356,867291,313
2017-12-04$60.38$55.0023.0%6.8%22.6%54.3%24.4%3.5%0.1%53.1M-1.11B-5.3M1.424.3317,32524,634349,799294,342
2017-12-05$59.25$55.0024.1%6.8%23.9%63.9%24.4%3.5%1.8%54.2M-873.2M-5.4M2.7912.249,41426,251353,826305,180
2017-12-06$58.86$55.0023.0%6.7%21.2%54.7%23.3%4.0%-0.0%52.6M-767.3M-5.5M0.964.7113,45512,970356,114317,967
2017-12-07$59.31$55.0022.1%6.6%20.9%47.2%24.0%3.7%0.6%56.0M-888.4M-5.4M0.503.8036,22118,093357,984318,405
2017-12-08$59.21$55.0022.5%6.7%20.4%50.3%24.5%3.9%0.8%59.7M-941.3M-5.5M0.453.5651,05523,209384,680321,396
2017-12-11$58.80$55.0022.5%6.6%20.7%50.6%23.4%4.0%0.4%69.7M-801.0M-5.5M0.923.3731,27128,698387,412316,976
2017-12-12$59.38$55.0022.5%6.6%20.4%50.5%23.1%4.0%0.4%63.9M-956.7M-5.4M0.493.6727,17713,431391,161339,436
2017-12-13$58.65$55.0022.6%6.3%21.1%50.9%23.8%3.5%-1.2%65.2M-762.6M-5.4M0.694.2919,94813,742399,934347,227
2017-12-14$58.05$55.0023.0%6.5%21.6%55.0%21.9%4.5%-1.2%50.9M-555.5M-5.3M0.282.9753,42415,038397,915349,507
2017-12-15$58.98$55.0022.5%6.4%22.1%50.5%22.3%3.3%0.2%91.4M-794.3M-5.2M0.507.8753,83026,666370,520351,787
2017-12-18$59.83$55.0022.7%6.5%22.5%52.2%22.9%3.1%-0.4%40.5M-673.2M-5.2M0.893.4118,84516,807275,062225,562
2017-12-19$59.61$55.0021.5%6.2%22.5%41.5%21.9%2.7%0.3%39.7M-634.3M-5.2M1.403.4511,41815,995276,970235,731
2017-12-20$59.36$55.0019.8%5.7%22.6%27.8%21.4%2.1%0.3%45.2M-615.7M-5.2M0.568.0224,56513,859281,723239,924
2017-12-21$60.13$55.0020.2%5.8%22.8%30.8%20.0%1.9%0.5%44.5M-726.0M-5.1M1.303.159,30212,055276,916243,386
2017-12-22$59.90$55.0019.8%5.6%22.7%27.6%20.4%1.8%0.6%46.9M-694.1M-5.0M2.202.565,70312,520280,214246,293
2017-12-26$59.41$56.0021.0%5.8%23.0%37.8%20.8%2.4%-0.5%46.5M-575.7M-4.9M4.683.464,31820,196275,743238,190
2017-12-27$59.13$56.0021.2%5.9%20.2%39.5%20.9%2.5%0.1%44.4M-515.0M-5.0M3.013.714,81314,510275,989243,057
2017-12-28$59.44$56.0020.4%5.7%16.5%33.0%20.4%2.5%-0.1%52.5M-573.4M-4.9M0.742.978,9186,579276,252243,761
2017-12-29$58.93$56.0020.3%5.6%16.5%31.5%20.4%2.7%1.3%97.3M-457.6M-4.9M0.473.2525,26011,890276,473244,418