KRE Options History — February 2020

In February 2020, KRE traded between $46.66 and $56.99. ATM implied volatility averaged 23.3%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.5% (HV 20d: 20.8%). Max pain ranged from $56.00 to $56.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 11.89.

Notable Days

  • 2020-02-18: Highest Volume — 256,514 contracts
  • 2020-02-28: Largest IV spike — 28.7% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.62$46.66$56.99$55.00$46.66
Max Pain$56.00$56.00$56.00$56.00$56.00
ATM IV23.3%18.1%48.2%21.4%48.2%
Expected Move6.8%5.1%15.1%6.0%15.1%
HV 20d20.8%17.6%32.1%17.6%32.1%
HV 60d16.9%14.8%23.2%14.8%23.2%
IV Rank38.8%10.9%100.0%34.8%100.0%
IV Percentile43.8%7.9%100.0%52.4%100.0%
Term Structure-0.4%-3.0%1.0%-0.5%-3.0%
VWIV25.3%18.4%53.9%21.5%53.9%
Skew 25d6.9%4.9%16.6%5.7%16.6%
Skew 10d11.8%9.2%22.5%10.9%22.5%
Call IV 25d20.2%16.2%41.6%19.0%41.6%
Put IV 25d27.1%21.4%58.1%24.6%58.1%
Bid-Ask Spread %3.501.7816.692.2216.69
Gamma HHI0.140.100.180.110.16
Net GEX-55.8M-74.1M-26.5M-60.8M-46.9M
Net DEX518.0M145.4M1.39B514.5M1.39B
Net VEX-3.3M-3.7M-3.1M-3.5M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.890.5755.261.0455.26
Total Volume59,445.2113,625256,5143,900170,921
Total OI532,777.053440,199588,473514,498588,473

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$55.00$56.0021.4%6.0%17.6%34.8%21.5%5.7%-0.5%-60.8M514.5M-3.5M1.042.221,9131,98788,290426,208
2020-02-04$55.76$56.0019.1%5.3%18.2%17.7%20.1%4.9%0.1%-54.6M378.1M-3.4M0.952.507,3857,00389,390441,700
2020-02-05$56.99$56.0018.8%5.1%19.9%15.5%20.3%5.1%-0.1%-26.5M145.4M-3.1M4.972.655,84729,04091,049439,297
2020-02-06$56.47$56.0018.7%5.5%19.7%14.9%19.5%5.0%0.1%-33.9M231.4M-3.3M2.391.942,2685,41695,376445,689
2020-02-07$55.84$56.0019.4%5.6%20.0%20.1%21.4%5.5%-0.0%-69.5M383.9M-3.4M11.861.921,52118,04496,111444,657
2020-02-10$55.66$56.0020.4%5.7%19.8%27.2%22.2%5.8%-0.5%-60.3M387.3M-3.4M1.083.4010,00310,83980,144450,547
2020-02-11$56.26$56.0019.3%5.7%20.2%19.1%21.7%5.4%0.6%-53.2M284.2M-3.4M5.032.282,46212,38384,197462,207
2020-02-12$56.27$56.0018.1%5.4%20.0%10.9%20.1%5.3%0.8%-50.6M249.2M-3.2M1.301.946,3628,28184,394452,798
2020-02-13$56.50$56.0018.4%5.5%19.2%12.9%20.4%5.2%1.0%-42.7M205.5M-3.1M3.132.382,3077,21288,256454,226
2020-02-14$56.25$56.0018.7%5.4%18.1%14.9%18.9%5.2%0.0%-49.1M240.4M-3.2M0.822.144,5803,76989,263455,091
2020-02-18$55.48$56.0020.0%5.8%18.6%24.5%24.0%5.4%-0.6%-70.7M375.4M-3.1M37.481.806,667249,84785,750447,626
2020-02-19$55.98$56.0018.6%5.3%18.7%14.4%18.4%5.1%0.1%-68.6M321.6M-3.2M0.571.782,3071,31887,689450,057
2020-02-20$56.40$56.0019.7%5.7%18.9%22.1%21.5%5.8%-0.4%-50.7M244.8M-3.1M12.761.8393711,96088,848452,486
2020-02-21$55.59$56.0021.0%5.9%19.5%31.4%22.2%6.5%0.7%-53.8M405.8M-3.3M1.992.193,4666,89189,057460,320
2020-02-24$54.08$56.0025.3%7.4%20.4%62.5%27.4%8.7%-1.0%-62.7M604.7M-3.4M30.232.533,736112,94167,959372,240
2020-02-25$52.02$56.0030.8%9.3%24.2%100.0%33.5%8.6%-1.2%-69.5M994.7M-3.6M21.333.577,503160,06669,500429,854
2020-02-26$51.09$56.0030.1%9.0%24.5%94.9%33.4%7.2%-1.2%-74.1M1.14B-3.6M17.832.543,36760,02774,366453,395
2020-02-27$49.43$56.0037.5%11.1%26.5%100.0%39.9%14.0%-1.8%-62.9M1.34B-3.5M15.9210.1510,574168,30977,319468,935
2020-02-28$46.66$56.0048.2%15.1%32.1%100.0%53.9%16.6%-3.0%-46.9M1.39B-3.7M55.2616.693,038167,88385,055503,418