KRE Options History — April 2020

In April 2020, KRE traded between $29.20 and $39.97. ATM implied volatility averaged 63.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 35.7% (HV 20d: 99.1%). Max pain ranged from $33.00 to $48.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.07.

Notable Days

  • 2020-04-07: Highest Volume — 70,962 contracts
  • 2020-04-06: Largest IV drop — 17.8% change
  • 2020-04-03: Highest IV Rank — 55.3%
  • 2020-04-01: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.10$29.20$39.97$30.34$38.23
Max Pain$34.62$33.00$48.00$48.00$35.00
ATM IV63.3%44.2%81.3%79.7%48.4%
Expected Move18.3%12.7%24.5%24.5%14.1%
HV 20d99.1%77.9%119.7%119.6%80.0%
HV 60d81.3%73.2%87.2%73.2%87.2%
IV Rank39.9%23.6%55.3%53.9%27.2%
IV Percentile90.6%84.5%95.6%95.6%85.7%
Term Structure-1.2%-5.2%4.3%-1.9%0.1%
VWIV68.4%49.5%90.3%90.3%64.2%
Skew 25d19.5%11.9%26.9%26.9%12.9%
Skew 10d38.2%22.9%54.3%54.3%26.6%
Call IV 25d54.2%39.1%68.0%67.0%42.5%
Put IV 25d73.7%50.9%93.9%93.9%55.4%
Bid-Ask Spread %9.714.8227.4326.267.17
Gamma HHI0.090.050.350.070.08
Net GEX-6.8M-15.8M-2.9M-6.6M-3.6M
Net DEX470.9M280.2M609.2M609.2M337.7M
Net VEX-1.5M-2.1M-957.3K-1.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.070.3212.4012.195.49
Total Volume24,129.194,57670,96214,41853,909
Total OI398,121.571357,476473,062374,382392,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$30.34$48.0079.7%24.5%119.6%53.9%90.3%26.9%-1.9%-6.6M609.2M-1.0M12.1926.261,09313,32580,393293,989
2020-04-02$30.73$33.0077.0%21.2%119.5%51.7%79.2%26.7%-2.6%-6.6M589.3M-1.1M1.3521.335,0746,83881,023289,443
2020-04-03$29.20$33.0081.3%22.7%119.7%55.3%76.1%25.6%-5.2%-7.9M589.5M-957.3K3.1327.434,80115,02084,666292,644
2020-04-06$31.86$33.0066.8%18.5%113.7%42.9%83.7%20.6%-2.2%-7.1M557.2M-1.2M5.0210.533,79619,04980,122293,627
2020-04-07$33.27$34.0062.5%18.1%112.8%39.2%73.0%18.4%1.5%-6.7M530.0M-1.3M7.5511.388,29862,66483,216303,139
2020-04-08$34.45$34.0059.3%17.1%111.8%36.5%62.1%19.1%-0.3%-4.7M501.5M-1.5M0.498.347,1683,52489,101325,577
2020-04-09$37.50$34.0056.3%16.7%112.4%33.9%62.8%19.4%4.3%-7.4M419.4M-1.8M0.408.0728,73411,40593,528326,955
2020-04-13$35.39$34.0061.6%17.7%112.6%38.4%63.1%18.7%-2.6%-6.2M480.6M-1.6M0.926.425,5575,11896,041330,637
2020-04-14$34.66$34.0060.1%17.2%106.5%37.2%66.1%18.1%-0.2%-6.7M490.2M-1.5M2.895.9910,91731,50794,496329,933
2020-04-15$32.50$35.0068.2%19.5%107.7%44.1%67.4%19.7%-2.9%-9.4M559.8M-1.4M2.235.803,3837,556100,159350,427
2020-04-16$31.05$34.0071.0%20.4%99.4%46.5%70.4%21.7%-1.8%-10.1M585.5M-1.3M10.976.184,19446,024102,567351,542
2020-04-17$34.06$34.0065.6%19.0%99.5%41.9%70.7%19.7%-1.9%-15.8M498.2M-1.6M2.906.318,24823,922103,053370,009
2020-04-20$33.80$34.0068.8%20.3%95.7%44.6%74.0%22.2%-1.8%-6.2M436.3M-1.6M3.648.274,43816,13484,211288,929
2020-04-21$33.05$34.0071.1%20.8%87.5%46.6%76.2%22.1%-2.8%-6.9M449.6M-1.6M6.877.611,46710,07286,389292,819
2020-04-22$33.02$34.0068.2%20.2%80.6%44.1%72.5%21.2%-1.7%-7.0M451.4M-1.5M12.407.8898712,23786,505294,431
2020-04-23$33.72$34.0064.0%18.8%79.6%40.6%67.0%19.3%-1.6%-6.8M425.0M-1.6M1.756.841,6622,91486,926295,866
2020-04-24$34.57$33.5058.1%16.7%77.9%35.5%61.6%17.2%-1.8%-5.7M404.2M-1.6M0.325.566,6482,11187,989296,799
2020-04-27$36.91$33.5049.2%14.1%81.0%27.9%53.5%15.4%-0.4%-3.9M358.8M-1.7M1.654.826,99411,55086,202271,274
2020-04-28$37.75$34.0048.3%14.1%80.8%27.1%52.8%13.8%0.8%-2.9M336.0M-1.8M1.916.029,64918,45291,814279,260
2020-04-29$39.97$35.0044.2%12.7%82.0%23.6%49.5%11.9%0.5%-3.9M280.2M-2.1M1.325.644,4345,84098,614293,322
2020-04-30$38.23$35.0048.4%14.1%80.0%27.2%64.2%12.9%0.1%-3.6M337.7M-1.9M5.497.178,31245,59797,211295,705