KRE Options History — November 2019

In November 2019, KRE traded between $54.91 and $56.72. ATM implied volatility averaged 19.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.1% (HV 20d: 16.8%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 5.70.

Notable Days

  • 2019-11-01: Highest Volume — 137,004 contracts
  • 2019-11-18: Largest IV spike — 8.1% change
  • 2019-11-05: Highest IV Rank — 20.6%
  • 2019-11-05: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.13$54.91$56.72$54.91$56.42
Max Pain$54.80$53.00$55.00$53.00$55.00
ATM IV19.8%18.3%21.2%19.9%18.5%
Expected Move5.9%5.4%6.4%5.4%5.7%
HV 20d16.8%13.9%21.2%20.3%13.9%
HV 60d21.6%19.0%24.1%23.8%19.0%
IV Rank14.2%7.0%20.6%14.5%8.1%
IV Percentile13.8%6.3%28.6%12.3%7.5%
Term Structure0.1%-1.1%1.8%0.4%-0.5%
VWIV20.9%17.6%24.3%22.8%20.4%
Skew 25d4.0%3.3%5.0%5.0%4.0%
Skew 10d8.2%4.9%15.9%10.1%6.7%
Call IV 25d17.9%16.3%18.8%17.8%16.6%
Put IV 25d21.9%20.0%23.4%22.7%20.6%
Bid-Ask Spread %3.642.805.913.765.85
Gamma HHI0.100.090.150.150.10
Net GEX-41.1M-71.3M-20.9M-37.4M-33.3M
Net DEX155.8M-15.9M299.1M240.3M151.7M
Net VEX-3.5M-3.8M-3.2M-3.7M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.700.1844.167.572.05
Total Volume26,902.151,717137,004137,0041,717
Total OI664,531.35591,799770,258666,806617,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$54.91$53.0019.9%5.4%20.3%14.5%22.8%5.0%0.4%-37.4M240.3M-3.7M7.573.7615,985121,019131,014535,792
2019-11-04$56.02$54.0020.3%6.3%21.2%16.3%20.8%4.6%0.6%-25.9M88.6M-3.7M0.402.9012,8745,125130,887535,395
2019-11-05$56.72$54.0021.2%6.4%17.9%20.6%23.2%4.7%0.5%-20.9M3.5M-3.6M3.883.4710,85942,152133,679537,787
2019-11-06$56.34$55.0020.1%6.4%18.5%15.6%21.5%4.1%0.6%-32.6M65.0M-3.7M10.393.031,84819,204139,298558,017
2019-11-07$56.60$55.0020.3%6.2%18.3%16.3%21.6%3.8%0.6%-28.2M17.7M-3.5M0.303.204,8191,428136,238551,196
2019-11-08$56.70$55.0019.7%6.0%16.8%13.3%21.1%3.9%0.8%-27.8M-15.9M-3.4M44.163.262,887127,484137,798551,333
2019-11-11$56.42$55.0020.2%6.3%16.7%15.7%21.7%4.2%1.8%-39.9M107.4M-3.7M2.022.839982,019137,817607,521
2019-11-12$56.57$55.0020.4%6.0%15.8%16.8%24.3%4.4%0.6%-39.6M76.6M-3.7M4.483.364,52320,264138,239609,503
2019-11-13$56.01$55.0020.3%6.1%16.3%16.4%20.3%4.3%0.9%-47.8M172.2M-3.8M0.433.394,6121,971141,235613,798
2019-11-14$55.86$55.0020.0%6.0%16.4%14.8%22.6%4.0%1.2%-56.2M189.8M-3.8M6.143.374,84629,760143,277615,189
2019-11-15$55.95$55.0018.7%5.6%16.3%8.8%19.6%3.5%1.0%-71.3M140.4M-3.6M0.355.912,506888145,085625,173
2019-11-18$55.62$55.0020.2%5.9%16.0%15.8%18.5%3.3%-1.0%-47.1M297.0M-3.6M0.183.976,7601,236116,108477,431
2019-11-19$55.95$55.0019.7%5.7%16.0%13.7%20.0%3.6%-0.9%-45.0M248.5M-3.5M3.293.712,7228,969113,954477,845
2019-11-20$55.75$55.0020.3%5.8%16.1%16.5%19.4%3.6%-0.8%-51.0M289.8M-3.6M3.173.573,47611,031115,827485,093
2019-11-21$55.66$55.0020.4%5.9%15.9%17.0%20.9%3.8%-1.1%-52.5M299.1M-3.5M1.953.772,1484,199115,998484,381
2019-11-22$55.95$55.0019.8%5.8%15.6%13.9%21.1%3.9%-1.0%-43.3M231.5M-3.4M5.654.352,77715,682117,250486,895
2019-11-25$56.56$55.0019.3%5.7%15.8%11.8%20.5%4.1%-0.4%-41.6M154.9M-3.3M15.103.231,49122,510115,774487,891
2019-11-26$56.11$55.0019.0%5.7%16.0%10.5%19.7%3.9%-0.4%-45.1M222.8M-3.4M1.983.092,9545,853116,543493,312
2019-11-27$56.56$55.0018.3%5.5%15.7%7.0%17.6%3.8%-0.5%-36.1M135.9M-3.2M0.552.804,1522,295118,961494,809
2019-11-29$56.42$55.0018.5%5.7%13.9%8.1%20.4%4.0%-0.5%-33.3M151.7M-3.2M2.055.855631,154121,824495,460