KRE Options History — May 2020

In May 2020, KRE traded between $31.18 and $40.61. ATM implied volatility averaged 53.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 20.7% (HV 20d: 73.9%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.91.

Notable Days

  • 2020-05-13: Highest Volume — 126,006 contracts
  • 2020-05-18: Largest IV drop — 16.3% change
  • 2020-05-14: Highest IV Rank — 39.5%
  • 2020-05-14: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.41$31.18$40.61$36.25$38.25
Max Pain$45.75$35.00$50.00$35.00$40.00
ATM IV53.1%47.1%62.8%53.6%51.3%
Expected Move15.3%13.5%17.9%16.0%14.8%
HV 20d73.9%61.6%83.2%83.2%76.7%
HV 60d91.1%87.5%95.4%87.5%95.4%
IV Rank31.2%26.0%39.5%31.6%29.7%
IV Percentile83.7%77.8%88.9%86.1%81.0%
Term Structure-0.1%-3.0%1.2%-0.0%-1.6%
VWIV57.4%49.2%70.8%65.2%49.6%
Skew 25d12.5%9.4%15.7%15.1%9.4%
Skew 10d24.1%16.6%34.4%29.9%18.2%
Call IV 25d47.2%41.3%57.0%46.2%46.7%
Put IV 25d59.7%52.3%70.1%61.3%56.0%
Bid-Ask Spread %5.053.6012.405.375.00
Gamma HHI0.070.060.150.060.07
Net GEX-10.1M-17.1M-3.3M-9.2M-14.2M
Net DEX461.0M277.4M652.6M438.5M384.4M
Net VEX-2.0M-2.4M-1.6M-2.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.5412.934.970.54
Total Volume43,699.855,508126,00626,17139,767
Total OI527,967.1423,722666,550446,780666,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$36.25$35.0053.6%16.0%83.2%31.6%65.2%15.1%-0.0%-9.2M438.5M-2.0M4.975.374,38721,784105,099341,681
2020-05-04$36.01$50.0053.1%15.2%80.5%31.2%62.3%15.7%0.2%-9.2M444.6M-1.9M3.275.251,2894,21996,790326,932
2020-05-05$35.28$50.0052.8%15.4%75.8%30.9%54.3%15.2%-0.3%-10.0M463.1M-1.8M4.344.811,6647,22197,596327,613
2020-05-06$34.33$50.0054.2%15.8%75.2%32.1%64.2%15.2%0.2%-11.4M498.0M-1.7M3.263.992,7849,06898,050329,350
2020-05-07$34.83$50.0050.8%14.8%74.3%29.2%55.4%14.1%0.4%-10.1M467.8M-1.8M0.775.4710,6578,165106,930335,594
2020-05-08$36.61$50.0047.1%13.5%70.0%26.0%49.2%12.1%0.4%-6.5M403.4M-1.9M1.0312.4021,24121,815105,359339,035
2020-05-11$35.03$50.0051.9%15.0%68.7%30.2%51.6%12.1%0.4%-9.3M459.0M-1.8M0.824.6327,40622,546115,177344,500
2020-05-12$33.41$48.0053.5%15.5%70.3%31.5%54.1%12.9%0.3%-14.9M552.8M-1.6M1.993.6029,24358,096134,713362,014
2020-05-13$31.18$46.0062.0%17.8%70.9%38.8%63.3%14.9%0.2%-15.9M652.6M-1.6M9.014.5812,590113,416155,108379,898
2020-05-14$32.32$46.0062.8%17.9%70.2%39.5%70.8%13.1%-0.5%-15.1M586.9M-1.8M4.127.5721,19687,321159,298400,606
2020-05-15$31.94$46.0062.7%17.4%61.6%39.4%62.8%13.9%-3.0%-17.1M623.2M-1.8M2.053.9511,14922,901171,844447,502
2020-05-18$35.38$46.0052.5%15.0%72.0%30.6%60.1%11.1%0.1%-4.6M408.5M-2.0M1.663.8812,80521,319127,674384,761
2020-05-19$34.06$45.0054.1%15.5%72.9%32.1%54.9%11.1%1.2%-7.6M474.2M-1.9M1.503.9912,44718,700125,930396,493
2020-05-20$35.40$45.0051.8%14.9%74.1%30.1%61.4%10.6%0.3%-3.3M420.2M-2.0M0.774.4612,5109,605133,018412,471
2020-05-21$35.27$45.0051.5%14.8%73.8%29.8%58.4%11.2%0.0%-5.6M446.0M-2.0M12.934.116,33081,819125,765418,879
2020-05-22$34.86$45.0051.0%14.5%73.5%29.4%58.8%11.5%0.5%-12.9M527.7M-2.2M1.764.017,54513,272127,691497,530
2020-05-26$38.03$45.0048.2%13.8%76.3%27.0%52.3%9.8%0.3%-7.8M365.9M-2.2M1.984.0412,95325,673117,187484,941
2020-05-27$40.61$43.0047.7%13.7%79.4%26.5%49.3%10.3%-1.2%-7.1M277.4M-2.3M0.835.4729,18924,109115,338497,822
2020-05-28$39.22$40.0050.1%14.3%77.9%28.6%50.3%9.8%0.3%-9.4M326.3M-2.4M0.614.4115,9749,822131,511515,092
2020-05-29$38.25$40.0051.3%14.8%76.7%29.7%49.6%9.4%-1.6%-14.2M384.4M-2.4M0.545.0025,88613,881147,547519,003