KRE Options History — January 2021

In January 2021, KRE traded between $51.75 and $59.76. ATM implied volatility averaged 36.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.6% (HV 20d: 32.4%). Max pain ranged from $50.00 to $57.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.37.

Notable Days

  • 2021-01-07: Highest Volume — 95,837 contracts
  • 2021-01-27: Largest IV spike — 14.5% change
  • 2021-01-27: Highest IV Rank — 19.2%
  • 2021-01-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.87$51.75$59.76$51.75$54.40
Max Pain$54.58$50.00$57.00$50.00$57.00
ATM IV36.0%33.2%40.3%36.3%39.2%
Expected Move10.3%9.5%11.8%10.1%11.2%
HV 20d32.4%19.9%37.6%20.6%37.6%
HV 60d47.0%45.8%47.7%45.8%47.2%
IV Rank15.5%13.1%19.2%15.7%18.3%
IV Percentile18.8%9.9%34.9%19.8%28.2%
Term Structure-0.0%-0.9%0.7%0.0%0.5%
VWIV36.6%33.3%42.0%37.5%39.6%
Skew 25d3.0%1.9%4.4%3.9%4.4%
Skew 10d6.4%1.6%10.5%7.4%7.0%
Call IV 25d34.9%32.1%38.6%34.8%37.0%
Put IV 25d37.9%34.6%42.9%38.7%41.4%
Bid-Ask Spread %10.173.7621.3418.8216.25
Gamma HHI0.180.110.220.110.16
Net GEX30.7M12.6M49.1M15.1M12.6M
Net DEX-863.5M-1.51B-302.7M-344.0M-302.7M
Net VEX-4.2M-4.5M-3.6M-3.6M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.283.782.770.32
Total Volume31,032.3683,92095,83735,67028,894
Total OI650,701.842499,667823,158688,046561,095

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$51.75$50.0036.3%10.1%20.6%15.7%37.5%3.9%0.0%15.1M-344.0M-3.6M2.7718.829,46426,206358,574329,472
2021-01-05$52.58$50.0035.7%10.0%19.9%15.2%35.7%3.3%0.3%22.2M-476.9M-3.7M1.8021.348,14914,695364,093333,408
2021-01-06$56.30$50.0035.6%10.2%30.9%15.1%35.9%3.4%-0.1%39.0M-1.04B-3.8M0.2814.3472,09820,377369,942343,367
2021-01-07$57.94$50.0035.7%10.1%31.9%15.2%38.4%2.5%-0.4%39.3M-1.27B-4.1M1.9112.6632,97162,866384,135355,099
2021-01-08$57.00$50.0036.7%10.5%32.9%16.1%36.4%2.5%-0.3%35.5M-1.13B-4.2M1.458.1812,95018,820391,575375,201
2021-01-11$57.75$54.0038.1%10.6%33.0%17.3%38.3%4.0%-0.9%39.1M-1.21B-4.2M0.697.9721,05714,558392,593363,721
2021-01-12$58.75$54.0037.3%10.4%32.7%16.6%37.6%2.3%-0.8%47.0M-1.40B-4.2M1.233.7615,66219,336410,789385,502
2021-01-13$58.32$56.0036.4%10.3%32.7%15.8%35.8%2.4%-0.5%49.1M-1.31B-4.5M0.378.5319,4317,213417,103406,055
2021-01-14$59.76$56.0036.0%10.2%33.0%15.5%36.7%2.1%-0.4%48.3M-1.51B-4.3M0.444.4434,98115,281408,698408,424
2021-01-15$58.41$56.0035.1%10.1%34.7%14.7%37.4%1.9%0.7%46.7M-1.25B-4.4M1.4313.039,34713,381401,120407,361
2021-01-19$58.88$57.0034.5%9.9%34.5%14.2%35.2%2.4%0.2%26.8M-835.2M-4.2M0.845.142,1271,793297,169202,498
2021-01-20$58.38$57.0033.2%9.5%33.6%13.1%33.4%2.5%0.3%27.2M-784.4M-4.2M1.125.1912,34113,771298,216203,775
2021-01-21$57.47$56.0033.4%9.5%34.5%13.2%33.5%2.3%0.4%25.1M-696.6M-4.3M0.994.812,7122,682308,640213,594
2021-01-22$57.80$56.0033.2%9.5%34.3%13.1%33.3%2.5%0.6%23.6M-726.0M-4.3M3.784.615,01518,940309,264214,663
2021-01-25$57.50$57.0034.8%10.0%33.2%14.5%35.6%3.5%0.5%26.0M-679.8M-4.4M1.3611.307,65210,420306,775219,496
2021-01-26$56.93$57.0035.2%10.1%33.2%14.8%34.8%2.9%0.1%23.4M-600.0M-4.5M0.355.485,2001,829307,323226,555
2021-01-27$54.77$57.0040.3%11.8%36.6%19.2%42.0%4.3%-0.7%16.7M-367.3M-4.4M2.469.763,7799,302309,955227,912
2021-01-28$55.82$57.0038.1%10.9%36.3%17.3%39.0%3.8%0.2%19.8M-479.4M-4.5M2.4717.604,12810,187315,137235,036
2021-01-29$54.40$57.0039.2%11.2%37.6%18.3%39.6%4.4%0.5%12.6M-302.7M-4.5M0.3216.2521,9096,985318,417242,678