KRE Options History — January 2018

In January 2018, KRE traded between $58.91 and $63.36. ATM implied volatility averaged 19.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.5% (HV 20d: 13.1%). Max pain ranged from $56.00 to $61.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2018-01-12: Highest Volume — 99,359 contracts
2018-01-16: Largest IV spike — 9.2% change
2018-01-30: Highest IV Rank — 39.2%
2018-01-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.73	$58.91	$63.36	$58.91	$62.30
Max Pain	$59.26	$56.00	$61.50	$56.00	$61.50
ATM IV	19.6%	18.6%	21.2%	20.3%	20.2%
Expected Move	5.6%	5.3%	6.2%	5.8%	5.9%
HV 20d	13.1%	11.5%	16.5%	16.5%	11.6%
HV 60d	17.3%	17.0%	17.6%	17.4%	17.0%
IV Rank	25.7%	17.4%	39.2%	31.7%	30.7%
IV Percentile	25.4%	8.3%	67.1%	38.9%	37.3%
Term Structure	0.2%	-0.5%	0.6%	-0.0%	0.3%
VWIV	20.4%	18.6%	22.6%	19.9%	21.7%
Skew 25d	2.4%	1.7%	2.9%	2.9%	2.7%
Skew 10d	4.8%	3.3%	6.3%	6.3%	5.8%
Call IV 25d	18.9%	17.7%	20.3%	19.6%	19.6%
Put IV 25d	21.3%	20.1%	23.1%	22.4%	22.3%
Bid-Ask Spread %	3.36	2.20	7.39	2.53	7.39
Gamma HHI	0.13	0.09	0.29	0.12	0.11
Net GEX	54.7M	25.5M	90.6M	25.5M	56.0M
Net DEX	-950.4M	-1.48B	-441.4M	-441.4M	-861.3M
Net VEX	-6.2M	-7.5M	-4.9M	-4.9M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.32	2.60	0.49	2.60
Total Volume	52,575.952	23,354	99,359	40,719	29,714
Total OI	626,546.762	502,537	749,100	502,537	681,116

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-01-02	$58.91	$56.00	20.3%	5.8%	16.5%	31.7%	19.9%	2.9%	-0.0%	25.5M	-441.4M	-4.9M	0.49	2.53	27,285	13,434	261,680	240,857
2018-01-03	$59.09	$56.00	19.4%	5.4%	15.1%	23.6%	19.3%	2.5%	0.2%	34.7M	-490.8M	-5.0M	0.93	2.41	12,123	11,231	273,720	246,232
2018-01-04	$59.39	$58.00	19.3%	5.7%	13.6%	23.4%	20.2%	2.0%	0.3%	38.8M	-543.6M	-4.9M	0.51	3.95	28,485	14,607	273,541	249,321
2018-01-05	$59.82	$58.00	18.6%	5.4%	13.6%	17.4%	19.7%	1.9%	0.3%	45.7M	-627.0M	-4.9M	0.77	3.98	19,303	14,900	279,148	254,976
2018-01-08	$59.71	$58.00	19.2%	5.6%	13.4%	22.4%	19.7%	1.7%	0.5%	36.9M	-568.7M	-5.0M	0.42	2.56	60,150	25,391	266,799	253,164
2018-01-09	$60.54	$58.00	19.6%	5.6%	14.2%	25.7%	19.9%	1.8%	0.1%	51.9M	-787.4M	-5.2M	1.44	6.24	26,773	38,668	315,893	267,074
2018-01-10	$61.30	$59.00	19.4%	5.7%	14.4%	23.9%	21.9%	2.1%	0.5%	61.1M	-950.9M	-5.3M	1.13	2.32	35,713	40,312	331,007	275,737
2018-01-11	$62.16	$59.00	19.9%	5.7%	14.8%	28.0%	20.5%	2.1%	0.0%	52.7M	-1.10B	-5.1M	0.70	2.46	48,407	34,026	329,285	282,377
2018-01-12	$62.56	$59.00	18.9%	5.4%	13.8%	19.7%	19.9%	2.1%	-0.3%	54.9M	-1.26B	-5.4M	0.44	2.24	69,103	30,256	360,340	289,832
2018-01-16	$62.07	$59.00	20.6%	5.9%	13.5%	34.5%	21.0%	2.3%	-0.4%	63.9M	-1.26B	-6.2M	0.48	2.53	58,911	28,415	404,309	284,841
2018-01-17	$62.32	$59.00	20.5%	5.9%	12.6%	33.2%	21.0%	2.4%	-0.5%	64.1M	-1.33B	-6.5M	0.46	2.47	31,731	14,621	434,573	288,193
2018-01-18	$62.01	$60.00	20.2%	5.8%	12.2%	31.1%	21.3%	2.6%	-0.0%	59.1M	-1.26B	-6.4M	1.73	2.20	19,107	33,071	427,141	291,223
2018-01-19	$63.02	$60.00	18.7%	5.4%	13.0%	18.5%	19.0%	2.4%	0.3%	90.6M	-1.48B	-6.5M	0.32	2.69	73,203	23,675	437,128	311,972
2018-01-22	$63.20	$60.00	18.7%	5.3%	12.7%	17.8%	19.1%	2.6%	0.4%	60.1M	-1.00B	-7.0M	1.59	2.43	9,299	14,824	384,078	231,394
2018-01-23	$63.36	$60.00	18.6%	5.3%	12.2%	17.5%	18.6%	2.6%	0.6%	61.7M	-1.05B	-7.0M	1.36	5.17	11,674	15,933	387,411	233,610
2018-01-24	$63.33	$60.00	19.2%	5.5%	12.0%	22.4%	20.3%	2.5%	0.3%	62.7M	-1.05B	-7.0M	0.65	2.73	41,516	26,909	392,150	237,214
2018-01-25	$62.89	$61.00	19.3%	5.5%	11.9%	23.4%	19.5%	2.8%	0.6%	61.5M	-1.01B	-7.5M	2.20	2.83	8,287	18,200	422,046	248,017
2018-01-26	$63.02	$61.00	19.2%	5.4%	11.5%	22.2%	20.2%	2.4%	0.4%	47.7M	-1.03B	-7.5M	1.54	2.66	10,804	16,654	423,675	250,881
2018-01-29	$62.87	$61.00	20.5%	5.9%	11.7%	33.3%	22.6%	2.6%	0.4%	62.4M	-986.7M	-7.4M	2.10	3.51	11,224	23,600	421,622	238,650
2018-01-30	$62.38	$61.00	21.2%	6.2%	11.6%	39.2%	22.2%	2.8%	0.0%	57.4M	-877.8M	-7.5M	2.35	5.35	9,717	22,839	425,737	249,518
2018-01-31	$62.30	$61.50	20.2%	5.9%	11.6%	30.7%	21.7%	2.7%	0.3%	56.0M	-861.3M	-7.4M	2.60	7.39	8,244	21,470	425,836	255,280