KRE Options History — October 2020

In October 2020, KRE traded between $35.70 and $42.53. ATM implied volatility averaged 44.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.6% (HV 20d: 36.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.26.

Notable Days

  • 2020-10-02: Highest Volume — 97,502 contracts
  • 2020-10-28: Largest IV spike — 9.8% change
  • 2020-10-28: Highest IV Rank — 27.9%
  • 2020-10-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.68$35.70$42.53$35.70$40.97
Max Pain$38.93$38.00$40.00$39.00$40.00
ATM IV44.3%41.4%49.3%44.8%49.0%
Expected Move12.9%11.9%15.1%12.4%14.9%
HV 20d36.7%30.0%41.2%36.9%34.0%
HV 60d35.1%33.3%38.2%38.2%34.7%
IV Rank23.7%21.2%27.9%24.1%27.7%
IV Percentile53.4%44.4%65.9%56.3%65.1%
Term Structure-0.2%-2.2%3.8%3.5%-0.1%
VWIV45.8%39.5%54.3%43.6%53.5%
Skew 25d5.2%3.3%8.3%3.3%8.3%
Skew 10d10.3%6.5%18.3%6.6%18.0%
Call IV 25d42.0%39.7%46.5%42.2%45.3%
Put IV 25d47.2%44.0%53.7%45.4%53.6%
Bid-Ask Spread %11.685.8624.866.7211.80
Gamma HHI0.120.070.170.090.17
Net GEX5.5M-12.3M17.3M-5.5M-12.3M
Net DEX128.7M-253.9M420.5M420.5M197.1M
Net VEX-3.0M-3.6M-2.2M-2.2M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.2216.230.861.15
Total Volume38,9717,13697,50228,25328,420
Total OI660,245.818493,064730,447493,064701,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$35.70$39.0044.8%12.4%36.9%24.1%43.6%3.3%3.5%-5.5M420.5M-2.2M0.866.7215,15513,098208,914284,150
2020-10-02$37.00$38.5044.3%12.2%39.6%23.6%44.3%4.4%3.8%-1.9M345.2M-2.5M0.406.9769,57627,926220,375295,570
2020-10-05$38.47$38.0044.9%13.5%41.2%24.2%51.6%4.8%0.1%4.8M178.1M-2.8M16.2315.284,38471,146277,972310,763
2020-10-06$38.48$38.0045.2%13.3%38.7%24.5%46.9%4.4%0.2%919.1K206.9M-2.9M0.878.8319,71617,181279,185351,652
2020-10-07$39.53$38.0044.9%12.8%39.7%24.2%45.6%4.6%-0.7%4.1M111.4M-3.0M11.0912.352,49427,665285,724360,428
2020-10-08$40.16$38.0043.7%12.6%39.3%23.2%46.4%3.9%-0.0%6.0M52.3M-3.0M0.6813.2117,52911,901286,715374,843
2020-10-09$39.68$38.0043.5%12.3%39.7%23.0%42.5%3.6%-0.2%5.2M97.4M-3.1M0.777.8511,2688,731296,394382,348
2020-10-12$40.25$39.0042.9%12.3%39.2%22.4%42.1%4.5%-0.1%9.3M61.2M-3.1M0.8319.157,1665,947292,952376,701
2020-10-13$39.02$39.0043.6%12.4%40.4%23.1%46.6%4.2%-0.4%842.2K195.8M-2.9M3.4122.574,25714,510294,640381,169
2020-10-14$38.55$39.0043.3%12.1%40.4%22.8%41.8%4.4%-1.0%-2.0M256.2M-2.9M0.4615.134,8982,238295,223386,730
2020-10-15$39.27$38.0042.8%12.3%40.7%22.4%41.6%4.9%0.2%4.5M167.8M-2.9M0.4010.3220,7458,298299,574385,937
2020-10-16$39.43$39.0041.4%11.9%40.7%21.2%39.5%4.4%0.2%11.2M133.9M-2.9M0.2211.8431,0306,944312,476390,344
2020-10-19$39.25$38.0043.1%12.3%32.2%22.6%42.7%6.1%-1.6%12.1M161.3M-2.9M0.469.5321,72710,084300,343331,912
2020-10-20$40.09$38.0043.0%12.3%31.0%22.6%42.8%5.7%-2.2%17.3M60.7M-3.0M1.4510.9014,10220,445308,601341,158
2020-10-21$40.16$39.0043.7%12.5%30.0%23.2%45.0%5.8%-2.0%14.8M64.6M-3.0M4.395.863,03713,337309,147354,716
2020-10-22$42.10$40.0043.6%12.6%32.6%23.0%43.8%5.2%-2.1%15.8M-187.5M-3.1M0.487.5937,46318,165311,881365,053
2020-10-23$42.53$40.0042.0%12.2%32.6%21.7%44.0%5.3%-1.2%16.1M-253.9M-3.1M1.236.7935,60143,941321,525374,977
2020-10-26$41.60$40.0044.5%13.3%32.7%23.8%47.1%6.2%0.5%11.2M-40.6M-3.6M1.069.3715,82216,818325,594396,348
2020-10-27$40.45$40.0044.9%13.5%34.2%24.2%51.8%6.3%-0.2%8.1M129.8M-3.4M1.977.7812,50724,677327,631399,401
2020-10-28$39.74$40.0049.3%15.1%35.3%27.9%54.3%7.2%-0.7%4.9M228.8M-3.4M0.4024.8668,61327,349330,228400,219
2020-10-29$40.55$40.0046.5%14.2%35.6%25.5%49.5%6.9%-0.6%-5.3M243.3M-3.5M0.8612.3411,5399,912286,723407,173
2020-10-30$40.97$40.0049.0%14.9%34.0%27.7%53.5%8.3%-0.1%-12.3M197.1M-3.5M1.1511.8013,21915,201288,669413,330