KRE Options History — March 2018

In March 2018, KRE traded between $58.94 and $65.02. ATM implied volatility averaged 21.4%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.6% (HV 20d: 22.9%). Max pain ranged from $61.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2018-03-09: Highest Volume — 144,912 contracts
  • 2018-03-22: Largest IV spike — 18.6% change
  • 2018-03-23: Highest IV Rank — 72.8%
  • 2018-03-23: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.71$58.94$65.02$61.56$60.42
Max Pain$62.62$61.00$63.00$61.00$63.00
ATM IV21.4%17.8%26.2%22.4%23.8%
Expected Move6.2%5.2%7.5%6.8%7.0%
HV 20d22.9%18.1%27.8%27.4%27.5%
HV 60d20.2%19.0%23.1%19.5%23.1%
IV Rank36.6%9.6%72.8%44.0%55.3%
IV Percentile53.9%4.4%96.8%80.6%90.5%
Term Structure0.0%-0.5%0.5%-0.4%-0.1%
VWIV22.4%19.0%26.2%24.0%24.8%
Skew 25d3.9%2.9%5.2%4.5%4.2%
Skew 10d7.4%6.0%10.6%8.2%8.8%
Call IV 25d20.1%16.7%24.6%20.9%22.4%
Put IV 25d24.0%19.5%29.8%25.4%26.6%
Bid-Ask Spread %5.523.319.937.666.89
Gamma HHI0.130.080.350.120.09
Net GEX90.4M15.7M212.2M68.8M51.3M
Net DEX-972.8M-1.79B38.0M-769.8M-303.5M
Net VEX-8.2M-8.5M-7.8M-8.2M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.713.841.183.57
Total Volume75,804.1932,465144,91239,38037,288
Total OI827,028.571714,832895,113808,910853,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$61.56$61.0022.4%6.8%27.4%44.0%24.0%4.5%-0.4%68.8M-769.8M-8.2M1.187.6618,06121,319550,265258,645
2018-03-02$62.68$61.0022.4%7.0%27.8%44.2%26.0%4.4%-0.3%88.3M-1.09B-8.4M0.885.6839,37234,811557,110261,046
2018-03-05$63.35$62.0021.5%6.3%27.8%37.6%21.6%4.0%0.1%99.9M-1.26B-8.4M1.444.1738,37655,401556,949262,004
2018-03-06$64.15$62.0021.6%6.3%23.8%38.1%21.6%4.0%0.1%107.6M-1.47B-8.5M1.838.1329,81354,650549,754266,558
2018-03-07$64.51$62.0021.3%6.1%23.8%36.0%25.6%4.0%0.2%117.0M-1.57B-8.4M2.095.6026,28154,988558,243265,407
2018-03-08$63.85$62.0020.7%6.0%24.1%31.1%22.2%3.6%0.1%109.5M-1.36B-8.3M1.016.6852,61153,340557,765277,363
2018-03-09$65.02$63.0018.7%5.5%20.1%16.5%19.9%2.9%0.2%212.2M-1.74B-8.4M0.715.9384,73760,175570,794288,478
2018-03-12$64.97$63.0018.9%5.5%19.6%17.7%21.8%3.1%0.1%149.3M-1.79B-8.4M3.335.5819,93066,450598,921288,667
2018-03-13$64.44$63.0019.4%5.7%20.1%21.1%19.7%3.4%0.3%127.0M-1.52B-8.2M1.355.5226,07535,171582,501293,007
2018-03-14$63.52$63.0019.2%5.5%21.0%20.2%20.2%3.9%-0.1%116.9M-1.19B-8.2M1.723.3126,14244,899586,601300,822
2018-03-15$63.78$63.0018.3%5.3%18.6%12.9%19.0%3.6%0.3%131.0M-1.26B-8.1M0.763.7354,21341,439590,807304,306
2018-03-16$64.07$63.0017.8%5.2%18.6%9.6%19.0%2.9%0.5%183.5M-1.17B-8.3M0.873.9539,41634,441553,678318,338
2018-03-19$63.56$63.0020.2%5.8%18.7%27.2%20.3%4.0%0.1%73.4M-989.0M-8.1M1.387.2620,34828,071486,926227,906
2018-03-20$63.27$63.0019.6%5.6%18.4%22.8%20.4%3.8%0.3%68.3M-923.6M-8.0M2.683.5312,68533,970489,319238,020
2018-03-21$63.38$63.0019.5%5.6%18.1%22.3%20.0%3.7%0.0%68.3M-949.7M-7.9M0.923.8856,54652,100490,285241,452
2018-03-22$61.12$63.0023.1%6.6%21.2%49.9%22.8%4.1%-0.2%41.4M-425.4M-8.1M1.914.6335,78768,486512,741269,383
2018-03-23$58.94$63.0026.2%7.5%23.8%72.8%25.2%5.2%-0.5%17.4M38.0M-7.8M3.629.9321,70678,557532,475302,256
2018-03-26$60.83$63.0023.9%7.0%26.7%55.8%24.8%4.5%-0.1%31.4M-386.5M-8.3M3.843.7812,99249,877523,705307,101
2018-03-27$59.50$63.0025.5%7.4%27.5%67.6%26.2%4.6%-0.2%15.7M-110.5M-7.9M3.795.248,11930,780530,454313,887
2018-03-28$59.91$63.0025.3%7.4%27.2%66.1%25.6%4.4%-0.1%21.2M-184.9M-8.0M2.484.759,31923,146531,728318,223
2018-03-29$60.42$63.0023.8%7.0%27.5%55.3%24.8%4.2%-0.1%51.3M-303.5M-8.0M3.576.898,16629,122535,077318,633