KRE Options History — September 2021

In September 2021, KRE traded between $61.75 and $68.72. ATM implied volatility averaged 27.8%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.6% (HV 20d: 24.2%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.74.

Notable Days

  • 2021-09-14: Highest Volume — 111,631 contracts
  • 2021-09-20: Largest IV spike — 23.9% change
  • 2021-09-20: Highest IV Rank — 36.3%
  • 2021-09-20: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.95$61.75$68.72$65.37$68.06
Max Pain$64.95$64.00$66.00$66.00$64.00
ATM IV27.8%25.0%33.4%26.0%30.7%
Expected Move8.0%7.0%9.8%7.0%8.8%
HV 20d24.2%21.6%27.7%24.6%26.8%
HV 60d28.7%27.3%30.3%30.3%28.4%
IV Rank13.6%2.4%36.3%6.2%25.4%
IV Percentile21.9%1.6%52.4%6.0%46.0%
Term Structure0.3%-0.5%0.8%0.2%0.7%
VWIV30.1%24.9%38.5%24.9%36.6%
Skew 25d5.3%3.1%9.2%3.8%6.9%
Skew 10d11.2%6.7%18.9%7.5%15.5%
Call IV 25d26.0%23.7%29.8%24.5%28.1%
Put IV 25d31.3%27.3%39.0%28.2%35.0%
Bid-Ask Spread %6.743.6930.744.754.41
Gamma HHI0.100.070.160.080.07
Net GEX-40.3M-80.8M18.7M-30.6M-7.4M
Net DEX253.1M-404.2M721.8M158.6M-219.3M
Net VEX-7.9M-9.2M-7.5M-8.1M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.7311.022.053.60
Total Volume42,095.198,734111,63113,51623,473
Total OI846,628.238760,091934,996836,190920,722

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$65.37$66.0026.0%7.0%24.6%6.2%24.9%3.8%0.2%-30.6M158.6M-8.1M2.054.754,4269,090306,835529,355
2021-09-02$65.26$66.0025.5%7.6%24.3%4.4%26.3%3.6%0.4%-39.5M203.1M-8.2M5.315.732,16411,494313,917544,036
2021-09-03$65.24$66.0025.0%7.4%21.6%2.4%26.2%3.6%0.5%-49.9M219.4M-8.1M1.795.503,1255,609316,913549,364
2021-09-07$65.02$66.0025.9%7.6%21.7%5.9%27.2%3.1%0.5%-42.9M251.4M-7.9M2.134.955,66112,041310,312541,061
2021-09-08$64.12$66.0026.5%7.8%22.0%8.3%28.5%3.6%0.7%-58.4M445.6M-7.8M8.375.026,05050,611310,859542,202
2021-09-09$64.81$66.0026.2%7.7%21.6%7.1%28.8%3.6%0.8%-52.7M319.7M-7.7M2.815.634,88713,748316,233547,241
2021-09-10$63.75$66.0027.2%7.9%22.2%11.3%29.4%4.5%0.7%-54.5M519.3M-7.9M5.214.878,11842,301321,936554,226
2021-09-13$64.30$65.0027.9%8.0%22.4%13.9%28.9%5.3%-0.4%-49.5M376.7M-7.7M0.734.4715,33511,195314,011545,425
2021-09-14$62.84$65.0029.1%8.3%23.6%18.9%30.1%5.1%0.0%-67.7M693.4M-7.8M11.025.199,290102,341318,866563,899
2021-09-15$64.05$65.0027.6%7.9%24.0%12.6%28.2%5.1%0.2%-63.9M447.3M-7.6M1.525.055,8438,857317,087571,308
2021-09-16$63.90$65.0026.4%7.5%24.0%7.9%27.5%4.7%0.4%-80.8M507.8M-7.6M0.944.995,3385,005322,978607,302
2021-09-17$63.55$65.0027.0%7.7%22.7%10.4%27.0%5.2%-0.0%-68.1M595.4M-7.6M0.954.5415,63214,887325,572609,424
2021-09-20$61.75$65.0033.4%9.8%23.8%36.3%33.7%9.2%-0.5%-60.3M721.8M-7.7M3.9313.3321,39784,053256,001504,771
2021-09-21$62.08$64.0030.3%8.8%23.4%23.7%36.5%7.5%-0.2%-67.4M671.3M-7.6M1.985.575,55210,999259,474510,005
2021-09-22$63.28$64.0028.0%7.9%24.4%14.3%28.9%6.8%-0.1%-59.5M470.9M-7.8M10.075.514,15841,864265,299524,384
2021-09-23$65.28$64.0026.3%7.4%26.7%7.7%27.3%5.7%0.2%-23.3M91.6M-7.7M0.843.6919,26816,135268,018529,711
2021-09-24$66.03$64.0026.4%7.4%26.3%7.7%28.8%5.4%0.2%18.7M-50.2M-7.6M0.734.1627,65320,215269,207540,469
2021-09-27$68.49$64.0027.4%7.7%27.7%12.1%29.8%4.9%0.3%4.9M-392.4M-7.5M1.519.2834,83752,744264,256495,835
2021-09-28$67.99$64.0030.5%8.8%26.6%24.6%38.3%6.9%0.5%3.7M-311.9M-8.4M9.864.2010,253101,072282,392519,540
2021-09-29$68.72$64.0030.3%8.8%26.7%23.7%38.5%7.1%0.3%3.5M-404.2M-8.6M3.1830.748,92428,354306,540562,207
2021-09-30$68.06$64.0030.7%8.8%26.8%25.4%36.6%6.9%0.7%-7.4M-219.3M-9.2M3.604.415,09818,375309,421611,301