KRE Options History — November 2020

In November 2020, KRE traded between $40.53 and $50.75. ATM implied volatility averaged 40.2%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 22.2% (HV 20d: 62.4%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2020-11-04: Highest Volume — 144,646 contracts
  • 2020-11-04: Largest IV drop — 12.5% change
  • 2020-11-02: Highest IV Rank — 27.2%
  • 2020-11-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.76$40.53$50.75$42.17$47.82
Max Pain$41.70$40.00$44.00$40.00$44.00
ATM IV40.2%37.5%48.4%48.4%39.7%
Expected Move11.8%10.9%15.1%15.1%11.7%
HV 20d62.4%32.8%71.4%32.8%71.1%
HV 60d46.3%34.4%50.5%34.4%50.5%
IV Rank20.1%17.9%27.2%27.2%19.7%
IV Percentile35.0%27.0%63.1%63.1%32.1%
Term Structure-0.2%-2.1%1.7%-0.5%1.7%
VWIV41.6%37.7%53.0%53.0%41.5%
Skew 25d2.8%1.0%7.1%7.1%2.8%
Skew 10d6.1%2.5%27.3%13.6%5.6%
Call IV 25d39.3%36.9%44.6%44.6%38.5%
Put IV 25d42.0%38.7%51.7%51.7%41.3%
Bid-Ask Spread %7.433.5723.1623.166.97
Gamma HHI0.080.060.100.080.06
Net GEX12.5M-7.2M23.4M1.2M10.1M
Net DEX-472.9M-889.5M279.0M75.0M-304.8M
Net VEX-3.6M-3.7M-3.3M-3.6M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.262.150.410.68
Total Volume43,259.259,729144,64638,02450,622
Total OI758,368.4638,996860,677638,996730,469

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$42.17$40.0048.4%15.1%32.8%27.2%53.0%7.1%-0.5%1.2M75.0M-3.6M0.4123.1626,93011,094265,960373,036
2020-11-03$43.50$40.0045.6%14.4%34.0%24.8%51.4%6.7%-0.5%3.6M-47.9M-3.6M1.2712.1328,29935,985265,960373,036
2020-11-04$40.53$40.0039.9%12.0%42.7%19.9%42.7%3.5%0.4%-7.2M279.0M-3.3M0.5414.9893,99050,656287,433400,776
2020-11-05$42.31$41.0038.7%11.3%44.9%18.9%38.9%2.1%0.4%9.5M-17.4M-3.7M1.656.5928,65947,302347,672399,526
2020-11-06$41.50$41.0037.5%10.9%45.3%17.9%37.7%1.8%1.0%-2.2M139.8M-3.5M1.086.926,3876,886345,966425,898
2020-11-09$48.15$41.0040.0%11.2%69.0%20.0%39.7%1.2%-2.1%15.6M-739.1M-3.6M0.475.0533,63915,979340,527414,463
2020-11-10$48.36$41.0039.9%11.4%67.4%19.9%40.6%1.2%-0.1%16.0M-771.1M-3.5M0.305.4525,6867,671347,722424,195
2020-11-11$46.74$41.0038.9%11.2%68.8%19.0%39.8%1.0%0.2%18.1M-560.5M-3.6M0.686.3119,33513,195352,427427,975
2020-11-12$45.58$41.0041.9%12.1%69.8%21.6%43.0%2.6%-0.2%14.8M-369.5M-3.7M0.867.7425,56521,911348,399423,827
2020-11-13$47.36$42.0042.2%12.3%70.6%21.9%42.8%2.1%0.8%17.1M-627.5M-3.7M0.366.8253,61219,136361,246435,595
2020-11-16$49.01$42.0039.9%11.4%71.0%19.9%41.9%2.0%0.3%23.4M-889.5M-3.5M2.155.5310,35022,288384,218424,143
2020-11-17$48.91$42.0040.1%11.5%71.0%20.1%42.1%2.1%-0.2%21.5M-868.5M-3.5M0.755.1118,86314,220383,909443,037
2020-11-18$48.34$42.0038.7%11.1%71.4%18.9%38.8%2.4%-0.2%21.7M-800.5M-3.6M0.803.5713,37110,734394,175453,065
2020-11-19$48.17$42.0039.0%11.2%70.1%19.2%39.8%2.4%-0.3%19.3M-768.9M-3.6M1.965.493,2846,445396,945460,845
2020-11-20$47.80$42.0038.3%11.0%70.2%18.6%39.2%2.3%-0.4%11.9M-738.2M-3.5M0.316.1235,42110,989398,424462,253
2020-11-23$48.68$42.0038.1%11.1%69.6%18.4%39.5%2.9%-0.7%15.6M-513.2M-3.6M0.574.4517,0469,761340,689358,249
2020-11-24$50.75$42.0038.3%11.3%69.2%18.5%39.7%2.7%-0.9%18.0M-777.1M-3.4M0.636.6822,97514,424340,844360,563
2020-11-25$50.18$44.0039.2%11.3%68.9%19.3%40.2%3.3%-1.8%11.7M-632.8M-3.6M1.234.415,8027,123343,835391,374
2020-11-27$49.41$44.0039.0%11.5%69.4%19.2%40.3%2.9%-1.9%10.1M-524.7M-3.6M0.265.1815,5474,003345,200393,492
2020-11-30$47.82$44.0039.7%11.7%71.1%19.7%41.5%2.8%1.7%10.1M-304.8M-3.5M0.686.9730,17320,449347,656382,813