KRE Options History — December 2021

In December 2021, KRE traded between $66.49 and $71.47. ATM implied volatility averaged 29.0%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.4% (HV 20d: 29.4%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.70.

Notable Days

  • 2021-12-20: Highest Volume — 199,087 contracts
  • 2021-12-03: Largest IV spike — 13.4% change
  • 2021-12-03: Highest IV Rank — 85.8%
  • 2021-12-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.09$66.49$71.47$69.69$71.03
Max Pain$69.23$68.00$71.00$71.00$70.00
ATM IV29.0%24.8%37.6%34.2%24.8%
Expected Move8.4%6.9%11.8%10.5%6.9%
HV 20d29.4%24.3%34.0%24.9%27.6%
HV 60d25.6%24.7%26.6%24.7%25.1%
IV Rank39.3%16.7%85.8%67.4%16.7%
IV Percentile44.9%8.7%96.0%77.8%8.7%
Term Structure0.2%-0.7%0.8%0.1%0.7%
VWIV31.0%23.8%51.9%37.4%23.8%
Skew 25d5.9%4.1%9.6%8.8%4.5%
Skew 10d12.2%7.8%20.3%17.5%9.5%
Call IV 25d26.9%22.9%34.1%31.0%22.9%
Put IV 25d32.8%27.4%43.7%39.8%27.4%
Bid-Ask Spread %22.724.2352.1519.7828.16
Gamma HHI0.080.060.150.070.09
Net GEX-20.1M-56.6M9.7M-16.7M5.8M
Net DEX156.8M-160.5M722.8M137.5M-131.5M
Net VEX-7.9M-8.5M-7.0M-7.0M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.206.832.630.99
Total Volume91,810.18253,991199,087181,92058,116
Total OI890,793.409679,4051,011,820832,115795,937

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$69.69$71.0034.2%10.5%24.9%67.4%37.4%8.8%0.1%-16.7M137.5M-7.0M2.6319.7850,118131,802284,023548,092
2021-12-02$71.47$71.0033.2%10.3%24.3%61.7%39.2%8.2%-0.4%-9.3M-91.2M-7.5M2.5221.7132,97783,008296,545600,497
2021-12-03$68.98$71.0037.6%11.8%26.4%85.8%51.9%9.6%-0.4%-43.3M528.2M-8.2M6.8320.8312,55985,737299,501654,073
2021-12-06$71.22$68.0032.6%9.3%28.8%58.5%34.4%8.0%0.1%-22.4M58.2M-7.7M3.488.2840,482140,756297,493652,787
2021-12-07$71.18$68.0028.6%8.4%28.7%37.0%28.7%6.6%0.5%-10.4M34.7M-8.0M2.9417.6328,53183,751321,634658,400
2021-12-08$71.25$68.0027.7%8.1%28.8%32.1%29.4%5.6%0.5%-12.6M4.4M-7.7M2.0013.6136,63373,364324,111673,046
2021-12-09$70.59$68.0028.6%8.2%28.9%37.1%27.3%6.2%0.5%-18.5M152.8M-7.9M0.8429.4041,11234,372328,180681,117
2021-12-10$70.36$68.0027.2%8.0%28.6%29.4%28.0%5.8%0.8%-39.2M211.5M-7.7M1.1148.5935,73139,736329,786679,475
2021-12-13$69.00$68.0028.7%8.2%29.2%37.9%28.3%6.0%-0.3%-54.4M466.4M-7.6M1.1649.8530,77335,634321,344673,417
2021-12-14$69.56$68.0029.5%8.3%29.3%42.0%30.3%6.3%-0.5%-40.0M337.4M-7.6M1.076.6132,66434,862324,390665,090
2021-12-15$70.11$68.0028.3%8.0%29.6%35.4%28.5%5.3%-0.4%-32.1M246.3M-7.7M2.6325.7614,90639,188327,766678,253
2021-12-16$70.13$68.0029.0%8.2%29.5%39.4%29.9%5.9%-0.7%-34.1M247.0M-7.6M2.155.8217,12736,864330,686677,570
2021-12-17$68.48$68.0030.4%8.7%30.5%46.7%30.4%5.7%-0.1%-56.6M569.9M-7.6M0.7511.3458,80244,164331,076680,744
2021-12-20$66.49$70.0033.7%9.6%31.8%64.7%43.6%6.7%0.1%-39.7M722.8M-7.7M0.2025.33166,05533,032189,540489,865
2021-12-21$68.62$70.0029.4%8.4%33.5%41.3%30.4%5.0%0.5%-19.0M269.0M-8.5M1.2834.9334,96344,701281,233495,678
2021-12-22$69.28$70.0026.8%7.7%33.5%27.4%29.3%4.8%0.5%-16.7M192.7M-8.5M0.828.4142,12534,544285,360496,571
2021-12-23$70.17$70.0025.8%7.4%34.0%21.9%26.4%4.3%0.6%-10.2M18.0M-8.5M0.714.2338,13526,960290,383498,534
2021-12-27$70.72$70.0026.2%7.3%29.8%24.0%27.9%4.3%0.2%2.4M-80.2M-8.2M0.706.0638,29426,630286,805487,146
2021-12-28$71.39$70.0025.7%7.2%30.0%21.3%26.4%4.5%0.3%7.4M-160.5M-8.2M0.7912.3532,41925,633289,387496,734
2021-12-29$71.32$70.0025.1%7.0%29.4%17.9%25.7%4.1%0.5%8.9M-152.4M-8.3M0.8952.1531,68528,343289,877495,220
2021-12-30$71.02$70.0025.2%7.0%29.0%18.5%24.2%4.2%0.4%9.7M-131.1M-8.2M1.0249.0030,95731,579294,010496,079
2021-12-31$71.03$70.0024.8%6.9%27.6%16.7%23.8%4.5%0.7%5.8M-131.5M-8.0M0.9928.1629,20928,907296,140499,797