KRE Options History — September 2020

In September 2020, KRE traded between $34.00 and $40.00. ATM implied volatility averaged 43.1%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 10.7% (HV 20d: 32.4%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2020-09-22: Highest Volume — 54,444 contracts
  • 2020-09-03: Largest IV spike — 10.9% change
  • 2020-09-08: Highest IV Rank — 26.1%
  • 2020-09-08: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.04$34.00$40.00$38.62$35.65
Max Pain$38.95$38.00$39.00$39.00$39.00
ATM IV43.1%39.5%47.1%41.9%42.8%
Expected Move12.3%11.3%13.3%11.8%12.4%
HV 20d32.4%29.2%37.4%31.8%37.3%
HV 60d41.0%37.9%47.3%47.3%38.2%
IV Rank22.7%19.6%26.1%21.6%22.4%
IV Percentile54.6%46.0%61.1%56.3%52.0%
Term Structure0.5%-1.3%4.3%-0.2%4.3%
VWIV43.1%39.7%46.2%40.1%45.0%
Skew 25d3.4%2.1%5.0%2.9%4.4%
Skew 10d5.7%1.2%8.5%5.2%8.5%
Call IV 25d41.9%38.6%46.0%40.7%41.4%
Put IV 25d45.3%41.9%49.9%43.5%45.8%
Bid-Ask Spread %10.434.8454.0311.976.85
Gamma HHI0.090.070.190.070.09
Net GEX-626.7K-8.8M11.2M3.1M-5.7M
Net DEX359.5M124.6M502.6M264.0M423.7M
Net VEX-2.3M-2.8M-1.8M-2.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.323.100.563.10
Total Volume18,306.9055,27754,44429,50717,718
Total OI548,313.333399,152637,288574,902480,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$38.62$39.0041.9%11.8%31.8%21.6%40.1%2.9%-0.2%3.1M264.0M-2.5M0.5611.9718,86710,640254,326320,576
2020-09-02$39.09$39.0042.1%11.8%30.7%21.8%40.3%2.1%-0.4%6.2M216.5M-2.7M0.3354.037,5912,527265,924325,958
2020-09-03$39.02$39.0046.7%13.1%30.7%25.7%45.7%5.0%-1.3%5.4M211.7M-2.7M0.5720.939,6775,556266,349327,311
2020-09-04$40.00$39.0044.2%12.6%29.2%23.5%43.7%3.5%1.2%11.2M124.6M-2.8M2.3816.1910,52725,089266,763329,309
2020-09-08$38.45$39.0047.1%13.3%31.0%26.1%46.2%3.8%-0.5%1.6M278.7M-2.6M0.8815.124,0103,527263,796331,188
2020-09-09$38.10$39.0045.8%12.8%30.0%25.0%46.2%3.4%-1.3%-323.5K317.6M-2.4M2.0410.7911,45123,324265,858333,919
2020-09-10$37.45$39.0043.9%12.6%30.3%23.3%43.7%3.2%0.6%-2.7M372.7M-2.4M0.848.923,7263,124273,868341,687
2020-09-11$37.50$39.0043.0%12.3%30.0%22.6%43.1%3.1%-0.4%-4.0M382.2M-2.3M1.426.2010,81315,378275,973343,678
2020-09-14$38.41$39.0040.6%11.7%31.2%20.5%39.9%3.3%0.5%4.7M299.7M-2.4M0.565.587,2014,035271,708352,595
2020-09-15$37.75$39.0040.1%11.5%31.2%20.1%39.9%2.7%1.1%465.1K362.8M-2.3M0.476.723,5911,686275,280354,273
2020-09-16$38.25$39.0040.5%11.6%30.3%20.4%40.6%3.0%-0.3%6.5M316.7M-2.3M0.596.315,0792,972279,271354,744
2020-09-17$37.89$39.0040.6%11.6%30.4%20.5%40.9%3.0%0.4%4.1M354.1M-2.3M0.465.565,2922,454281,912355,376
2020-09-18$37.81$39.0039.5%11.3%29.6%19.6%39.7%3.3%0.5%6.9M378.8M-2.1M2.095.272,3284,864281,218355,725
2020-09-21$35.43$39.0042.9%12.2%37.4%22.5%43.1%3.8%0.4%-5.1M432.3M-1.9M2.896.123,49610,103162,761236,391
2020-09-22$34.64$39.0043.8%12.4%34.1%23.3%43.5%4.0%-0.9%-6.7M462.1M-1.8M2.185.0617,12537,319163,607243,253
2020-09-23$34.16$39.0044.4%12.6%33.9%23.7%44.6%4.1%-0.7%-8.5M493.7M-1.9M0.665.4913,8499,115177,334265,340
2020-09-24$34.00$39.0045.2%13.0%33.6%24.5%45.4%3.4%-0.7%-8.8M502.6M-1.9M0.825.8710,8428,920183,920270,256
2020-09-25$34.44$39.0043.4%12.4%33.1%22.9%43.4%3.0%0.1%-7.6M487.0M-2.0M1.064.843,9024,120189,441275,100
2020-09-28$35.84$38.0043.4%12.5%37.0%22.9%44.8%3.5%3.5%-6.5M420.0M-2.1M0.675.5418,20612,213183,957270,205
2020-09-29$35.34$39.0043.6%12.6%37.0%23.1%44.4%3.8%3.4%-7.3M447.3M-2.0M0.325.639,2602,928191,390272,610
2020-09-30$35.65$39.0042.8%12.4%37.3%22.4%45.0%4.4%4.3%-5.7M423.7M-2.1M3.106.854,31813,400206,849273,581