KRE Options History — October 2021

In October 2021, KRE traded between $69.37 and $73.06. ATM implied volatility averaged 25.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.6% (HV 20d: 23.0%). Max pain ranged from $65.00 to $71.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2021-10-20: Highest Volume — 92,423 contracts
  • 2021-10-22: Largest IV drop — 8.3% change
  • 2021-10-04: Highest IV Rank — 26.8%
  • 2021-10-04: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.77$69.37$73.06$69.44$71.16
Max Pain$68.90$65.00$71.00$65.00$71.00
ATM IV25.7%21.7%31.1%29.6%23.2%
Expected Move7.4%6.2%8.7%8.2%6.8%
HV 20d23.0%16.3%27.5%27.5%19.3%
HV 60d24.3%22.4%28.2%28.2%23.6%
IV Rank8.2%0.0%26.8%20.7%5.4%
IV Percentile13.2%0.0%48.4%39.3%1.2%
Term Structure0.3%-0.7%1.3%-0.1%1.2%
VWIV26.6%21.8%32.7%32.7%23.3%
Skew 25d4.4%2.3%7.8%6.5%3.5%
Skew 10d9.8%4.4%21.0%15.6%7.3%
Call IV 25d24.0%21.1%28.1%26.7%21.4%
Put IV 25d28.4%23.5%35.9%33.2%24.9%
Bid-Ask Spread %23.074.7448.184.9744.16
Gamma HHI0.090.080.110.080.08
Net GEX16.8M-598.8K44.5M3.1M8.1M
Net DEX-604.0M-989.5M-354.6M-450.1M-506.8M
Net VEX-8.2M-8.9M-7.3M-8.7M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.253.560.881.59
Total Volume43,844.2867,70392,42338,49340,966
Total OI959,229.81875,5501,032,416896,922996,206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$69.44$65.0029.6%8.2%27.5%20.7%32.7%6.5%-0.1%3.1M-450.1M-8.7M0.884.9720,45918,034311,634585,288
2021-10-04$69.88$66.0031.1%8.7%27.5%26.8%31.3%7.8%-0.3%-423.5K-417.4M-8.8M1.698.074,6787,908302,317573,233
2021-10-05$70.17$66.0029.3%8.4%27.4%19.8%29.3%6.9%-0.2%7.2M-494.4M-8.9M0.908.5012,96411,693314,425586,598
2021-10-06$69.49$66.0029.5%8.6%27.1%20.3%28.5%6.9%0.1%1.1M-368.8M-8.9M0.259.3329,7517,325315,993592,026
2021-10-07$70.20$66.0027.7%8.0%27.1%13.1%26.5%6.0%0.2%6.7M-506.9M-8.8M1.225.7525,32430,927321,294601,112
2021-10-08$70.74$66.0026.5%7.6%26.0%8.3%26.5%5.7%0.2%21.8M-715.3M-8.5M0.6331.5931,50019,963346,087605,692
2021-10-11$70.08$66.0027.3%7.9%26.5%11.6%28.9%5.5%0.3%11.9M-540.2M-8.6M1.5734.416,0019,435347,576614,937
2021-10-12$69.67$70.0027.5%7.9%24.8%12.4%30.0%5.8%-0.0%7.3M-459.2M-8.7M1.9336.789,43718,200361,353632,098
2021-10-13$69.37$70.0026.8%7.8%24.4%9.4%29.6%5.1%0.5%-598.8K-377.4M-8.5M1.6413.7217,03527,987363,935638,427
2021-10-14$70.23$70.0025.3%7.3%24.5%3.4%27.4%4.4%0.3%22.5M-577.3M-8.8M0.764.7815,92212,057371,769650,580
2021-10-15$70.74$70.0024.9%7.1%24.2%1.7%26.0%3.0%0.0%28.5M-746.7M-8.2M1.4416.0922,25231,989368,652663,764
2021-10-18$70.67$70.0025.2%7.2%20.7%2.9%25.2%3.3%-0.3%20.6M-572.0M-8.1M0.9622.8714,49913,942345,557575,770
2021-10-19$70.49$70.0024.5%7.0%21.0%0.2%25.5%3.0%-0.4%15.9M-512.3M-8.0M1.326.213,3164,387346,552592,805
2021-10-20$72.36$70.0024.2%6.9%21.7%0.0%25.0%3.0%-0.7%39.0M-915.0M-7.7M3.564.7420,24772,176356,087595,852
2021-10-21$71.89$70.0023.7%6.8%20.2%0.0%26.0%2.9%-0.6%44.5M-841.3M-7.6M3.4133.0214,86950,679357,519585,049
2021-10-22$72.81$71.0021.7%6.2%20.2%0.0%22.5%2.3%0.4%34.9M-989.5M-7.7M1.5136.2224,61437,252357,554621,024
2021-10-25$73.06$71.0022.1%6.4%16.4%1.3%25.3%2.8%1.1%35.4M-985.7M-7.3M2.9537.0414,69843,316348,158612,451
2021-10-26$72.57$71.0022.1%6.5%16.3%1.5%21.8%2.5%1.2%29.6M-890.7M-7.5M1.0640.3323,74725,217353,284625,598
2021-10-27$70.19$71.0023.6%6.9%20.6%6.6%23.4%2.8%1.3%14.5M-354.6M-7.8M1.6937.7124,69241,716363,903626,630
2021-10-28$70.87$71.0023.4%6.8%20.4%5.9%23.3%2.9%1.3%1.5M-461.8M-7.8M0.6948.1835,20224,354369,448645,589
2021-10-29$71.16$71.0023.2%6.8%19.3%5.4%23.3%3.5%1.2%8.1M-506.8M-7.6M1.5944.1615,79325,173350,171646,035