KRE Options History — December 2020

In December 2020, KRE traded between $48.76 and $52.07. ATM implied volatility averaged 35.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 0.5% (HV 20d: 36.2%). Max pain ranged from $43.00 to $52.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.83.

Notable Days

  • 2020-12-10: Highest Volume — 211,538 contracts
  • 2020-12-21: Largest IV spike — 5.6% change
  • 2020-12-01: Highest IV Rank — 19.1%
  • 2020-12-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.87$48.76$52.07$48.76$52.07
Max Pain$49.95$43.00$52.00$44.00$52.00
ATM IV35.6%33.0%39.0%39.0%34.1%
Expected Move10.4%9.6%12.0%12.0%10.0%
HV 20d36.2%20.4%70.8%70.8%20.4%
HV 60d48.0%46.0%50.4%50.4%46.0%
IV Rank15.9%12.9%19.1%19.1%13.9%
IV Percentile20.7%16.3%27.8%27.8%18.3%
Term Structure0.6%-0.5%2.2%1.9%0.2%
VWIV37.7%33.5%43.7%41.8%35.0%
Skew 25d3.1%1.8%4.1%3.0%3.1%
Skew 10d6.3%4.2%8.4%4.4%6.3%
Call IV 25d34.7%32.5%38.0%38.0%32.9%
Put IV 25d37.8%34.7%41.0%41.0%36.0%
Bid-Ask Spread %6.293.8415.184.563.94
Gamma HHI0.080.060.110.060.11
Net GEX15.6M3.7M28.9M11.6M16.5M
Net DEX-561.3M-973.4M-124.4M-451.5M-392.7M
Net VEX-3.6M-4.0M-3.1M-3.6M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.096.884.250.16
Total Volume39,133.3181,637211,53866,86715,542
Total OI785,763.091685,050934,286767,343705,906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$48.76$44.0039.0%12.0%70.8%19.1%41.8%3.0%1.9%11.6M-451.5M-3.6M4.254.5612,72854,139369,480397,863
2020-12-02$49.84$43.0038.8%11.8%70.4%19.0%41.8%3.1%1.8%16.7M-625.1M-3.6M3.415.117,19024,534378,197395,859
2020-12-03$49.83$50.0037.4%11.1%64.3%17.8%39.3%2.6%2.2%15.7M-612.9M-3.5M0.9815.1811,79711,546379,906409,125
2020-12-04$50.93$50.0037.1%11.0%63.3%17.5%42.3%3.3%2.2%17.7M-762.9M-3.5M3.987.694,55318,135377,244416,841
2020-12-07$50.82$50.0037.6%11.0%62.6%18.0%40.0%3.8%0.3%16.0M-720.4M-3.3M1.387.404,7806,618366,567417,287
2020-12-08$50.77$50.0037.0%10.7%35.3%17.4%38.7%4.1%0.2%15.1M-719.4M-3.2M1.177.25755882365,826419,061
2020-12-09$51.02$50.0037.2%10.7%35.3%17.6%37.9%3.6%0.5%16.8M-752.9M-3.1M0.918.914,4764,075365,923419,004
2020-12-10$51.25$50.0038.0%11.0%32.5%18.3%43.7%3.8%0.1%17.7M-781.5M-3.1M0.0913.67194,08417,454364,918422,208
2020-12-11$50.73$50.0037.5%10.8%31.1%17.9%42.4%3.5%-0.3%25.2M-815.7M-3.8M1.627.8310,67017,304463,443413,588
2020-12-14$50.44$50.0036.9%10.6%28.7%17.3%38.6%3.9%0.0%23.3M-756.9M-3.5M4.497.358,25637,093461,544415,706
2020-12-15$51.45$50.0035.4%10.1%27.0%16.0%37.9%3.9%-0.2%24.0M-916.6M-3.6M1.714.8726,00944,432459,529450,856
2020-12-16$51.60$50.0033.8%9.7%27.0%14.7%35.4%2.7%0.2%28.9M-973.4M-3.7M0.484.9058,10827,818481,224451,769
2020-12-17$51.34$50.0033.5%9.6%26.6%14.4%34.6%2.6%-0.1%18.0M-660.8M-3.6M0.143.8447,2236,549430,087464,444
2020-12-18$50.38$50.0033.5%9.6%27.7%14.4%33.6%2.5%-0.5%5.8M-525.8M-3.8M0.094.4453,4864,963470,458463,828
2020-12-21$50.25$50.0035.4%10.3%27.5%15.2%36.1%2.7%1.1%7.4M-196.1M-3.8M1.204.7913,54516,290358,495327,800
2020-12-22$50.14$51.0034.1%9.8%26.9%14.0%36.1%2.9%0.2%3.7M-124.4M-3.7M1.385.724,0085,512350,120334,930
2020-12-23$51.78$51.0033.0%9.6%25.2%12.9%35.2%1.8%0.7%14.6M-364.1M-3.8M1.014.1519,21819,395352,819338,453
2020-12-24$51.26$52.0033.4%9.7%25.1%13.2%34.2%2.6%0.6%12.3M-312.7M-4.0M6.883.959506,535369,798341,658
2020-12-28$51.85$52.0033.7%9.8%24.5%13.5%35.4%2.8%0.9%14.7M-344.0M-3.8M2.254.292,7016,074357,430345,862
2020-12-29$51.00$52.0034.5%10.1%22.0%14.2%36.1%3.0%-0.0%7.6M-211.1M-3.7M2.324.337,37617,097357,585347,152
2020-12-30$51.66$52.0033.4%9.6%21.5%13.2%33.5%2.9%0.3%14.4M-328.4M-3.7M0.264.215,5901,443361,009345,986
2020-12-31$52.07$52.0034.1%10.0%20.4%13.9%35.0%3.1%0.2%16.5M-392.7M-3.7M0.163.9413,3522,190359,804346,102