KRE Options History — September 2019

In September 2019, KRE traded between $49.10 and $54.66. ATM implied volatility averaged 24.1%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.2% (HV 20d: 26.3%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.84.

Notable Days

  • 2019-09-19: Highest Volume — 267,691 contracts
  • 2019-09-05: Largest IV drop — 11.1% change
  • 2019-09-03: Highest IV Rank — 53.3%
  • 2019-09-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.84$49.10$54.66$49.10$53.05
Max Pain$52.05$51.00$53.00$51.00$53.00
ATM IV24.1%22.5%28.1%28.1%24.8%
Expected Move6.9%6.4%8.9%8.9%7.1%
HV 20d26.3%22.9%30.6%26.5%23.7%
HV 60d25.6%23.9%26.2%24.0%25.8%
IV Rank34.1%26.6%53.3%53.3%37.4%
IV Percentile61.6%46.0%89.7%89.7%71.8%
Term Structure0.0%-0.8%0.6%-0.8%-0.1%
VWIV25.6%23.0%31.9%31.9%25.4%
Skew 25d5.1%3.8%7.3%7.3%5.0%
Skew 10d10.7%7.8%14.0%13.9%11.2%
Call IV 25d21.9%20.6%24.6%24.6%22.5%
Put IV 25d27.0%25.3%31.9%31.9%27.5%
Bid-Ask Spread %6.812.7217.124.106.23
Gamma HHI0.120.080.160.110.11
Net GEX-52.4M-110.4M-27.9M-104.5M-40.1M
Net DEX524.1M156.8M1.36B1.36B493.6M
Net VEX-4.9M-5.8M-4.4M-5.8M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.5616.653.962.61
Total Volume45,583.454,766267,69116,3884,766
Total OI881,438.5571,1311,077,232947,338600,990

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$49.10$51.0028.1%8.9%26.5%53.3%31.9%7.3%-0.8%-104.5M1.36B-5.8M3.964.103,30313,085148,459798,879
2019-09-04$49.40$51.0026.2%7.9%26.5%44.4%30.7%7.0%-0.4%-110.4M1.29B-5.6M5.913.913,65421,608150,310804,646
2019-09-05$50.86$51.0023.3%6.7%28.4%31.0%24.2%5.6%0.3%-86.1M857.5M-5.3M3.5713.7513,00146,386152,490793,975
2019-09-06$50.52$51.0023.0%6.4%27.8%29.6%24.8%5.2%0.0%-93.5M968.5M-5.3M1.2117.1211,35113,754156,870808,268
2019-09-09$52.32$51.0023.7%6.8%30.6%32.9%26.1%5.2%0.1%-70.2M552.5M-5.0M1.285.6413,36217,166150,757812,335
2019-09-10$53.24$51.0024.4%6.9%29.8%35.6%26.1%5.4%-0.3%-54.4M389.6M-4.9M1.149.2135,76040,812157,359823,165
2019-09-11$53.82$51.0023.5%6.7%29.8%31.4%27.6%4.7%-0.2%-43.0M241.7M-4.6M10.475.4514,174148,393160,750831,526
2019-09-12$54.20$52.0024.1%6.9%27.5%34.2%24.5%4.4%-0.1%-43.1M252.8M-5.1M0.565.1916,7729,320168,025881,050
2019-09-13$54.66$52.0023.0%6.5%26.8%28.9%23.0%4.4%-0.2%-31.9M156.8M-5.0M0.615.8210,3196,317173,653887,164
2019-09-16$54.57$52.0023.7%6.8%25.7%32.2%26.1%4.3%0.4%-27.9M191.5M-4.9M4.5114.433,21414,490171,658867,372
2019-09-17$53.91$52.0023.5%6.8%26.1%31.5%24.8%4.2%-0.1%-29.2M302.3M-5.0M3.0311.093,55910,776170,194878,631
2019-09-18$54.41$52.0023.8%6.8%25.3%32.7%24.5%3.8%-0.4%-29.1M188.9M-4.6M2.406.3212,49429,939171,791884,969
2019-09-19$53.86$53.0022.5%6.4%25.8%26.6%23.3%4.2%-0.1%-42.5M287.6M-4.6M16.656.0015,167252,524175,287901,945
2019-09-20$53.24$53.0023.4%6.7%26.4%31.0%23.1%5.2%0.3%-45.2M489.5M-4.5M1.145.904,9245,605146,191823,492
2019-09-23$53.48$53.0023.0%6.6%22.9%28.8%24.2%5.3%0.2%-36.9M453.4M-4.4M4.103.591,8407,53997,969473,162
2019-09-24$52.56$53.0024.9%7.2%24.2%37.9%26.4%5.8%0.6%-41.9M568.7M-4.5M3.603.635,55220,000100,499477,412
2019-09-25$53.57$53.0023.0%6.5%24.0%28.9%24.0%5.0%0.5%-36.5M434.5M-4.4M1.022.7213,18313,448101,819490,545
2019-09-26$52.93$53.0024.4%7.1%24.6%35.5%26.2%4.9%0.3%-39.0M495.6M-4.5M8.182.992,96524,268112,835499,692
2019-09-27$53.07$53.0025.1%7.2%23.7%38.8%24.8%5.4%0.5%-42.5M500.4M-4.6M0.843.1814,62112,258114,808507,828
2019-09-30$53.05$53.0024.8%7.1%23.7%37.4%25.4%5.0%-0.1%-40.1M493.6M-4.5M2.616.231,3213,445117,948483,042