KRE Options History — March 2021

In March 2021, KRE traded between $64.58 and $71.06. ATM implied volatility averaged 35.0%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.2% (HV 20d: 30.8%). Max pain ranged from $55.00 to $64.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.44.

Notable Days

2021-03-18: Highest Volume — 41,470 contracts
2021-03-18: Largest IV spike — 7.5% change
2021-03-04: Highest IV Rank — 5.9%
2021-03-04: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.72	$64.58	$71.06	$66.70	$66.69
Max Pain	$62.83	$55.00	$64.00	$55.00	$64.00
ATM IV	35.0%	32.7%	38.4%	36.1%	33.2%
Expected Move	10.1%	9.3%	11.1%	10.5%	9.3%
HV 20d	30.8%	26.8%	34.7%	26.8%	32.5%
HV 60d	31.2%	29.4%	32.9%	29.5%	32.9%
IV Rank	3.2%	0.3%	5.9%	3.6%	1.6%
IV Percentile	12.1%	1.2%	24.6%	15.5%	2.8%
Term Structure	0.2%	-0.5%	2.0%	-0.1%	0.3%
VWIV	36.0%	32.4%	39.8%	38.8%	32.4%
Skew 25d	3.0%	1.2%	5.5%	4.2%	1.8%
Skew 10d	5.3%	-5.9%	14.9%	1.5%	5.3%
Call IV 25d	34.4%	32.2%	38.1%	34.8%	32.7%
Put IV 25d	37.4%	34.6%	42.8%	39.0%	34.6%
Bid-Ask Spread %	35.66	12.27	57.34	34.31	12.27
Gamma HHI	0.10	0.07	0.12	0.10	0.10
Net GEX	12.1M	-3.7M	19.7M	18.5M	13.6M
Net DEX	-1.18B	-1.88B	-179.7M	-1.45B	-536.3M
Net VEX	-4.0M	-4.6M	-3.5M	-4.3M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.37	4.40	1.80	0.67
Total Volume	22,066.826	5,465	41,470	33,196	12,115
Total OI	672,095.522	506,563	797,613	711,998	550,507

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-03-01	$66.70	$55.00	36.1%	10.5%	26.8%	3.6%	38.8%	4.2%	-0.1%	18.5M	-1.45B	-4.3M	1.80	34.31	11,852	21,344	364,285	347,713
2021-03-02	$66.10	$55.00	35.9%	10.5%	27.5%	3.4%	36.8%	3.7%	-0.5%	19.7M	-1.37B	-4.5M	1.27	56.96	6,595	8,390	372,557	355,492
2021-03-03	$66.87	$55.00	36.7%	10.6%	26.8%	4.2%	36.0%	3.4%	-0.5%	15.9M	-1.37B	-4.2M	1.57	16.25	8,440	13,224	349,667	359,362
2021-03-04	$65.49	$64.00	38.4%	11.1%	28.7%	5.9%	38.3%	4.8%	0.2%	9.6M	-1.15B	-4.6M	1.39	45.46	14,674	20,445	350,816	369,268
2021-03-05	$67.24	$64.00	36.5%	10.5%	28.5%	4.0%	39.8%	3.2%	-0.4%	17.7M	-1.42B	-4.3M	2.08	35.71	6,729	13,978	360,590	380,660
2021-03-08	$69.42	$64.00	37.5%	10.8%	29.8%	5.0%	37.6%	4.0%	0.3%	14.6M	-1.65B	-4.2M	0.58	39.68	15,529	8,970	356,533	381,482
2021-03-09	$68.06	$64.00	35.3%	10.3%	31.1%	2.8%	35.5%	2.6%	0.8%	14.5M	-1.51B	-4.2M	0.68	53.39	8,203	5,541	360,249	386,839
2021-03-10	$69.17	$64.00	35.1%	10.1%	31.2%	2.7%	35.7%	1.2%	0.3%	15.4M	-1.66B	-3.9M	1.16	34.25	4,208	4,890	358,504	389,986
2021-03-11	$69.70	$64.00	34.5%	9.9%	31.1%	2.0%	35.5%	2.0%	0.1%	16.9M	-1.73B	-3.8M	0.63	22.63	3,357	2,108	357,381	390,505
2021-03-12	$71.06	$64.00	34.5%	10.0%	30.8%	2.1%	38.6%	2.2%	0.2%	19.4M	-1.88B	-3.6M	1.93	24.52	8,559	16,540	357,565	391,554
2021-03-15	$70.12	$64.00	34.3%	9.8%	31.7%	1.9%	35.0%	3.2%	0.3%	15.3M	-1.77B	-3.5M	3.58	57.34	7,655	27,425	356,609	398,597
2021-03-16	$69.19	$64.00	33.9%	9.7%	31.0%	1.5%	36.2%	2.8%	0.4%	12.7M	-1.64B	-3.7M	1.89	26.18	4,076	7,691	357,984	408,170
2021-03-17	$69.53	$64.00	32.7%	9.4%	30.8%	0.3%	35.0%	3.3%	0.5%	15.4M	-1.70B	-3.6M	0.37	50.24	12,239	4,553	359,904	409,576
2021-03-18	$69.92	$64.00	35.1%	10.1%	30.3%	2.7%	35.3%	2.5%	0.2%	19.4M	-1.76B	-3.7M	1.18	18.40	19,041	22,429	369,588	416,709
2021-03-19	$69.52	$64.00	34.4%	9.8%	29.5%	2.6%	34.3%	2.2%	0.5%	13.4M	-1.68B	-3.8M	0.58	38.81	20,782	12,154	374,075	423,538
2021-03-22	$67.17	$64.00	33.9%	9.6%	31.8%	2.1%	33.8%	2.4%	-0.0%	5.9M	-487.0M	-4.1M	1.18	31.49	10,976	12,972	226,276	280,287
2021-03-23	$64.58	$64.00	34.7%	9.8%	34.7%	3.6%	34.6%	3.3%	0.6%	-2.4M	-179.7M	-4.2M	1.56	16.34	11,650	18,230	232,201	289,768
2021-03-24	$64.65	$64.00	35.2%	10.1%	32.8%	5.7%	34.9%	3.0%	-0.1%	-3.7M	-198.0M	-4.2M	2.62	55.43	4,245	11,102	231,244	295,478
2021-03-25	$66.40	$64.00	34.6%	9.8%	33.0%	4.3%	35.4%	2.8%	-0.1%	1.2M	-403.3M	-4.1M	0.65	53.73	8,601	5,629	231,923	298,339
2021-03-26	$67.12	$64.00	33.7%	9.7%	32.7%	2.7%	35.1%	2.4%	0.2%	5.7M	-527.5M	-4.0M	0.91	53.36	9,071	8,260	237,787	297,840
2021-03-29	$65.80	$64.00	35.2%	10.2%	32.2%	5.6%	36.0%	5.5%	2.0%	5.9M	-384.8M	-4.0M	0.40	20.46	22,652	9,000	237,211	287,806
2021-03-30	$67.01	$64.00	34.2%	9.7%	32.8%	3.6%	37.4%	2.3%	-0.2%	14.4M	-586.9M	-4.0M	4.40	22.92	3,966	17,447	255,372	290,400
2021-03-31	$66.69	$64.00	33.2%	9.3%	32.5%	1.6%	32.4%	1.8%	0.3%	13.6M	-536.3M	-4.0M	0.67	12.27	7,275	4,840	256,973	293,534