KRE Options History — June 2020

In June 2020, KRE traded between $35.98 and $45.89. ATM implied volatility averaged 56.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 17.8% (HV 20d: 73.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2020-06-02: Highest Volume — 138,488 contracts
  • 2020-06-11: Largest IV spike — 23.3% change
  • 2020-06-12: Highest IV Rank — 40.8%
  • 2020-06-12: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.08$35.98$45.89$38.74$38.56
Max Pain$40.45$40.00$41.00$40.00$41.00
ATM IV56.1%47.4%64.3%51.9%54.0%
Expected Move16.1%13.4%18.2%15.5%15.5%
HV 20d73.9%64.4%82.4%74.2%69.0%
HV 60d81.6%73.7%94.8%94.8%73.8%
IV Rank33.8%26.4%40.8%30.2%32.0%
IV Percentile82.6%75.0%89.3%82.1%79.0%
Term Structure-0.9%-2.2%-0.0%-2.1%-0.1%
VWIV58.6%45.4%69.1%56.1%56.4%
Skew 25d10.7%7.6%13.8%9.9%9.1%
Skew 10d19.7%11.9%27.7%18.6%17.5%
Call IV 25d51.2%44.7%59.8%47.2%49.7%
Put IV 25d61.9%52.4%72.0%57.1%58.8%
Bid-Ask Spread %11.904.0927.634.666.60
Gamma HHI0.080.060.130.070.08
Net GEX-8.9M-19.7M1.3M-7.4M-7.6M
Net DEX365.6M-63.4M660.9M366.9M426.7M
Net VEX-3.4M-3.9M-2.4M-2.5M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.318.205.080.82
Total Volume48,240.9098,009138,48810,35364,303
Total OI773,233.955635,727898,640636,944673,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$38.74$40.0051.9%15.5%74.2%30.2%56.1%9.9%-2.1%-7.4M366.9M-2.5M5.084.661,7038,650139,856497,088
2020-06-02$38.20$40.0052.4%15.6%74.4%30.6%55.6%9.8%-1.0%-8.7M405.1M-2.4M1.395.0257,93580,553140,509509,636
2020-06-03$40.89$40.0049.6%14.7%77.3%28.2%53.5%8.7%-1.3%-2.9M237.2M-3.4M0.514.0937,61719,063195,552587,831
2020-06-04$41.93$40.0048.5%13.8%76.4%27.3%50.7%8.0%-0.6%-3.2M186.2M-3.5M0.638.0650,16831,763197,132602,563
2020-06-05$44.45$40.0047.4%13.4%78.3%26.4%45.4%7.6%-2.2%-2.6M-5.5M-3.6M0.3326.1258,09219,020209,857626,072
2020-06-08$45.89$40.0049.6%14.1%77.4%28.2%49.9%8.4%-0.0%1.3M-63.4M-3.8M0.3110.0524,9457,633224,903591,439
2020-06-09$45.19$40.0050.1%14.1%75.3%28.6%51.6%7.8%-1.1%113.2K-13.6M-3.8M1.1816.6016,17219,065228,421598,750
2020-06-10$42.01$40.0051.9%14.8%78.5%30.2%51.3%7.9%-1.0%-4.3M250.0M-3.8M0.9317.1033,14030,863237,126615,981
2020-06-11$38.22$40.0064.1%18.2%82.4%40.6%69.1%11.5%-0.3%-14.7M573.4M-3.6M2.1916.9730,04965,709255,726628,226
2020-06-12$39.10$40.0064.3%18.2%82.0%40.8%67.9%13.6%-1.9%-12.4M514.2M-3.8M0.9027.6324,42821,959248,940647,824
2020-06-15$39.66$40.0061.8%17.5%81.6%38.6%69.1%13.8%-0.2%-11.8M454.7M-3.8M8.2013.425,46644,813234,158640,053
2020-06-16$41.20$40.0062.1%17.7%75.0%38.9%59.9%13.6%-2.2%-7.6M333.7M-3.9M0.5719.5533,81119,438234,573649,661
2020-06-17$40.18$41.0060.2%17.3%74.0%37.3%62.9%11.9%-1.3%-9.9M411.7M-3.7M4.7217.034,65321,961238,818651,265
2020-06-18$40.23$41.0058.8%16.9%73.2%36.1%67.1%12.6%-0.0%-10.9M420.3M-3.7M2.0810.882,6025,407236,952659,273
2020-06-19$40.00$41.0057.5%16.6%73.2%35.0%59.9%12.5%-0.5%-12.7M439.7M-3.6M4.1711.488,33434,748236,976661,664
2020-06-22$39.52$41.0058.0%16.8%73.3%35.4%63.4%12.3%-0.4%-11.9M427.2M-3.6M2.108.192,8255,929191,526447,119
2020-06-23$39.22$41.0055.5%16.1%66.8%33.3%55.8%11.1%-0.5%-11.4M425.2M-3.4M0.7810.3016,02912,479194,967440,760
2020-06-24$37.25$41.0059.9%17.3%64.8%37.0%62.7%12.3%-0.9%-14.9M566.9M-3.2M0.346.2522,2867,542197,132442,697
2020-06-25$38.06$41.0059.4%17.2%64.4%36.6%62.3%10.8%-1.5%-11.4M487.2M-3.4M0.777.3212,2159,424216,565444,756
2020-06-26$35.98$41.0059.7%17.0%66.8%36.8%58.9%11.5%-0.6%-19.7M660.9M-3.0M1.058.4335,38337,010219,902450,553
2020-06-29$37.23$41.0057.7%16.9%67.9%35.1%60.5%9.9%-0.6%-12.2M539.1M-3.1M1.096.007,6968,419217,774447,259
2020-06-30$38.56$41.0054.0%15.5%69.0%32.0%56.4%9.1%-0.1%-7.6M426.7M-3.2M0.826.6035,35628,947221,337451,975