KRE Options History — August 2021

In August 2021, KRE traded between $62.14 and $66.92. ATM implied volatility averaged 27.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.8% (HV 20d: 26.7%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2021-08-03: Highest Volume — 91,784 contracts
  • 2021-08-27: Largest IV drop — 11.7% change
  • 2021-08-19: Highest IV Rank — 26.4%
  • 2021-08-19: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.98$62.14$66.92$62.14$65.84
Max Pain$65.64$65.00$66.00$65.00$66.00
ATM IV27.6%24.6%31.0%30.3%25.5%
Expected Move7.8%6.6%8.8%8.6%7.1%
HV 20d26.7%20.6%35.4%35.4%24.5%
HV 60d29.4%29.1%30.3%29.5%30.3%
IV Rank12.6%0.8%26.4%23.8%4.4%
IV Percentile15.4%0.4%36.1%29.4%2.8%
Term Structure0.3%-0.4%1.4%-0.4%0.9%
VWIV27.9%23.6%31.7%30.7%24.5%
Skew 25d3.8%2.7%5.4%4.2%4.2%
Skew 10d8.4%4.4%14.1%10.4%7.8%
Call IV 25d26.2%23.3%28.9%28.8%24.4%
Put IV 25d30.0%27.1%33.7%33.0%28.6%
Bid-Ask Spread %4.562.6610.754.503.83
Gamma HHI0.090.070.150.150.08
Net GEX-19.1M-43.1M97.8K-36.3M-17.4M
Net DEX74.4M-288.9M504.4M480.1M32.5M
Net VEX-6.7M-8.0M-6.0M-6.1M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.417.911.101.69
Total Volume36,030.4559,75591,78427,88124,796
Total OI708,352.864578,737814,115578,737814,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$62.14$65.0030.3%8.6%35.4%23.8%30.7%4.2%-0.4%-36.3M480.1M-6.1M1.104.5013,29414,587178,249400,488
2021-08-03$62.94$65.0030.0%8.3%34.3%22.5%31.7%3.7%-0.3%-36.2M407.3M-6.1M7.913.4810,30581,479187,222422,222
2021-08-04$62.73$65.0029.7%8.2%34.2%21.2%29.1%3.9%-0.4%-37.6M424.2M-6.3M0.853.558,0696,855194,558430,200
2021-08-05$63.56$66.0028.3%8.1%33.3%15.4%28.1%3.6%-0.2%-31.6M296.8M-6.4M0.567.5817,4819,832201,153441,396
2021-08-06$65.56$66.0027.1%7.8%31.1%10.9%29.6%2.9%-0.1%-21.8M-12.2M-6.3M1.385.0814,14319,550206,751449,983
2021-08-09$65.47$66.0027.9%8.2%31.1%13.8%29.2%3.3%0.6%-19.1M-21.7M-6.3M1.943.806,46712,565214,871447,483
2021-08-10$65.92$66.0027.8%8.1%30.4%13.6%27.5%2.9%0.4%-16.2M-95.8M-6.2M0.414.6021,9479,092220,065454,668
2021-08-11$66.92$66.0026.6%7.7%30.5%8.7%29.5%3.0%0.3%-9.7M-250.3M-6.0M4.203.3310,70944,987220,710457,754
2021-08-12$66.67$66.0025.7%7.4%30.5%5.2%25.9%2.8%-0.0%-3.5M-269.5M-6.1M0.673.6526,10017,538240,592462,283
2021-08-13$66.01$66.0025.5%7.4%28.8%4.4%26.6%2.7%0.3%-7.9M-157.7M-6.2M2.743.477,02419,227246,020461,660
2021-08-16$65.58$66.0026.4%7.6%24.0%8.0%26.8%2.9%1.4%-13.2M-93.3M-6.3M1.132.668,6219,736261,464466,853
2021-08-17$64.42$66.0028.5%8.2%21.9%16.6%29.4%3.0%0.4%-28.5M175.1M-6.6M1.303.4612,08915,748261,607480,380
2021-08-18$64.41$66.0028.7%8.2%20.9%17.1%29.1%3.0%0.4%-30.7M183.8M-6.6M1.214.8811,19713,550267,288487,148
2021-08-19$63.02$66.0031.0%8.8%20.6%26.4%30.6%4.9%0.8%-43.1M504.4M-6.7M1.445.7931,74345,631276,257497,605
2021-08-20$64.24$66.0028.2%7.9%21.6%15.1%27.7%5.4%1.1%-18.7M290.0M-6.5M1.195.2515,16818,014280,324515,123
2021-08-23$65.06$65.0027.3%7.5%21.7%11.5%26.8%5.0%0.1%-12.1M68.9M-6.9M0.664.6215,79210,466251,823427,299
2021-08-24$65.45$65.0026.5%7.2%21.6%8.2%27.3%4.8%0.3%-8.4M4.0M-7.1M1.054.0223,44324,529267,501442,908
2021-08-25$66.19$65.0026.8%7.3%21.2%9.6%25.9%4.4%0.2%97.8K-150.8M-7.4M1.533.5816,16424,719283,860454,184
2021-08-26$65.08$65.0027.9%7.7%22.2%13.9%27.2%5.0%-0.1%-1.3M52.0M-7.6M0.7610.755,5374,218294,708468,897
2021-08-27$66.92$65.5024.6%6.6%23.3%0.8%23.6%3.9%0.3%-7.7M-288.9M-7.6M0.834.6832,92427,489302,478485,358
2021-08-30$65.49$65.5026.1%7.1%24.7%6.6%26.2%4.0%0.1%-19.6M58.6M-7.7M4.383.715,55124,294283,705474,550
2021-08-31$65.84$66.0025.5%7.1%24.5%4.4%24.5%4.2%0.9%-17.4M32.5M-8.0M1.693.839,23515,561307,196506,919