KRE Options History — September 2018

In September 2018, KRE traded between $59.29 and $63.65. ATM implied volatility averaged 17.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.2% (HV 20d: 12.2%). Max pain ranged from $62.00 to $63.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.78.

Notable Days

  • 2018-09-21: Highest Volume — 106,367 contracts
  • 2018-09-17: Largest IV spike — 9.4% change
  • 2018-09-18: Highest IV Rank — 25.8%
  • 2018-09-17: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.97$59.29$63.65$63.44$59.29
Max Pain$62.58$62.00$63.00$62.00$62.00
ATM IV17.4%16.6%18.9%16.9%17.1%
Expected Move5.1%4.8%5.5%5.1%4.8%
HV 20d12.2%10.8%15.1%11.6%15.0%
HV 60d13.6%12.8%14.6%13.2%14.6%
IV Rank15.9%10.4%25.8%12.3%13.7%
IV Percentile18.5%6.0%38.5%9.1%13.5%
Term Structure-0.0%-1.0%0.7%0.1%0.2%
VWIV18.0%16.4%19.8%16.4%17.5%
Skew 25d3.0%2.6%3.6%2.8%2.7%
Skew 10d6.4%4.8%8.2%6.2%4.9%
Call IV 25d16.4%15.8%17.7%15.8%16.4%
Put IV 25d19.4%18.6%20.7%18.6%19.0%
Bid-Ask Spread %4.152.845.324.113.16
Gamma HHI0.100.080.260.090.10
Net GEX21.0M-47.4M90.5M37.1M-47.4M
Net DEX-303.5M-732.8M463.0M-701.9M463.0M
Net VEX-5.7M-6.0M-5.2M-5.8M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.434.652.100.89
Total Volume56,509.84220,499106,36726,49659,829
Total OI780,628.895690,332855,624715,570848,728

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$63.44$62.0016.9%5.1%11.6%12.3%16.4%2.8%0.1%37.1M-701.9M-5.8M2.104.118,56117,935423,485292,085
2018-09-05$63.65$62.0016.8%5.2%11.6%11.6%17.3%3.1%0.2%42.3M-732.8M-5.9M2.134.0615,03832,055428,319298,532
2018-09-06$63.41$63.0017.0%5.0%11.4%13.0%17.7%3.2%0.0%39.0M-673.4M-5.9M1.065.0521,80723,077436,851301,487
2018-09-07$63.28$63.0016.6%5.0%11.3%10.4%17.9%3.1%0.2%37.5M-630.0M-5.8M1.684.8911,14418,731444,064310,038
2018-09-10$63.15$63.0017.1%5.0%11.3%13.7%16.4%3.1%0.3%32.2M-608.4M-5.6M1.915.217,04213,457443,313302,243
2018-09-11$63.28$63.0017.3%5.1%11.0%14.9%18.5%3.0%0.7%35.9M-650.3M-5.6M0.434.7330,61013,060444,869303,535
2018-09-12$62.28$63.0017.6%5.2%11.5%17.1%17.8%3.1%0.5%24.7M-382.1M-5.6M2.372.8416,92240,132470,196307,436
2018-09-13$61.44$63.0017.5%5.2%11.8%16.6%19.1%3.0%0.6%18.0M-106.9M-5.4M2.934.3414,23041,695479,968318,821
2018-09-14$62.04$63.0017.2%5.0%10.8%14.4%16.6%3.0%0.4%19.5M-318.8M-5.6M1.524.8212,34918,824483,723329,061
2018-09-17$61.49$63.0018.8%5.5%11.1%25.4%19.8%3.3%-1.0%25.3M-174.5M-5.3M2.554.637,09418,067488,294320,030
2018-09-18$61.33$63.0018.9%5.4%10.9%25.8%19.4%3.0%-1.0%19.5M-121.9M-5.2M2.314.2120,40347,120490,327322,546
2018-09-19$62.08$62.0018.2%5.2%11.1%21.1%19.2%3.6%-0.5%34.1M-349.8M-5.5M4.653.0811,66054,235495,151346,033
2018-09-20$62.83$62.0017.2%5.0%12.1%14.6%17.7%3.0%-0.4%90.5M-607.7M-5.5M0.643.9150,12232,121502,971352,653
2018-09-21$62.30$63.0017.1%5.0%12.2%14.0%17.3%3.1%-0.8%18.9M-345.8M-5.6M1.033.6952,47753,890491,468359,510
2018-09-24$61.27$63.0017.4%5.0%13.4%15.8%19.4%2.9%0.0%15.8M-201.4M-5.7M1.905.3225,44248,213401,873288,459
2018-09-25$61.30$62.0017.1%4.9%13.4%13.9%18.5%3.1%0.1%16.0M-213.7M-5.9M1.243.1023,15628,684421,634305,358
2018-09-26$60.16$62.0017.6%5.0%14.7%16.9%17.5%2.6%0.1%-23.4M209.8M-6.0M1.014.4340,72041,297422,518361,977
2018-09-27$59.46$62.0017.6%5.0%15.1%17.3%17.4%2.8%0.1%-37.2M380.7M-6.0M1.393.3042,93259,556423,494370,899
2018-09-28$59.29$62.0017.1%4.8%15.0%13.7%17.5%2.7%0.2%-47.4M463.0M-6.0M0.893.1631,63328,196449,692399,036