KRE Options History — December 2018

In December 2018, KRE traded between $44.52 and $55.59. ATM implied volatility averaged 30.7%, placing in the 85.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.1% (HV 20d: 27.6%). Max pain ranged from $53.00 to $57.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 6.04.

Notable Days

  • 2018-12-07: Highest Volume — 207,758 contracts
  • 2018-12-04: Largest IV spike — 29.6% change
  • 2018-12-17: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.90$44.52$55.59$55.59$46.59
Max Pain$55.60$53.00$57.00$57.00$53.00
ATM IV30.7%20.2%38.3%20.2%31.1%
Expected Move9.2%6.4%11.5%6.4%9.9%
HV 20d27.6%14.9%33.0%14.9%32.3%
HV 60d24.9%21.2%27.1%21.2%26.7%
IV Rank85.6%33.7%100.0%33.7%69.0%
IV Percentile96.1%57.1%100.0%57.1%96.4%
Term Structure-0.6%-2.0%0.9%0.1%-0.4%
VWIV31.7%22.4%39.9%22.4%39.0%
Skew 25d5.9%4.2%7.5%4.2%6.2%
Skew 10d11.4%7.0%16.5%7.4%14.1%
Call IV 25d28.1%18.1%34.5%18.1%28.0%
Put IV 25d34.0%22.3%41.0%22.3%34.2%
Bid-Ask Spread %6.292.4817.542.4810.71
Gamma HHI0.110.070.180.090.11
Net GEX-40.9M-60.5M-24.3M-30.5M-24.3M
Net DEX1.37B490.2M1.99B490.2M832.2M
Net VEX-3.3M-4.6M-2.1M-4.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.040.4740.211.1340.21
Total Volume93,660.129,267207,75829,26785,256
Total OI1,067,196.95739,4021,297,723988,937757,146

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$55.59$57.0020.2%6.4%14.9%33.7%22.4%4.2%0.1%-30.5M490.2M-4.6M1.132.4813,76115,506528,042460,895
2018-12-04$52.62$57.0026.2%8.9%24.7%73.1%31.6%5.6%-0.3%-47.8M1.20B-4.3M3.903.9033,718131,401539,878471,584
2018-12-05$52.63$57.0026.5%9.2%24.6%75.0%33.0%5.4%-0.6%-48.1M1.20B-4.2M3.8917.5433,815131,446539,878471,584
2018-12-06$52.20$56.0026.9%7.5%24.4%77.9%26.7%5.9%-0.4%-60.5M1.33B-4.2M6.753.3714,40197,277560,730517,451
2018-12-07$52.37$56.0026.7%7.7%24.4%76.4%24.8%5.9%-0.0%-47.5M1.20B-4.3M0.473.80141,33166,427567,226526,782
2018-12-10$50.89$56.0029.6%8.4%26.0%95.7%30.2%6.0%-0.4%-32.8M1.34B-4.1M6.763.5515,990108,105662,901495,571
2018-12-11$50.25$56.0029.1%8.3%26.2%92.4%29.6%5.5%0.1%-40.2M1.48B-3.8M5.443.0912,03665,518670,236521,533
2018-12-12$51.00$56.0027.6%8.0%27.0%82.2%28.0%5.4%0.5%-37.4M1.36B-4.1M2.563.2921,67755,452677,051545,368
2018-12-13$49.42$56.0028.2%8.3%28.4%86.9%27.5%4.9%0.8%-49.7M1.68B-3.4M2.222.9613,56430,102684,353538,157
2018-12-14$48.43$56.0029.9%8.7%28.1%97.7%30.8%4.4%0.9%-48.0M1.83B-3.1M3.486.0420,53771,397687,179541,669
2018-12-17$48.08$56.0032.0%9.2%27.9%100.0%30.4%6.1%-1.7%-46.0M1.78B-3.1M5.153.6114,36573,981693,495535,793
2018-12-18$47.58$56.0033.0%9.5%28.0%100.0%32.8%6.0%-1.3%-42.5M1.84B-2.9M2.913.8329,11484,823689,969538,985
2018-12-19$46.02$56.0033.8%9.7%29.4%100.0%32.3%6.2%-1.1%-42.6M1.99B-2.5M4.997.6218,39591,771711,697562,080
2018-12-20$46.12$56.0034.9%10.1%29.5%100.0%33.7%6.5%-1.9%-44.1M1.91B-2.5M2.655.1814,97739,662719,815567,764
2018-12-21$45.16$56.0035.6%10.4%29.8%100.0%33.1%6.9%-1.8%-45.1M1.97B-2.3M5.023.928,48942,573728,142569,581
2018-12-24$44.52$55.0038.3%11.5%27.8%100.0%39.9%6.5%-1.3%-33.1M1.20B-2.1M1.9613.4712,18623,834373,838381,365
2018-12-26$46.32$55.0036.0%10.5%33.0%90.4%34.6%7.5%-2.0%-29.2M988.9M-2.3M1.0413.8425,80726,750375,113364,289
2018-12-27$45.80$53.0035.0%10.8%32.1%86.1%37.8%6.4%-1.1%-30.7M944.7M-2.3M16.859.087,710129,907397,463355,120
2018-12-28$46.42$53.0032.7%10.2%33.0%75.8%35.7%6.4%-0.7%-38.3M891.9M-2.6M3.484.4311,18838,953399,820414,396
2018-12-31$46.59$53.0031.1%9.9%32.3%69.0%39.0%6.2%-0.4%-24.3M832.2M-2.5M40.2110.712,06983,187376,050381,096