KRE Options History — February 2021

In February 2021, KRE traded between $55.34 and $67.83. ATM implied volatility averaged 34.8%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.8% (HV 20d: 31.0%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2021-02-25: Highest Volume — 171,089 contracts
  • 2021-02-25: Largest IV spike — 10.5% change
  • 2021-02-01: Highest IV Rank — 17.3%
  • 2021-02-25: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.65$55.34$67.83$55.34$65.03
Max Pain$54.95$54.00$57.00$56.00$55.00
ATM IV34.8%32.4%40.0%38.1%39.7%
Expected Move10.0%9.4%11.8%10.9%11.4%
HV 20d31.0%28.0%38.6%38.0%29.0%
HV 60d33.4%29.3%47.0%47.0%29.3%
IV Rank12.3%5.9%17.3%17.3%7.1%
IV Percentile12.3%4.0%33.7%23.4%31.0%
Term Structure0.2%-1.3%1.1%-0.1%-0.9%
VWIV36.4%32.6%48.6%38.7%44.9%
Skew 25d2.4%-6.6%5.4%4.3%5.4%
Skew 10d7.3%-4.7%14.5%11.1%3.2%
Call IV 25d34.7%31.4%50.6%36.4%38.7%
Put IV 25d37.1%34.1%44.0%40.7%44.0%
Bid-Ask Spread %12.876.1126.5115.7120.09
Gamma HHI0.190.090.240.200.09
Net GEX37.3M19.6M50.7M19.6M21.7M
Net DEX-1.31B-2.14B-440.9M-440.9M-1.22B
Net VEX-4.5M-4.9M-3.8M-4.5M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.175.771.342.43
Total Volume34,787.5266,572171,08918,80220,362
Total OI665,579.421569,333736,496569,333733,470

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$55.34$56.0038.1%10.9%38.0%17.3%38.7%4.3%-0.1%19.6M-440.9M-4.5M1.3415.718,04710,755328,246241,087
2021-02-02$56.78$57.0035.1%9.9%38.6%14.7%34.1%3.7%-0.2%24.8M-617.5M-4.5M0.509.4528,63714,392329,373246,766
2021-02-03$57.16$56.0033.9%9.4%38.4%13.7%32.6%3.3%0.3%32.6M-729.1M-4.6M1.107.448,2549,068355,919255,187
2021-02-04$58.86$54.0033.3%9.8%31.6%13.1%34.4%3.0%0.8%39.1M-979.7M-4.7M0.8619.559,0647,759363,206263,308
2021-02-05$58.99$54.0032.4%9.5%30.1%12.4%36.0%2.2%0.2%41.9M-1.02B-4.6M1.4216.235,2507,443366,681263,236
2021-02-08$60.01$54.0032.9%9.6%29.9%12.8%33.9%2.6%0.5%43.3M-1.14B-4.4M2.2519.203,3387,507360,834259,038
2021-02-09$60.91$54.0032.5%9.5%30.0%12.4%32.6%2.9%0.3%44.0M-1.26B-4.4M0.226.8224,1235,288363,174261,212
2021-02-10$60.89$54.0032.9%9.6%29.5%12.8%33.7%0.5%0.4%43.6M-1.27B-4.3M1.208.253,6464,379364,934266,101
2021-02-11$60.35$55.0033.2%9.6%29.5%13.1%33.8%0.5%1.0%42.9M-1.19B-4.3M0.2513.3838,6589,686365,495269,872
2021-02-12$60.88$55.0032.4%9.4%28.4%12.2%33.9%1.4%0.6%50.7M-1.34B-4.6M1.3115.862,8403,732406,977274,809
2021-02-16$62.92$55.0035.5%10.2%29.1%14.7%37.7%3.0%0.4%47.6M-1.64B-4.4M5.777.157,85245,308405,955270,826
2021-02-17$62.61$55.0034.7%9.9%29.3%14.0%36.9%2.9%0.8%41.0M-1.49B-4.8M4.2015.083,59415,084409,363327,133
2021-02-18$62.05$55.0034.8%10.0%29.3%14.1%34.6%3.2%0.7%43.6M-1.43B-4.7M0.176.119,3141,539410,547316,173
2021-02-19$63.76$55.0034.1%9.7%29.6%12.7%35.9%2.9%1.1%41.1M-1.72B-4.4M0.479.3011,7485,564413,194317,779
2021-02-22$65.08$55.0034.9%9.8%30.1%12.4%34.8%4.2%-0.1%35.7M-1.77B-4.2M0.466.4717,8528,218394,800290,433
2021-02-23$65.85$55.0034.1%9.7%29.9%8.2%33.8%3.5%0.0%34.3M-1.90B-4.0M0.868.3913,04211,240400,972296,814
2021-02-24$67.83$55.0036.2%10.3%30.2%5.9%40.8%2.9%-1.3%30.0M-2.14B-3.8M0.2313.5587,45319,838413,078306,221
2021-02-25$66.02$55.0040.0%11.8%28.0%9.6%48.6%-6.6%0.2%30.3M-1.65B-4.9M0.4026.51122,01449,075410,714323,082
2021-02-26$65.03$55.0039.7%11.4%29.0%7.1%44.9%5.4%-0.9%21.7M-1.22B-4.9M2.4320.095,93514,427377,423356,047