KRE Options History — March 2020

In March 2020, KRE traded between $28.03 and $48.92. ATM implied volatility averaged 83.7%, placing in the 76.1% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 0.3% (HV 20d: 84.0%). Max pain ranged from $48.00 to $56.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 17.69.

Notable Days

  • 2020-03-12: Highest Volume — 321,368 contracts
  • 2020-03-09: Largest IV spike — 79.0% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 38.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.63$28.03$48.92$48.92$32.34
Max Pain$49.86$48.00$56.00$56.00$48.00
ATM IV83.7%35.5%133.5%37.8%71.6%
Expected Move23.6%10.9%38.3%12.2%21.7%
HV 20d84.0%36.3%122.2%37.4%119.0%
HV 60d52.3%25.1%72.3%25.2%72.3%
IV Rank76.1%47.0%100.0%67.0%47.0%
IV Percentile98.1%94.0%100.0%99.6%94.0%
Term Structure-5.5%-33.8%4.4%-0.8%-1.8%
VWIV86.9%46.6%120.1%47.0%91.6%
Skew 25d29.8%13.0%47.2%13.0%24.8%
Skew 10d60.5%26.6%87.8%26.6%69.8%
Call IV 25d70.0%28.4%105.9%31.7%60.0%
Put IV 25d99.8%44.0%153.1%44.7%84.8%
Bid-Ask Spread %38.507.3255.3714.617.32
Gamma HHI0.090.050.120.120.06
Net GEX-19.5M-60.1M-4.7M-51.7M-7.1M
Net DEX1.03B580.2M1.50B1.07B596.5M
Net VEX-2.2M-3.7M-1.0M-3.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.690.09143.003.203.04
Total Volume62,065.3645,977321,36810,14419,966
Total OI541,245.591350,069689,879552,475379,281

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$48.92$56.0037.8%12.2%37.4%67.0%47.0%13.0%-0.8%-51.7M1.07B-3.6M3.2014.612,4137,73180,091472,384
2020-03-03$48.07$56.0041.6%13.3%36.8%79.2%57.7%16.5%-0.9%-49.2M1.16B-3.6M18.7614.383,61767,86480,479475,449
2020-03-04$48.33$56.0035.5%10.9%36.3%59.7%57.5%15.7%-2.6%-60.1M1.20B-3.7M10.5444.842,28624,08782,820519,888
2020-03-05$45.62$51.0048.4%12.1%38.8%100.0%46.6%22.9%-1.7%-46.2M1.44B-3.5M13.6010.4121,580293,56984,643529,497
2020-03-06$43.75$49.0057.8%15.0%40.3%100.0%55.0%30.1%-3.3%-36.2M1.45B-3.4M9.3810.915,36050,273103,701554,384
2020-03-09$37.34$49.00103.4%22.9%65.5%100.0%80.3%27.2%-25.2%-20.3M1.49B-2.5M7.7049.2311,60889,350102,777529,328
2020-03-10$39.53$49.0069.9%18.6%70.8%61.4%78.4%33.8%-3.8%-24.9M1.50B-2.8M16.4648.424,04666,584112,754561,155
2020-03-11$37.09$49.00109.2%22.7%71.9%100.0%83.8%45.1%-33.8%-20.5M1.40B-2.4M4.3548.321,1174,860113,850573,197
2020-03-12$34.31$49.00105.2%30.3%74.2%95.6%109.9%35.8%-5.7%-15.5M1.32B-2.4M108.3543.962,939318,429114,495555,480
2020-03-13$36.38$49.00104.5%28.7%79.3%94.9%102.3%37.6%-2.5%-14.9M1.21B-2.5M2.4240.252,3145,596116,119573,760
2020-03-16$32.86$49.00119.2%33.5%83.9%100.0%115.3%43.3%-4.3%-12.0M1.20B-2.2M7.8142.912,51319,623114,035566,158
2020-03-17$34.47$49.00107.2%30.6%87.9%88.3%120.1%40.5%-5.2%-12.4M1.16B-2.2M143.0040.51932133,278116,154545,743
2020-03-18$30.49$49.00133.5%38.3%93.6%100.0%119.6%47.2%-12.7%-5.7M989.6M-1.5M4.1047.492,59710,638116,919417,988
2020-03-19$33.44$49.00107.6%31.1%102.6%77.8%103.7%37.2%-3.4%-7.1M1.00B-1.8M5.4655.372,47613,516119,036414,043
2020-03-20$31.11$49.0099.7%28.9%103.8%71.1%92.6%36.1%-2.7%-6.1M979.3M-1.4M0.5850.756,5323,768120,336403,349
2020-03-23$28.03$49.0095.3%29.0%107.1%67.3%101.6%19.8%-2.9%-4.7M603.1M-1.0M9.8244.995,02949,38071,394278,675
2020-03-24$30.97$49.0077.8%23.3%116.9%52.3%91.6%27.6%-3.8%-6.2M617.8M-1.1M2.3647.133,5268,31074,650292,151
2020-03-25$32.27$49.0082.2%24.9%119.3%56.1%90.5%24.1%-2.7%-6.5M594.4M-1.3M1.0950.5015,77517,15074,618291,103
2020-03-26$34.00$48.0079.3%23.5%122.2%53.6%85.7%21.6%-3.4%-5.5M580.2M-1.5M0.0954.3219,9771,79088,152302,582
2020-03-27$33.52$48.0079.3%24.2%121.3%53.6%92.9%29.4%4.4%-7.5M580.6M-1.5M14.9742.722,24733,63191,127304,045
2020-03-30$33.00$48.0075.5%23.2%119.0%50.4%88.1%25.9%-1.5%-7.9M602.3M-1.4M2.0437.762,3544,80777,018312,595
2020-03-31$32.34$48.0071.6%21.7%119.0%47.0%91.6%24.8%-1.8%-7.1M596.5M-1.2M3.047.324,93715,02977,708301,573