KRE Options History — December 2019

In December 2019, KRE traded between $55.09 and $59.22. ATM implied volatility averaged 18.3%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.3% (HV 20d: 15.1%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2019-12-12: Highest Volume — 135,990 contracts
  • 2019-12-04: Largest IV drop — 7.2% change
  • 2019-12-30: Highest IV Rank — 19.1%
  • 2019-12-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.71$55.09$59.22$55.98$58.38
Max Pain$56.50$55.00$58.00$55.00$58.00
ATM IV18.3%16.6%20.7%19.9%18.5%
Expected Move5.4%4.8%6.6%6.2%5.1%
HV 20d15.1%11.7%17.1%12.5%16.0%
HV 60d17.9%16.4%19.0%19.0%16.4%
IV Rank8.0%0.0%19.1%14.4%13.2%
IV Percentile8.6%0.0%27.0%15.1%13.1%
Term Structure0.2%-1.2%0.7%0.0%0.4%
VWIV20.2%14.8%23.9%22.3%18.9%
Skew 25d4.1%2.9%5.7%4.9%4.8%
Skew 10d7.5%5.9%9.9%7.8%9.6%
Call IV 25d16.6%15.7%18.2%17.6%16.6%
Put IV 25d20.7%18.9%23.9%22.4%21.5%
Bid-Ask Spread %4.342.689.904.093.08
Gamma HHI0.120.100.190.100.13
Net GEX-24.4M-51.4M1.2M-39.9M-27.3M
Net DEX25.1M-267.7M413.3M241.6M67.6M
Net VEX-2.8M-3.6M-2.3M-3.3M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.0522.872.511.89
Total Volume22,658.5244,024135,99022,1028,407
Total OI603,734.19482,158665,645600,460516,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$55.98$55.0019.9%6.2%12.5%14.4%22.3%4.9%0.0%-39.9M241.6M-3.3M2.514.096,30415,798119,919480,541
2019-12-03$55.09$55.0020.7%6.6%11.7%18.1%23.9%5.7%0.2%-51.4M413.3M-3.6M6.453.173,72424,022124,307493,055
2019-12-04$55.94$55.0019.2%6.1%12.2%11.1%21.0%4.7%0.3%-43.1M243.6M-3.4M2.272.852,7616,254126,297502,854
2019-12-05$56.17$56.0018.6%5.6%12.1%8.4%22.0%3.8%-1.2%-37.3M203.7M-3.3M1.269.902,4983,136126,862506,167
2019-12-06$56.98$56.0017.8%5.2%13.0%4.6%21.1%4.2%0.5%-26.7M67.2M-3.0M3.126.738,65126,950127,562511,026
2019-12-09$56.95$56.0018.4%5.4%13.0%7.7%19.5%4.5%0.3%-28.7M75.0M-3.0M0.442.682,8021,222130,308518,566
2019-12-10$56.99$56.0018.9%5.5%12.9%9.7%20.0%4.2%0.2%-25.7M57.9M-3.0M0.973.383,8823,757132,360519,012
2019-12-11$56.99$56.0018.0%5.3%12.8%5.8%20.4%4.2%0.6%-24.3M41.6M-2.9M0.703.393,1342,203134,735518,569
2019-12-12$58.75$56.0018.7%5.3%16.1%8.9%23.0%3.9%0.0%-5.2M-224.8M-2.6M22.874.355,698130,292134,919519,426
2019-12-13$58.16$56.0018.0%5.3%16.6%5.6%21.5%3.6%0.7%-14.6M-123.7M-2.7M3.996.923,09612,340137,040528,605
2019-12-16$58.60$56.0017.2%4.9%16.8%1.9%19.2%3.3%0.6%-9.6M-200.0M-2.4M4.283.253,29114,071131,508524,362
2019-12-17$59.22$56.0017.1%4.9%16.7%1.6%17.8%2.9%0.0%-10.2M-267.7M-2.4M0.963.213,0732,935132,256528,277
2019-12-18$59.01$56.0017.0%4.9%16.8%0.8%19.1%3.5%0.0%-8.4M-264.1M-2.3M1.973.291,8483,635132,193530,248
2019-12-19$58.82$56.0016.6%4.8%16.8%0.0%14.8%3.1%0.1%1.2M-230.2M-2.4M0.053.0751,7272,841131,915531,652
2019-12-20$58.44$58.0017.8%5.2%17.1%5.5%20.7%3.9%-0.8%-28.2M44.9M-2.7M6.364.234,96831,59595,128531,971
2019-12-23$58.31$58.0017.9%5.1%17.1%5.8%19.0%4.2%0.4%-29.4M85.8M-2.7M0.513.4116,6488,41085,656396,502
2019-12-24$58.36$58.0018.2%5.2%16.8%7.4%18.8%3.9%0.3%-23.7M61.2M-2.7M0.763.052,7122,07099,946401,894
2019-12-26$58.41$58.0018.2%5.2%16.4%8.2%19.8%3.8%0.4%-23.1M49.3M-2.6M3.933.051,0564,153100,098403,678
2019-12-27$58.11$58.0018.5%5.3%16.4%10.1%22.1%3.6%0.3%-27.4M87.3M-2.7M1.478.3413,01719,175100,541405,506
2019-12-30$58.16$57.5019.7%5.7%16.4%19.1%20.4%4.9%0.2%-29.2M97.3M-2.7M3.165.762,8058,86897,920408,413
2019-12-31$58.38$58.0018.5%5.1%16.0%13.2%18.9%4.8%0.4%-27.3M67.6M-2.7M1.893.082,9085,499100,382416,242