KRE Options History — February 2018

In February 2018, KRE traded between $59.10 and $63.28. ATM implied volatility averaged 22.7%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.2% (HV 20d: 22.9%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.16.

Notable Days

  • 2018-02-09: Highest Volume — 139,908 contracts
  • 2018-02-08: Largest IV spike — 27.6% change
  • 2018-02-08: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.83$59.10$63.28$63.18$61.60
Max Pain$59.68$59.00$60.00$59.00$60.00
ATM IV22.7%19.6%29.7%19.7%21.7%
Expected Move6.5%5.6%8.2%5.9%6.4%
HV 20d22.9%12.3%27.4%12.3%27.4%
HV 60d19.6%17.2%21.2%17.2%19.5%
IV Rank48.1%23.3%100.0%26.8%38.9%
IV Percentile67.4%23.4%100.0%25.4%73.4%
Term Structure-0.1%-1.9%1.9%0.5%-0.1%
VWIV23.4%20.0%27.7%20.8%22.9%
Skew 25d4.6%2.8%11.8%3.4%3.8%
Skew 10d8.9%6.0%22.5%6.0%6.8%
Call IV 25d21.0%18.0%27.1%18.1%20.5%
Put IV 25d25.5%21.5%37.1%21.5%24.3%
Bid-Ask Spread %7.522.3333.082.336.57
Gamma HHI0.120.090.150.110.13
Net GEX77.2M33.9M139.4M64.1M71.6M
Net DEX-927.5M-1.58B-314.3M-1.04B-796.0M
Net VEX-8.2M-8.6M-7.4M-7.4M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.275.080.845.08
Total Volume68,145.26329,590139,90839,08636,841
Total OI806,926.105685,506907,299685,506805,767

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$63.18$59.0019.7%5.9%12.3%26.8%20.8%3.4%0.5%64.1M-1.04B-7.4M0.842.3321,27017,816425,797259,709
2018-02-02$62.58$59.0021.7%6.3%13.1%43.5%22.3%3.1%0.2%43.8M-915.7M-7.5M0.273.4476,73220,406428,566261,358
2018-02-05$60.20$59.0025.6%7.7%19.5%76.8%25.9%2.8%1.9%41.0M-546.4M-8.0M0.8833.0846,61541,022484,706256,857
2018-02-06$60.62$59.0027.5%7.8%19.6%92.8%26.9%4.5%-0.5%48.1M-610.1M-8.2M1.289.8826,78334,196515,688264,429
2018-02-07$61.26$59.0023.3%6.8%19.4%57.1%24.3%4.0%0.5%62.7M-743.9M-8.2M1.864.2615,38728,549535,985262,769
2018-02-08$59.10$59.0029.7%8.2%22.8%100.0%27.5%6.9%-0.9%33.9M-314.3M-7.7M1.128.3027,11330,356533,018263,509
2018-02-09$60.14$60.0028.9%7.8%23.1%94.0%27.7%11.8%-1.9%53.5M-496.6M-8.1M0.6712.9583,55456,354547,258266,935
2018-02-12$60.46$60.0024.7%7.1%23.1%62.1%25.8%6.8%-1.1%66.1M-652.0M-8.1M0.747.3065,95148,709585,000257,903
2018-02-13$60.74$60.0022.4%6.4%23.1%44.6%22.6%4.8%0.4%77.0M-713.1M-8.1M3.713.8014,65754,426607,842264,276
2018-02-14$62.50$60.0020.7%5.9%25.3%31.5%20.0%3.9%-0.1%122.2M-1.19B-8.6M2.025.0327,91756,416595,801292,976
2018-02-15$62.62$60.0019.9%5.7%25.2%25.4%21.5%3.8%0.3%139.4M-1.31B-8.4M3.834.5115,55059,574607,481288,580
2018-02-16$63.18$60.0019.7%5.6%24.8%24.0%21.0%3.4%0.6%96.5M-1.58B-8.5M0.694.2977,63653,483609,537297,762
2018-02-20$62.62$60.0021.7%6.3%25.0%39.1%22.5%4.7%0.1%88.7M-1.09B-8.5M4.615.3510,40847,990538,753244,161
2018-02-21$63.24$60.0021.4%6.2%25.2%36.4%23.5%4.2%-0.2%93.7M-1.25B-8.6M2.386.6118,62744,326540,604254,352
2018-02-22$62.00$60.0021.6%6.3%26.2%38.3%22.5%4.2%-0.2%78.9M-936.3M-8.5M1.975.6114,65628,816551,850259,191
2018-02-23$62.94$60.0019.6%5.6%26.7%23.3%22.2%4.2%-0.1%95.3M-1.15B-8.6M3.688.126,91725,478552,223264,842
2018-02-26$63.28$60.0019.7%5.7%26.7%23.6%22.0%3.4%-0.1%101.4M-1.23B-8.5M2.946.117,78022,859549,703251,058
2018-02-27$62.52$60.0021.2%6.3%27.1%35.1%22.4%3.4%-0.3%88.3M-1.06B-8.3M2.425.268,66120,929551,178254,172
2018-02-28$61.60$60.0021.7%6.4%27.4%38.9%22.9%3.8%-0.1%71.6M-796.0M-8.1M5.086.576,05530,786549,756256,011