KRE Options History — July 2018

In July 2018, KRE traded between $60.85 and $63.38. ATM implied volatility averaged 18.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.5% (HV 20d: 14.6%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2018-07-13: Highest Volume — 67,406 contracts
  • 2018-07-19: Largest IV spike — 6.2% change
  • 2018-07-02: Highest IV Rank — 25.3%
  • 2018-07-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.02$60.85$63.38$61.43$61.52
Max Pain$62.95$62.00$65.00$63.00$62.00
ATM IV18.1%16.7%19.9%19.9%18.1%
Expected Move5.2%4.8%5.7%5.7%5.4%
HV 20d14.6%9.8%16.8%12.4%15.9%
HV 60d14.5%14.2%14.8%14.8%14.2%
IV Rank11.9%1.0%25.3%25.3%11.9%
IV Percentile17.8%1.2%47.2%47.2%17.5%
Term Structure0.0%-0.4%0.7%-0.1%-0.4%
VWIV18.9%17.3%22.1%21.5%20.2%
Skew 25d3.6%3.2%4.3%3.7%3.4%
Skew 10d7.5%5.9%9.2%9.2%7.3%
Call IV 25d16.6%14.9%18.4%18.4%16.5%
Put IV 25d20.2%18.3%22.2%22.2%19.9%
Bid-Ask Spread %2.581.834.962.803.29
Gamma HHI0.090.070.130.080.08
Net GEX16.7M-12.7M58.9M8.3M7.1M
Net DEX-431.9M-770.5M-139.9M-327.3M-300.4M
Net VEX-6.9M-7.3M-6.4M-7.3M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.994.802.291.88
Total Volume49,365.76222,76367,40649,30546,678
Total OI698,882.762656,340741,497680,628677,339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$61.43$63.0019.9%5.7%12.4%25.3%21.5%3.7%-0.1%8.3M-327.3M-7.3M2.292.8015,00034,305412,449268,179
2018-07-03$61.31$63.0019.7%5.7%12.4%24.2%22.1%3.8%-0.1%5.1M-286.0M-7.2M2.844.9611,10731,530411,303273,375
2018-07-05$61.45$65.0019.6%5.6%9.8%22.7%19.5%4.2%-0.2%4.4M-314.1M-7.1M0.992.4524,83224,566411,654273,022
2018-07-06$61.81$65.0018.7%5.4%10.1%16.4%18.8%3.3%-0.0%9.8M-417.0M-7.2M2.042.7514,00928,607424,312276,580
2018-07-09$63.33$65.0018.0%5.3%13.9%11.0%19.8%3.7%0.4%58.9M-770.5M-7.1M1.882.3023,34343,816421,469263,391
2018-07-10$62.49$64.0018.9%5.5%14.1%18.0%19.3%4.3%0.1%37.6M-548.5M-7.2M1.972.1216,95133,343425,263272,145
2018-07-11$62.24$64.0019.3%5.5%13.9%20.8%19.9%3.4%0.0%29.2M-487.9M-7.2M1.971.9113,09925,818429,330280,014
2018-07-12$61.43$63.0019.3%5.5%14.5%21.1%18.6%4.0%-0.0%8.3M-274.9M-6.9M2.172.2518,87641,008430,978281,733
2018-07-13$60.85$63.0018.3%5.2%14.7%13.0%17.5%3.8%-0.3%-12.7M-139.9M-6.8M3.792.3914,07053,336441,228289,251
2018-07-16$61.55$63.0017.6%5.0%15.4%7.9%18.9%3.5%0.5%8.5M-310.2M-6.9M1.481.869,18113,582429,650288,655
2018-07-17$61.66$63.0017.5%5.0%15.4%7.2%18.4%3.2%0.7%11.1M-357.8M-6.9M4.801.837,34835,294432,457290,209
2018-07-18$62.32$63.0016.7%4.8%15.6%1.0%17.7%3.4%-0.0%29.8M-504.0M-6.8M1.721.909,60316,510433,030287,628
2018-07-19$62.11$62.0017.7%5.1%15.5%8.9%18.1%3.5%-0.1%23.9M-453.8M-6.8M2.323.1715,78036,559434,460291,576
2018-07-20$62.57$62.0017.0%4.8%15.8%3.2%18.4%3.7%0.7%24.2M-574.9M-7.0M3.402.5213,32445,355441,088300,409
2018-07-23$63.38$62.0017.1%4.9%16.1%4.2%17.8%3.3%0.2%36.0M-739.0M-7.0M1.302.5725,76633,623393,386262,954
2018-07-24$62.59$62.0017.8%5.1%16.6%9.0%17.9%3.5%-0.1%21.5M-550.4M-6.8M3.052.4916,18149,395401,718268,981
2018-07-25$61.99$62.0017.0%4.9%16.8%3.0%17.6%3.5%0.1%9.2M-398.9M-6.8M1.382.9426,51936,645404,973285,772
2018-07-26$62.27$62.0017.0%5.0%15.9%3.6%17.6%3.3%-0.2%14.0M-487.5M-6.9M2.892.4213,14337,968407,258286,976
2018-07-27$62.16$62.0017.4%5.0%15.9%6.2%17.3%3.5%-0.2%2.9M-430.9M-6.7M2.542.4911,93830,374404,636290,199
2018-07-30$61.90$62.0017.9%5.3%15.8%10.3%19.5%3.3%-0.4%14.3M-396.5M-6.6M2.832.8410,00628,293399,388278,120
2018-07-31$61.52$62.0018.1%5.4%15.9%11.9%20.2%3.4%-0.4%7.1M-300.4M-6.4M1.883.2916,23230,446399,437277,902