KRE Options History — July 2020

In July 2020, KRE traded between $34.16 and $38.64. ATM implied volatility averaged 51.5%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 2.9% (HV 20d: 54.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 3.48.

Notable Days

  • 2020-07-09: Highest Volume — 91,902 contracts
  • 2020-07-13: Largest IV spike — 6.2% change
  • 2020-07-13: Highest IV Rank — 35.3%
  • 2020-07-09: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.99$34.16$38.64$36.94$37.41
Max Pain$37.41$37.00$40.00$40.00$37.00
ATM IV51.5%44.8%57.9%54.0%45.3%
Expected Move14.6%12.7%16.2%15.6%12.9%
HV 20d54.4%47.2%65.7%65.7%47.4%
HV 60d67.2%63.8%72.4%72.4%63.8%
IV Rank29.8%24.1%35.3%32.0%24.5%
IV Percentile71.0%59.5%81.7%78.6%59.9%
Term Structure-0.6%-1.9%0.4%-0.3%0.1%
VWIV52.1%44.9%59.6%55.2%46.6%
Skew 25d7.4%5.5%9.3%8.6%6.3%
Skew 10d13.3%8.7%17.7%13.8%11.4%
Call IV 25d48.0%41.8%53.4%50.1%42.6%
Put IV 25d55.5%47.5%62.3%58.7%48.9%
Bid-Ask Spread %10.334.6928.746.127.65
Gamma HHI0.100.070.140.090.08
Net GEX-14.7M-24.4M-4.7M-15.1M-9.8M
Net DEX514.7M324.9M810.3M574.2M409.1M
Net VEX-2.8M-3.1M-2.5M-3.1M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.480.3318.010.3911.89
Total Volume33,728.4093,00191,90239,65924,558
Total OI652,029.773528,057750,611725,232574,622

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$36.94$40.0054.0%15.6%65.7%32.0%55.2%8.6%-0.3%-15.1M574.2M-3.1M0.396.1228,61611,043246,769478,463
2020-07-02$36.64$40.0053.0%15.2%64.8%31.1%52.3%8.3%-0.1%-21.3M607.5M-3.1M1.234.6930,99738,045258,347481,793
2020-07-06$36.99$39.0053.9%15.1%60.4%31.9%52.2%9.0%-0.9%-16.8M558.8M-3.1M0.8410.0129,89825,109228,783474,562
2020-07-07$35.64$38.0056.0%15.5%59.2%33.6%55.5%9.1%-1.1%-19.8M663.5M-2.8M3.919.848,62933,763227,862468,693
2020-07-08$35.56$37.0055.1%15.3%59.3%32.9%53.0%9.3%-1.1%-22.3M694.4M-2.8M0.708.3412,8908,976233,203488,496
2020-07-09$34.16$37.0057.6%16.2%55.8%35.1%59.1%9.0%-0.5%-23.1M810.3M-2.6M1.539.2036,31255,590243,928491,801
2020-07-10$35.78$37.0054.5%15.3%49.7%32.4%55.3%8.3%-0.4%-23.6M682.9M-2.7M2.729.459,68226,381222,184498,890
2020-07-13$36.53$37.0057.9%16.0%49.6%35.3%59.6%8.7%-1.9%-20.0M598.6M-2.8M1.2111.9010,74012,962210,858490,275
2020-07-14$35.57$37.0057.0%15.9%49.8%34.5%59.5%8.0%-1.6%-24.4M689.6M-2.6M9.7128.643,78136,711216,689492,033
2020-07-15$37.89$37.0053.7%15.1%53.4%31.7%53.9%7.9%-0.7%-17.1M478.0M-2.8M3.189.2913,70743,601216,685513,866
2020-07-16$37.57$37.0053.3%14.9%52.8%31.4%56.1%7.0%-1.8%-20.1M513.4M-2.8M1.9410.046,78613,140221,829526,524
2020-07-17$36.73$37.0052.3%14.8%53.2%30.6%52.6%7.0%-0.7%-19.2M598.1M-2.7M1.5128.746,69810,121224,138526,473
2020-07-20$36.09$37.0051.2%14.6%53.4%29.5%49.4%6.7%-0.8%-13.3M513.0M-2.5M0.3319.3732,66410,724138,963389,094
2020-07-21$38.03$37.0049.8%14.3%57.1%28.4%51.9%6.1%-0.9%-8.6M375.2M-2.8M0.467.9014,6916,690163,993394,274
2020-07-22$37.64$37.0048.9%14.0%57.1%27.6%51.0%5.6%0.1%-8.7M396.3M-2.8M5.507.197,76542,745170,350397,192
2020-07-23$38.64$37.0048.1%13.8%54.8%26.9%51.9%7.0%-1.1%-5.7M334.8M-2.9M1.736.566,28910,851174,919398,257
2020-07-24$38.55$37.0047.1%13.5%54.3%26.1%45.0%6.7%-0.4%-5.2M335.1M-2.8M0.415.5911,9994,917176,433402,738
2020-07-27$37.48$37.0047.3%13.7%51.3%26.2%49.8%6.1%-0.0%-8.9M397.4M-2.7M2.335.662,3365,448177,486388,509
2020-07-28$37.48$37.0046.5%13.4%49.8%25.6%46.6%7.0%-0.2%-8.9M397.6M-2.6M2.626.198292,172178,932390,066
2020-07-29$38.61$37.0045.0%12.7%49.4%24.3%44.9%5.5%0.2%-4.7M324.9M-2.7M4.508.871,3816,216179,261391,678
2020-07-30$37.93$37.0044.8%12.7%47.2%24.1%45.6%6.5%0.4%-7.1M370.4M-2.6M18.015.941,87133,701179,929394,815
2020-07-31$37.41$37.0045.3%12.9%47.4%24.5%46.6%6.3%0.1%-9.8M409.1M-2.6M11.897.651,90522,653181,222393,400