KRE Options History — June 2018

In June 2018, KRE traded between $61.07 and $65.77. ATM implied volatility averaged 18.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.3% (HV 20d: 15.0%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.18.

Notable Days

2018-06-01: Highest Volume — 81,689 contracts
2018-06-21: Largest IV spike — 7.1% change
2018-06-28: Highest IV Rank — 32.9%
2018-06-28: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.81	$61.07	$65.77	$63.85	$61.07
Max Pain	$64.60	$63.00	$65.00	$63.00	$63.00
ATM IV	18.3%	16.6%	20.9%	17.4%	20.1%
Expected Move	5.3%	4.9%	6.1%	5.2%	5.8%
HV 20d	15.0%	12.9%	16.0%	14.3%	12.9%
HV 60d	19.1%	16.1%	21.2%	21.2%	16.1%
IV Rank	13.3%	0.0%	32.9%	6.5%	26.8%
IV Percentile	21.1%	0.0%	66.7%	5.2%	50.0%
Term Structure	0.1%	-1.0%	0.7%	-0.3%	0.1%
VWIV	18.5%	16.7%	20.7%	18.8%	19.6%
Skew 25d	3.1%	2.2%	4.2%	3.3%	2.5%
Skew 10d	6.4%	4.2%	8.1%	6.4%	6.6%
Call IV 25d	17.1%	15.2%	19.5%	16.5%	19.3%
Put IV 25d	20.2%	18.2%	23.3%	19.9%	21.7%
Bid-Ask Spread %	3.56	1.98	6.87	3.31	3.44
Gamma HHI	0.12	0.07	0.21	0.14	0.08
Net GEX	100.8M	4.7M	220.4M	132.5M	4.7M
Net DEX	-1.03B	-2.01B	-225.3M	-1.21B	-225.3M
Net VEX	-7.8M	-8.4M	-7.3M	-8.3M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.59	3.97	2.47	2.39
Total Volume	56,111.143	36,655	81,689	81,689	59,730
Total OI	888,899.952	612,491	1,127,016	1,108,232	690,008

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
2018-06-01	$63.85	$63.00	17.4%	5.2%	14.3%	6.5%	18.8%	3.3%	-0.3%	132.5M	-1.21B	-8.3M	2.47	3.31	23,552	58,137	732,415	375,817
2018-06-04	$64.51	$64.00	16.8%	4.9%	13.9%	1.6%	16.7%	3.1%	0.3%	172.9M	-1.46B	-8.2M	2.42	4.21	14,456	34,946	732,620	371,513
2018-06-05	$64.25	$64.00	17.1%	5.0%	14.0%	4.0%	18.2%	2.9%	0.2%	162.8M	-1.32B	-8.0M	2.84	4.07	13,395	38,055	733,124	373,222
2018-06-06	$65.46	$64.00	16.6%	5.0%	15.1%	0.0%	17.3%	3.0%	0.3%	211.8M	-1.90B	-8.4M	1.83	5.03	28,478	52,224	737,034	376,862
2018-06-07	$65.66	$65.00	17.3%	5.0%	14.9%	5.4%	18.0%	3.6%	0.3%	211.6M	-1.96B	-8.4M	0.99	4.66	31,692	31,340	739,584	382,453
2018-06-08	$65.77	$65.00	16.7%	5.0%	14.9%	1.0%	17.3%	2.9%	0.1%	220.4M	-2.01B	-8.2M	1.09	2.24	23,417	25,564	733,683	381,886
2018-06-11	$65.02	$65.00	17.3%	5.1%	15.6%	5.6%	17.3%	3.0%	0.3%	206.3M	-1.65B	-7.8M	0.59	1.98	32,790	19,337	732,826	373,195
2018-06-12	$64.48	$65.00	17.3%	5.2%	15.9%	5.3%	17.4%	2.8%	0.7%	189.1M	-1.36B	-7.7M	2.01	2.30	21,512	43,274	728,966	375,709
2018-06-13	$64.42	$65.00	17.8%	5.3%	15.9%	9.1%	18.3%	2.5%	0.7%	183.3M	-1.32B	-7.7M	1.25	3.22	22,713	28,451	730,257	393,656
2018-06-14	$64.14	$65.00	17.4%	5.1%	15.8%	6.6%	18.2%	3.0%	0.3%	156.9M	-1.12B	-7.6M	2.19	2.21	21,560	47,270	729,361	397,655
2018-06-15	$63.63	$65.00	17.5%	5.0%	16.0%	7.2%	18.1%	2.2%	0.1%	34.9M	-560.7M	-7.6M	2.00	2.04	18,331	36,625	673,377	404,004
2018-06-18	$63.63	$65.00	18.7%	5.4%	15.9%	16.4%	18.3%	2.9%	-0.1%	31.8M	-742.4M	-7.5M	1.22	2.28	16,488	20,167	370,978	241,513
2018-06-19	$64.21	$65.00	18.9%	5.4%	15.9%	17.5%	19.1%	2.9%	-0.4%	38.7M	-841.1M	-7.5M	1.68	3.50	18,438	30,887	375,573	244,249
2018-06-20	$64.32	$65.00	18.4%	5.3%	15.7%	13.6%	18.4%	2.7%	0.0%	41.0M	-887.7M	-7.5M	2.76	4.04	14,295	39,464	382,692	244,810
2018-06-21	$63.93	$65.00	19.7%	5.7%	15.4%	23.5%	19.5%	3.3%	-1.0%	30.5M	-799.3M	-7.6M	3.15	6.87	14,280	44,946	385,028	247,571
2018-06-22	$63.27	$65.00	18.9%	5.4%	15.8%	17.4%	18.6%	3.2%	0.1%	23.7M	-661.0M	-7.6M	3.52	5.70	9,261	32,630	391,884	256,049
2018-06-25	$62.92	$65.00	20.0%	5.8%	15.8%	26.2%	19.4%	4.0%	0.0%	24.2M	-588.9M	-7.5M	3.07	3.79	13,105	40,256	390,224	251,785
2018-06-26	$62.57	$65.00	19.7%	5.7%	13.9%	23.7%	19.6%	3.6%	0.0%	21.5M	-527.7M	-7.4M	3.97	4.03	9,953	39,514	395,021	254,507
2018-06-27	$61.59	$64.50	20.4%	5.8%	13.8%	29.5%	19.5%	4.2%	0.0%	9.3M	-291.4M	-7.3M	2.92	3.16	13,346	38,979	397,536	266,909
2018-06-28	$61.40	$64.00	20.9%	6.1%	13.6%	32.9%	20.7%	3.8%	-0.2%	9.1M	-284.3M	-7.4M	1.51	2.78	22,059	33,417	403,171	268,172
2018-06-29	$61.07	$63.00	20.1%	5.8%	12.9%	26.8%	19.6%	2.5%	0.1%	4.7M	-225.3M	-7.4M	2.39	3.44	17,619	42,111	415,919	274,089