KRE Options History — May 2021

In May 2021, KRE traded between $67.90 and $71.31. ATM implied volatility averaged 28.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.8% (HV 20d: 24.2%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2021-05-12: Highest Volume — 82,571 contracts
  • 2021-05-12: Largest IV spike — 12.0% change
  • 2021-05-12: Highest IV Rank — 17.8%
  • 2021-05-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.03$67.90$71.31$69.08$70.62
Max Pain$67.45$67.00$68.00$68.00$68.00
ATM IV28.0%25.5%32.7%27.0%25.5%
Expected Move8.0%7.0%9.3%7.9%7.0%
HV 20d24.2%20.4%28.1%24.9%22.2%
HV 60d27.4%26.1%28.3%27.9%26.1%
IV Rank5.7%0.0%17.8%3.1%0.0%
IV Percentile4.2%0.0%11.9%1.2%0.0%
Term Structure0.3%-0.6%1.1%0.9%-0.1%
VWIV28.8%24.0%34.4%28.7%24.0%
Skew 25d3.3%2.0%4.9%3.0%2.9%
Skew 10d7.9%3.9%11.1%7.9%6.3%
Call IV 25d26.7%24.1%30.8%26.0%24.1%
Put IV 25d30.1%27.0%34.7%29.0%27.0%
Bid-Ask Spread %20.675.2559.617.516.06
Gamma HHI0.090.060.290.070.09
Net GEX23.7M-6.4M70.3M18.6M11.3M
Net DEX-498.0M-778.4M-136.8M-454.4M-424.9M
Net VEX-4.2M-4.4M-3.8M-4.2M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.354.171.044.17
Total Volume24,163.910,06182,57122,53819,866
Total OI622,707.8555,319697,659587,032590,128

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$69.08$68.0027.0%7.9%24.9%3.1%28.7%3.0%0.9%18.6M-454.4M-4.2M1.047.5111,04211,496240,326346,706
2021-05-04$69.49$68.0027.8%8.0%25.0%5.2%29.3%2.6%0.2%21.3M-495.1M-4.3M3.768.207,02826,438242,775355,275
2021-05-05$70.15$68.0027.3%7.8%24.8%3.8%29.3%2.0%0.2%24.7M-576.3M-4.2M1.7911.465,75110,278245,339371,714
2021-05-06$70.30$67.0027.5%8.1%24.8%4.4%27.7%3.0%0.3%25.4M-584.2M-4.3M0.8249.829,8568,078246,949376,309
2021-05-07$70.72$67.0026.2%7.8%24.8%1.0%28.3%2.2%0.8%40.5M-676.9M-4.1M0.5759.6112,4387,123254,621382,492
2021-05-10$70.40$67.0027.6%8.1%24.7%4.5%29.8%2.7%0.7%30.9M-611.2M-4.1M1.9754.564,4168,720253,065381,321
2021-05-11$69.49$67.0029.2%8.5%24.2%8.7%30.2%3.3%0.2%19.8M-438.6M-4.2M2.5611.644,84112,402253,773381,881
2021-05-12$67.90$67.0032.7%9.3%25.6%17.8%34.4%3.9%-0.6%-2.2M-136.8M-4.4M0.359.6961,12821,443254,020392,329
2021-05-13$70.30$67.0029.2%8.5%28.1%8.8%29.4%3.3%1.1%17.0M-513.1M-4.0M0.3510.0438,09313,287220,363386,260
2021-05-14$71.09$67.0027.1%7.9%28.0%3.3%28.7%3.2%0.5%42.1M-752.9M-4.1M1.019.478,7298,814254,420396,152
2021-05-17$71.31$67.0028.4%8.2%27.8%6.6%29.5%3.4%0.3%37.2M-778.4M-3.8M4.135.632,3719,804252,526392,247
2021-05-18$70.72$67.0028.1%8.1%23.8%5.9%28.9%3.7%0.7%33.9M-667.9M-4.0M1.7813.144,4607,926251,617400,048
2021-05-19$69.44$67.0030.6%8.8%23.9%12.5%29.8%4.9%-0.2%28.5M-420.1M-4.4M0.4230.1720,1718,561254,755406,742
2021-05-20$69.69$67.0028.5%8.1%23.3%7.1%30.5%4.1%1.0%44.9M-501.3M-4.2M2.0048.459,74619,467268,198411,961
2021-05-21$70.62$68.0027.9%8.0%20.4%5.5%28.3%3.9%0.1%70.3M-689.5M-4.2M1.6551.4810,42417,167270,281427,378
2021-05-24$70.33$68.0027.4%7.8%20.5%4.2%27.9%3.6%0.1%6.3M-379.9M-4.1M1.299.9111,80915,240205,349349,970
2021-05-25$68.81$68.0028.4%7.9%22.1%6.7%27.6%3.8%0.0%-6.4M-169.9M-4.3M2.495.932,8827,179214,442359,116
2021-05-26$69.58$68.0027.1%7.4%22.4%3.2%28.0%3.7%0.6%-1.5M-258.9M-4.2M1.715.304,2607,304214,512365,600
2021-05-27$70.63$68.0026.5%7.2%22.8%1.7%25.7%3.3%-0.1%11.8M-429.9M-3.9M1.585.255,1398,101214,832368,364
2021-05-28$70.62$68.0025.5%7.0%22.2%0.0%24.0%2.9%-0.1%11.3M-424.9M-3.9M4.176.063,84516,021216,614373,514