KRE Options History — August 2020

In August 2020, KRE traded between $37.17 and $41.24. ATM implied volatility averaged 41.0%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 4.5% (HV 20d: 36.5%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2020-08-11: Highest Volume — 160,099 contracts
  • 2020-08-07: Largest IV drop — 4.6% change
  • 2020-08-03: Highest IV Rank — 24.4%
  • 2020-08-04: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.13$37.17$41.24$37.47$38.75
Max Pain$38.71$37.00$39.00$37.00$39.00
ATM IV41.0%38.8%45.2%45.2%41.6%
Expected Move11.7%11.0%13.0%13.0%11.6%
HV 20d36.5%30.8%47.3%47.3%31.9%
HV 60d55.6%47.8%63.8%63.8%47.8%
IV Rank20.8%18.9%24.4%24.4%21.3%
IV Percentile55.5%53.2%59.5%59.5%56.0%
Term Structure0.3%-0.8%1.6%-0.8%-0.7%
VWIV41.9%38.8%47.4%46.2%42.9%
Skew 25d3.5%2.3%6.4%6.2%2.5%
Skew 10d6.4%3.1%11.2%11.2%5.3%
Call IV 25d39.5%37.8%42.4%42.4%40.2%
Put IV 25d43.0%40.8%48.6%48.6%42.7%
Bid-Ask Spread %5.933.6111.826.406.91
Gamma HHI0.100.070.300.090.07
Net GEX-1.6M-19.4M18.1M-9.5M3.5M
Net DEX304.6M106.9M532.6M407.7M253.9M
Net VEX-2.5M-2.8M-2.3M-2.5M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.187.911.341.48
Total Volume33,289.7145,290160,0995,29016,632
Total OI600,129.333498,383660,549564,238567,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$37.47$37.0045.2%13.0%47.3%24.4%46.2%6.2%-0.8%-9.5M407.7M-2.5M1.346.402,2573,033173,361390,877
2020-08-04$37.17$37.0044.9%13.0%45.3%24.2%47.4%6.4%-0.7%-10.1M428.2M-2.5M3.925.512,2088,662175,334391,559
2020-08-05$38.16$37.0043.6%12.3%46.1%23.1%43.7%5.4%-0.3%-6.0M364.7M-2.5M0.387.5517,2546,566176,856396,966
2020-08-06$38.06$39.0042.3%12.1%43.2%22.0%42.4%4.8%-0.3%-3.7M359.0M-2.5M2.7311.822,1635,902190,382401,090
2020-08-07$39.47$39.0040.4%11.7%42.1%20.3%43.2%3.7%-0.3%1.1M246.2M-2.6M1.455.9418,93827,367189,249405,087
2020-08-10$40.45$39.0041.6%12.0%42.3%21.3%45.1%4.1%0.7%4.9M171.5M-2.6M0.884.0826,72723,467193,650402,739
2020-08-11$41.24$39.0042.2%12.1%40.8%21.9%46.3%3.1%-0.1%6.3M106.9M-2.7M7.916.0617,968142,131206,468421,289
2020-08-12$40.83$39.0040.9%11.8%35.5%20.7%41.2%2.6%0.3%3.2M192.3M-2.8M0.794.866,9485,473207,637439,460
2020-08-13$40.12$39.0040.3%11.7%36.0%20.3%40.8%3.1%0.6%4.2M259.8M-2.7M0.666.626,1164,062210,124443,521
2020-08-14$40.52$39.0039.3%11.3%34.8%19.4%42.7%2.9%-0.1%18.1M211.5M-2.7M0.3910.5123,8569,372212,610446,221
2020-08-17$39.86$39.0039.6%11.3%34.7%19.6%41.6%3.1%1.0%-2.6M310.4M-2.6M0.554.695,3712,965206,216431,032
2020-08-18$38.78$39.0039.3%11.3%31.7%19.4%40.0%2.8%1.2%-11.1M420.9M-2.4M0.383.8513,1304,998206,515440,499
2020-08-19$38.86$39.0038.8%11.1%31.4%18.9%38.9%2.8%1.0%-12.4M419.3M-2.4M0.624.074,9273,042197,506442,571
2020-08-20$38.11$39.0039.6%11.3%30.8%19.7%40.9%3.2%1.2%-19.4M495.5M-2.3M0.263.8918,9734,998200,150443,858
2020-08-21$37.68$39.0039.6%11.2%31.0%19.6%38.9%2.6%1.6%-17.2M532.6M-2.3M0.363.6138,87314,125215,665444,884
2020-08-24$39.25$39.0039.5%11.0%32.7%19.6%39.6%3.6%0.2%-7.7M346.4M-2.4M4.524.4816,11372,907186,592369,725
2020-08-25$39.51$39.0039.9%11.2%32.7%19.9%39.0%3.1%-0.3%469.9K250.8M-2.4M0.185.1449,0148,752192,775305,608
2020-08-26$38.74$39.0041.0%11.5%32.0%20.9%40.1%3.0%-0.1%3.9M247.5M-2.5M0.314.1514,3164,497238,209311,935
2020-08-27$39.47$39.0040.7%11.5%31.9%20.6%40.3%2.3%0.8%9.5M177.4M-2.5M0.744.946,7995,055246,164314,786
2020-08-28$39.24$39.0040.5%11.2%31.5%20.4%38.8%2.5%0.6%11.4M194.0M-2.5M0.599.5320,82512,302247,680318,514
2020-08-31$38.75$39.0041.6%11.6%31.9%21.3%42.9%2.5%-0.7%3.5M253.9M-2.5M1.486.916,7209,912249,580317,772