KRE Options History — November 2018

In November 2018, KRE traded between $53.95 and $55.87. ATM implied volatility averaged 23.8%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.9% (HV 20d: 21.9%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.28.

Notable Days

  • 2018-11-02: Highest Volume — 137,622 contracts
  • 2018-11-07: Largest IV drop — 14.8% change
  • 2018-11-05: Highest IV Rank — 75.2%
  • 2018-11-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.93$53.95$55.87$54.57$55.87
Max Pain$57.10$57.00$58.00$58.00$57.00
ATM IV23.8%21.3%26.5%24.8%21.5%
Expected Move7.1%6.2%7.8%7.8%6.8%
HV 20d21.9%13.7%28.5%28.5%14.7%
HV 60d20.4%19.9%21.2%20.4%21.2%
IV Rank57.4%41.3%75.2%64.0%42.1%
IV Percentile84.2%66.3%96.4%92.1%66.3%
Term Structure-0.4%-2.0%0.8%0.0%-0.7%
VWIV26.1%21.4%31.7%30.1%26.3%
Skew 25d4.9%3.7%5.8%4.6%4.8%
Skew 10d10.6%7.9%12.9%10.1%10.6%
Call IV 25d21.6%19.6%23.9%22.9%19.6%
Put IV 25d26.5%23.6%29.7%27.5%24.4%
Bid-Ask Spread %3.531.989.126.372.73
Gamma HHI0.080.070.110.070.09
Net GEX-21.4M-54.8M10.6M-11.9M-23.6M
Net DEX664.4M394.5M950.7M707.0M394.5M
Net VEX-5.1M-5.8M-4.7M-5.6M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.281.326.943.183.92
Total Volume95,141.66760,946137,62298,14467,962
Total OI1,026,246899,5151,109,4651,057,5111,001,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$54.57$58.0024.8%7.8%28.5%64.0%30.1%4.6%0.0%-11.9M707.0M-5.6M3.186.3723,49674,648581,024476,487
2018-11-02$54.64$58.0024.6%7.8%28.5%63.0%31.7%4.5%-0.1%-12.3M729.7M-5.8M3.819.1228,604109,018586,610490,648
2018-11-05$54.92$57.0026.5%7.4%28.0%75.2%26.0%5.3%-1.2%808.5K610.5M-5.7M2.174.1034,15474,190601,910446,272
2018-11-06$55.09$57.0025.1%7.3%28.1%66.0%26.2%4.7%-0.3%1.6M583.2M-5.8M1.322.8246,38161,098616,354466,164
2018-11-07$55.46$57.0021.4%6.4%28.2%41.4%22.6%3.7%-0.1%10.4M544.1M-5.5M1.513.3034,44552,148626,381470,146
2018-11-08$55.71$57.0021.3%6.2%26.8%41.3%21.9%4.2%-0.0%10.6M504.0M-5.5M3.063.0831,65996,959622,519475,980
2018-11-09$55.56$57.0021.8%6.3%24.3%43.9%21.4%4.4%-0.0%-20.8M608.1M-5.4M1.343.5544,57159,875614,203489,674
2018-11-12$55.09$57.0023.8%6.9%24.2%57.2%24.6%5.3%0.7%-13.0M733.9M-5.2M2.353.6618,21442,732591,945472,191
2018-11-13$55.18$57.0024.0%7.1%24.2%59.0%25.1%4.7%0.6%-13.7M726.8M-5.2M2.773.7519,83154,866596,715476,350
2018-11-14$54.30$57.0025.0%7.4%24.6%65.7%26.7%4.9%0.8%-28.5M950.7M-5.0M6.943.2116,352113,405597,699480,844
2018-11-15$55.01$57.0024.5%7.1%24.6%61.8%26.3%4.9%0.5%-20.9M790.0M-5.1M4.553.7214,93668,024597,291506,797
2018-11-16$55.13$57.0023.4%6.9%23.9%55.1%23.7%4.8%0.6%-25.0M767.0M-5.0M4.592.9318,33084,077596,990512,475
2018-11-19$54.78$57.0024.6%7.1%21.3%63.1%29.4%5.8%-1.8%-37.1M626.6M-4.9M2.703.3425,79169,536483,441416,074
2018-11-20$54.11$57.0026.4%7.6%21.8%74.4%27.5%5.8%-1.7%-41.4M764.0M-4.9M2.642.9625,98568,609494,675426,174
2018-11-21$54.14$57.0024.8%7.1%15.7%64.0%26.1%5.2%-1.5%-44.5M752.3M-4.9M2.892.4318,37153,113505,213437,109
2018-11-23$53.95$57.0025.1%7.4%13.7%65.8%30.0%5.5%-2.0%-54.8M786.2M-4.8M3.623.6415,24355,136510,245447,500
2018-11-26$55.05$57.0023.6%7.2%14.9%56.3%28.6%5.0%-0.7%-28.4M558.7M-4.8M4.002.4323,20092,882507,735433,061
2018-11-27$54.53$57.0023.1%7.1%15.0%52.9%25.4%4.9%-0.7%-34.6M698.1M-4.7M3.392.6414,76350,025516,320430,845
2018-11-28$55.22$57.0022.1%6.9%14.8%46.2%23.4%4.8%-0.6%-32.7M553.2M-4.7M3.501.9821,93376,797519,848443,470
2018-11-29$55.12$57.0022.2%7.0%14.2%46.9%25.2%4.5%-0.8%-29.8M563.6M-4.7M4.562.3117,38879,228528,707455,493
2018-11-30$55.87$57.0021.5%6.8%14.7%42.1%26.3%4.8%-0.7%-23.6M394.5M-4.9M3.922.7313,80954,153531,460470,127