KRE Options History — November 2021

In November 2021, KRE traded between $70.61 and $75.36. ATM implied volatility averaged 25.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.2% (HV 20d: 23.6%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2021-11-19: Highest Volume — 81,272 contracts
  • 2021-11-26: Largest IV spike — 23.7% change
  • 2021-11-30: Highest IV Rank — 57.2%
  • 2021-11-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.95$70.61$75.36$73.29$70.61
Max Pain$70.14$68.00$71.00$71.00$71.00
ATM IV25.8%23.6%32.3%23.6%32.3%
Expected Move7.5%6.7%10.0%6.7%10.0%
HV 20d23.6%19.1%26.4%21.7%24.6%
HV 60d23.6%22.1%24.6%23.5%24.6%
IV Rank21.0%6.8%57.2%6.8%57.2%
IV Percentile16.6%2.4%65.1%2.4%65.1%
Term Structure0.2%-1.1%1.0%0.7%0.1%
VWIV27.7%23.7%33.8%24.8%32.8%
Skew 25d4.0%2.5%7.8%3.2%7.8%
Skew 10d8.7%5.4%16.3%7.6%16.3%
Call IV 25d24.6%22.7%31.3%23.0%29.6%
Put IV 25d28.5%25.7%38.0%26.2%37.4%
Bid-Ask Spread %26.173.5144.0042.8130.07
Gamma HHI0.090.060.120.090.07
Net GEX30.6M-14.9M53.5M33.4M-14.9M
Net DEX-959.0M-1.38B13.7M-1.01B13.7M
Net VEX-6.4M-7.4M-5.8M-6.8M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.928.251.260.92
Total Volume56,908.33336,89881,27238,41463,947
Total OI931,446.524785,567999,531960,209821,206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$73.29$71.0023.6%6.7%21.7%6.8%24.8%3.2%0.7%33.4M-1.01B-6.8M1.2642.8117,01021,404342,611617,598
2021-11-02$72.97$71.0023.9%6.9%21.8%8.3%23.7%3.6%0.7%29.3M-870.7M-7.4M3.6040.0010,17136,666343,404624,704
2021-11-03$75.11$71.0023.9%6.8%23.3%8.9%24.1%3.1%0.1%42.4M-1.38B-6.3M1.4816.6818,09326,750346,111622,365
2021-11-04$73.64$68.0024.9%7.2%24.6%15.4%27.1%3.8%0.5%32.1M-1.03B-7.0M1.3922.3421,17429,356348,783630,232
2021-11-05$74.50$68.0024.7%7.4%24.8%14.3%27.7%3.7%0.5%41.9M-1.22B-6.9M2.4144.0017,04441,140348,035634,961
2021-11-08$74.58$68.0025.3%7.4%24.4%17.4%26.8%3.5%0.1%39.4M-1.20B-6.8M2.5532.5911,48929,306343,017631,588
2021-11-09$74.51$68.0025.3%7.4%24.2%17.5%30.0%3.9%0.4%37.6M-1.18B-6.5M3.6240.5213,37148,469344,312633,483
2021-11-10$74.26$68.0025.5%7.4%24.2%18.4%28.6%3.5%0.2%37.4M-1.12B-6.7M4.877.3513,56766,091342,751641,597
2021-11-11$74.88$70.0024.6%7.1%24.0%13.7%26.1%3.5%0.4%42.1M-1.26B-6.4M4.3812.596,85630,042345,385652,148
2021-11-12$74.43$70.0024.1%7.1%24.2%11.6%28.0%3.0%1.0%44.9M-1.19B-6.4M5.265.058,05242,317344,983654,548
2021-11-15$74.80$70.0024.2%6.9%24.2%11.8%24.4%2.8%0.6%53.5M-1.32B-5.9M1.943.9322,55243,762341,338637,938
2021-11-16$74.85$71.0023.8%6.8%24.1%11.1%26.4%2.5%0.7%53.5M-1.29B-6.2M4.923.517,89338,866344,098645,361
2021-11-17$74.24$71.0024.4%7.0%22.8%14.6%25.6%3.0%0.7%51.1M-1.14B-6.0M4.1013.628,94036,642337,794643,626
2021-11-18$73.93$71.0024.6%7.1%22.7%15.6%27.6%3.3%0.5%49.3M-1.05B-6.0M5.0221.9910,91154,728336,591644,632
2021-11-19$73.43$71.0026.2%7.5%22.4%24.1%27.8%3.8%-0.3%9.0M-925.4M-6.0M8.2542.218,78772,485334,437664,568
2021-11-22$74.71$71.0026.1%7.4%23.2%23.6%27.3%4.1%-0.6%22.3M-800.5M-5.9M3.1534.3618,35057,857264,568520,999
2021-11-23$75.30$71.0026.5%7.6%23.1%25.5%28.3%4.0%-1.1%24.3M-889.8M-5.8M4.4531.9910,69847,556269,615528,341
2021-11-24$75.36$71.0026.1%7.5%19.1%23.6%26.7%4.1%-0.8%25.7M-870.5M-6.0M4.5435.7410,86449,369269,882534,183
2021-11-26$71.80$71.0032.3%9.7%26.4%57.0%33.8%6.7%-0.7%-8.9M-195.5M-6.8M1.2030.4932,66639,324272,644543,321
2021-11-29$71.79$71.0029.9%8.8%26.3%44.4%33.7%5.8%-0.1%-3.4M-221.7M-6.7M3.2637.6311,84938,661272,354540,265
2021-11-30$70.61$71.0032.3%10.0%24.6%57.2%32.8%7.8%0.1%-14.9M13.7M-6.8M0.9230.0733,32230,625275,399545,807