KRE Options History — January 2020

In January 2020, KRE traded between $54.16 and $58.19. ATM implied volatility averaged 19.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.7% (HV 20d: 13.7%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.04.

Notable Days

  • 2020-01-31: Highest Volume — 213,210 contracts
  • 2020-01-31: Largest IV spike — 12.4% change
  • 2020-01-31: Highest IV Rank — 40.5%
  • 2020-01-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.64$54.16$58.19$58.19$54.16
Max Pain$57.02$56.00$58.00$58.00$56.00
ATM IV19.4%18.3%22.2%18.7%22.2%
Expected Move5.5%5.0%6.4%5.1%6.4%
HV 20d13.7%9.9%16.3%14.7%16.3%
HV 60d15.2%14.6%16.4%16.4%14.7%
IV Rank20.1%11.9%40.5%14.9%40.5%
IV Percentile23.4%10.3%59.9%14.7%59.9%
Term Structure0.1%-0.5%0.5%0.5%0.2%
VWIV19.9%18.2%24.2%18.9%21.7%
Skew 25d3.8%2.7%5.3%3.9%5.3%
Skew 10d7.6%5.0%10.3%8.7%10.3%
Call IV 25d17.7%16.7%19.7%16.7%19.7%
Put IV 25d21.5%20.1%25.0%20.6%25.0%
Bid-Ask Spread %5.222.7116.993.193.12
Gamma HHI0.140.100.170.140.12
Net GEX-42.2M-64.2M-23.7M-28.8M-53.0M
Net DEX267.4M74.5M576.1M80.7M576.1M
Net VEX-2.8M-3.0M-2.6M-2.6M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.040.2433.7612.3722.85
Total Volume40,162.5245,427213,21025,969213,210
Total OI487,328.429318,081616,131524,570396,672

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$58.19$58.0018.7%5.1%14.7%14.9%18.9%3.9%0.5%-28.8M80.7M-2.6M12.373.191,94224,027102,784421,786
2020-01-03$57.88$58.0018.8%5.0%14.2%15.6%18.2%4.7%0.4%-39.0M137.7M-2.6M3.003.296,48219,430104,210428,513
2020-01-06$57.25$57.0020.4%5.7%14.8%27.0%24.2%4.9%0.0%-54.7M260.5M-2.8M33.765.321,43648,477103,395441,895
2020-01-07$56.89$57.0019.6%5.6%14.1%21.5%22.2%4.4%0.1%-64.2M335.7M-2.9M9.1216.9914,963136,522104,156470,338
2020-01-08$57.52$57.0019.4%5.3%14.7%19.8%19.8%3.9%-0.1%-43.3M198.3M-2.9M0.6715.0120,13513,501113,725467,833
2020-01-09$57.47$57.0018.3%5.3%14.7%11.9%19.5%3.5%0.2%-35.8M179.0M-2.9M2.403.965,78713,864127,614470,320
2020-01-10$56.89$57.0018.5%5.3%15.2%13.7%19.7%3.5%-0.0%-54.7M298.6M-2.9M2.154.5314,83031,861128,593470,996
2020-01-13$57.08$57.0019.0%5.4%10.1%17.1%20.0%3.3%-0.1%-33.4M220.4M-2.8M0.873.364,1703,630117,714463,717
2020-01-14$57.39$57.0018.5%5.4%9.9%13.9%19.0%3.0%0.2%-23.9M152.4M-2.7M3.464.143,25311,258118,341465,604
2020-01-15$56.41$57.0019.3%5.6%11.0%19.3%19.5%3.0%0.5%-46.9M344.1M-2.8M1.748.2014,04524,370120,817468,340
2020-01-16$57.40$57.0018.6%5.4%12.2%14.5%18.3%2.8%-0.0%-23.7M130.6M-2.8M0.562.966,8133,812130,962483,826
2020-01-17$57.55$57.0018.6%5.2%12.3%14.1%18.6%2.7%-0.5%-25.7M74.5M-2.7M3.753.708,69632,590131,763484,368
2020-01-21$56.99$57.0019.1%5.5%12.6%18.0%20.3%2.8%0.0%-28.6M142.7M-2.6M1.624.044,3026,98181,135236,946
2020-01-22$56.86$57.0019.0%5.4%12.5%17.1%19.0%2.8%0.2%-34.2M165.7M-2.7M8.593.655664,86184,911257,196
2020-01-23$57.00$57.0018.8%5.4%12.6%15.5%18.2%3.1%-0.0%-34.1M149.6M-2.7M5.933.635,47932,50885,182260,638
2020-01-24$55.76$57.0020.2%5.8%14.6%26.0%20.6%4.0%-0.1%-49.5M394.5M-2.9M7.853.955,92846,51984,495282,057
2020-01-27$55.17$57.0021.4%6.2%14.8%34.4%21.1%4.7%0.1%-47.8M433.9M-3.0M3.254.253,49511,34373,240290,312
2020-01-28$55.47$57.0019.9%5.7%15.1%23.6%19.0%4.4%0.1%-51.2M407.3M-3.0M0.242.715,5161,31075,191305,760
2020-01-29$54.89$57.0019.6%5.6%15.3%21.7%20.5%4.7%0.5%-56.7M492.2M-3.0M1.176.637,5078,76779,884307,649
2020-01-30$55.16$56.5019.8%5.6%15.4%22.7%19.8%4.7%0.4%-57.3M441.8M-3.0M1.473.067,80011,42781,982309,037
2020-01-31$54.16$56.0022.2%6.4%16.3%40.5%21.7%5.3%0.2%-53.0M576.1M-3.0M22.853.128,941204,26986,240310,432