KRE Options History — September 2022

In September 2022, KRE traded between $58.92 and $64.55. ATM implied volatility averaged 30.2%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.3% (HV 20d: 23.9%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.37.

Notable Days

  • 2022-09-27: Highest Volume — 112,533 contracts
  • 2022-09-14: Largest IV spike — 25.0% change
  • 2022-09-14: Highest IV Rank — 56.8%
  • 2022-09-27: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.86$58.92$64.55$61.97$59.10
Max Pain$63.86$63.00$65.00$65.00$64.00
ATM IV30.2%24.9%35.6%28.9%33.0%
Expected Move8.6%7.2%10.3%8.0%9.6%
HV 20d23.9%21.8%27.1%22.3%26.8%
HV 60d24.1%22.8%26.2%26.2%24.6%
IV Rank34.6%13.0%56.8%29.2%46.3%
IV Percentile57.9%13.1%92.1%51.2%79.8%
Term Structure-0.8%-8.8%0.7%-0.1%-0.1%
VWIV30.9%25.0%36.8%31.5%33.7%
Skew 25d6.2%2.7%19.1%6.0%6.3%
Skew 10d12.6%6.7%48.5%11.6%12.1%
Call IV 25d28.3%23.1%49.6%26.5%29.8%
Put IV 25d34.5%27.6%52.3%32.5%36.2%
Bid-Ask Spread %20.233.57123.5210.764.61
Gamma HHI0.060.050.090.050.09
Net GEX-45.0M-63.4M-23.7M-55.9M-58.1M
Net DEX798.5M339.3M1.18B997.8M1.15B
Net VEX-9.2M-9.8M-8.9M-9.8M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.4115.256.911.08
Total Volume49,763.4297,519112,53342,67366,042
Total OI1,007,841.667885,9781,113,1161,074,308962,139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$61.97$65.0028.9%8.0%22.3%29.2%31.5%6.0%-0.1%-55.9M997.8M-9.8M6.9110.765,39437,279295,720778,588
2022-09-02$61.53$65.0028.3%8.0%21.8%27.1%27.4%5.9%0.7%-63.1M1.06B-9.6M15.253.571,74426,589299,942779,483
2022-09-06$60.70$65.0029.2%8.2%22.1%30.6%29.8%5.6%-0.2%-63.4M1.18B-9.2M1.7515.8321,56237,798298,274760,693
2022-09-07$61.93$65.0027.2%7.9%23.5%22.6%27.1%5.9%0.4%-55.2M952.7M-9.2M1.278.2327,28434,678301,717769,206
2022-09-08$63.08$64.0026.1%7.6%22.1%17.7%28.1%5.2%0.2%-44.3M693.1M-9.3M2.0510.029,41119,248309,927773,679
2022-09-09$64.05$63.0024.9%7.3%22.6%13.0%25.0%4.5%0.1%-31.9M472.1M-9.2M3.0614.7614,40143,996315,700761,500
2022-09-12$64.55$63.0025.3%7.2%21.8%14.4%28.0%4.5%-0.1%-23.7M339.3M-9.1M5.956.572,81416,736323,222740,515
2022-09-13$62.44$63.0028.5%8.3%24.3%27.6%31.4%6.0%0.2%-46.7M805.2M-9.3M1.9523.3523,73146,290324,219760,256
2022-09-14$62.80$63.0035.6%8.7%23.8%56.8%36.8%2.7%-8.8%-37.4M634.4M-9.4M1.38123.524,6376,383329,795760,863
2022-09-15$63.56$63.0032.6%7.9%24.3%44.8%32.8%19.1%-5.4%-34.8M492.5M-9.0M5.8196.733,93722,885331,289763,733
2022-09-16$62.74$63.0028.7%8.2%24.4%28.5%28.8%5.7%-0.2%-41.1M740.1M-9.2M1.8524.6623,53443,453332,874780,242
2022-09-19$63.64$63.0028.5%8.2%24.8%27.9%27.0%5.7%-0.0%-24.2M370.4M-9.1M0.4614.3513,1506,028267,619618,359
2022-09-20$63.66$64.0029.7%8.5%23.2%32.6%31.3%5.7%-0.4%-24.9M396.7M-9.3M4.4713.681,3746,145272,987623,297
2022-09-21$62.75$64.0030.0%8.6%23.6%34.1%28.7%5.1%-0.8%-31.3M528.5M-9.3M0.4120.417,0662,912273,819629,172
2022-09-22$61.72$64.0029.5%8.5%24.2%32.0%29.5%4.5%-0.3%-42.1M717.5M-9.1M3.455.2314,41049,688274,621630,214
2022-09-23$60.24$64.0032.0%9.2%24.7%42.0%31.9%5.8%-1.2%-51.3M978.5M-9.3M4.118.297,91132,496284,837658,457
2022-09-26$60.00$64.0034.2%10.0%23.6%51.1%36.0%5.9%-0.4%-52.3M1.02B-9.2M3.615.1518,20665,634282,406652,546
2022-09-27$58.92$64.0035.1%10.3%23.9%54.7%35.2%6.5%-0.1%-58.7M1.18B-9.0M2.814.6729,56682,967285,998660,279
2022-09-28$60.49$64.0032.8%9.6%26.1%45.4%35.5%6.5%-0.3%-48.6M901.3M-9.2M1.265.2533,33842,127296,335650,367
2022-09-29$59.18$64.0033.7%9.9%27.1%49.0%33.6%6.5%-0.4%-55.8M1.15B-8.9M1.945.2831,38860,800293,656656,130
2022-09-30$59.10$64.0033.0%9.6%26.8%46.3%33.7%6.3%-0.1%-58.1M1.15B-9.0M1.084.6131,75534,287296,702665,437