KRE Options History — July 2023 In July 2023, KRE traded between $40.45 and $48.95. ATM implied volatility averaged 33.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.6% (HV 20d: 31.2%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.23.
Notable Days 2023-07-18 : Highest Volume — 289,213 contracts2023-07-26 : Largest IV drop — 14.3% change2023-07-25 : Highest IV Rank — 27.6%2023-07-25 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $44.88 $40.45 $48.95 $41.61 $48.53 Max Pain $42.75 $41.00 $45.00 $41.00 $45.00 ATM IV 33.7% 29.6% 37.1% 33.9% 29.6% Expected Move 9.6% 8.5% 10.7% 9.1% 8.5% HV 20d 31.2% 28.1% 35.9% 35.9% 33.3% HV 60d 43.7% 41.8% 44.3% 43.7% 41.8% IV Rank 22.1% 15.2% 27.6% 22.2% 15.2% IV Percentile 63.6% 50.0% 79.0% 65.9% 50.0% Term Structure -0.2% -1.1% 0.8% -0.1% -0.3% VWIV 34.6% 30.0% 38.3% 33.0% 30.0% Skew 25d 3.5% 1.6% 5.6% 4.3% 3.4% Skew 10d 7.5% 5.7% 12.3% 8.4% 7.2% Call IV 25d 32.5% 28.7% 35.1% 32.2% 28.7% Put IV 25d 36.0% 32.0% 39.8% 36.4% 32.0% Bid-Ask Spread % 2.13 1.67 4.19 2.57 1.84 Gamma HHI 0.08 0.05 0.10 0.05 0.10 Net GEX 24.3M -23.3M 59.0M -7.5M 43.9M Net DEX -35.2M -1.01B 1.17B 830.5M -516.8M Net VEX -12.7M -13.8M -11.3M -12.1M -13.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.24 5.86 1.08 0.82 Total Volume 121,367.85 40,251 289,213 40,848 40,251 Total OI 1,961,034.35 1,800,616 2,217,266 1,838,161 1,921,051
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2023-07-03 $41.61 $41.00 33.9% 9.1% 35.9% 22.2% 33.0% 4.3% -0.1% -7.5M 830.5M -12.1M 1.08 2.57 19,607 21,241 715,503 1,122,658 2023-07-05 $41.36 $41.00 33.9% 9.5% 34.7% 22.3% 35.7% 4.4% 0.0% -8.8M 902.0M -11.9M 5.86 2.36 11,313 66,349 724,446 1,127,532 2023-07-06 $40.45 $42.00 36.7% 10.5% 30.5% 26.9% 37.7% 4.4% -0.8% -23.3M 1.17B -11.3M 1.68 2.07 42,569 71,437 728,060 1,137,743 2023-07-07 $41.59 $41.00 34.1% 9.6% 29.4% 22.6% 35.8% 3.9% -0.0% -5.0M 807.6M -12.0M 1.07 1.74 43,818 46,916 743,667 1,156,560 2023-07-10 $41.70 $41.00 35.5% 10.0% 29.2% 25.0% 37.0% 4.1% -0.4% -7.9M 808.5M -12.0M 2.86 2.26 20,027 57,336 726,957 1,151,250 2023-07-11 $42.39 $42.00 35.9% 10.5% 29.3% 25.6% 36.3% 4.4% 0.8% 2.0M 611.5M -12.2M 0.54 1.67 57,126 30,895 737,272 1,184,547 2023-07-12 $43.25 $42.00 33.7% 9.5% 30.3% 22.0% 33.7% 3.5% -0.3% 28.4M 282.3M -12.3M 1.27 1.76 60,319 76,805 776,159 1,202,796 2023-07-13 $43.91 $42.00 33.2% 9.5% 29.9% 21.2% 33.0% 3.4% -0.1% 38.0M 48.3M -12.5M 0.29 1.80 165,503 48,373 780,592 1,215,941 2023-07-14 $43.03 $42.00 34.1% 9.7% 29.6% 22.6% 34.8% 3.6% -0.4% 15.2M 413.7M -12.5M 0.88 2.03 54,627 48,223 792,770 1,238,135 2023-07-17 $43.97 $42.00 33.4% 9.6% 29.9% 21.5% 34.3% 3.9% -0.3% 31.0M 149.9M -12.5M 1.10 1.73 30,526 33,436 769,969 1,216,160 2023-07-18 $45.75 $42.00 35.0% 10.0% 32.1% 24.1% 36.0% 3.2% -0.1% 50.2M -558.3M -12.7M 0.34 1.88 215,405 73,808 774,572 1,229,134 2023-07-19 $47.22 $43.00 34.6% 9.9% 32.4% 23.5% 34.4% 2.3% -0.4% 51.3M -1.01B -13.0M 0.31 1.95 168,662 52,817 819,125 1,259,624 2023-07-20 $46.81 $43.00 34.1% 9.8% 32.2% 22.6% 36.2% 2.5% -0.2% 59.0M -944.0M -13.2M 0.97 1.97 55,406 53,658 915,203 1,278,028 2023-07-21 $46.36 $44.00 32.1% 9.2% 28.8% 19.3% 32.6% 1.6% 0.2% 19.7M -733.9M -13.1M 0.24 1.96 105,196 25,112 926,685 1,290,581 2023-07-24 $47.50 $44.00 34.0% 10.0% 28.1% 22.4% 35.2% 3.4% -1.1% 36.1M -475.1M -13.2M 0.54 2.42 89,742 48,393 771,728 1,028,888 2023-07-25 $46.75 $44.00 37.1% 10.7% 29.2% 27.6% 38.3% 5.6% -0.9% 26.6M -193.7M -13.8M 1.35 4.19 58,369 78,764 807,129 1,051,350 2023-07-26 $48.95 $44.00 31.8% 9.2% 32.2% 18.8% 32.4% 2.8% -0.4% 52.2M -950.9M -13.6M 0.59 2.33 116,812 69,018 815,007 1,095,411 2023-07-27 $47.84 $45.00 31.7% 9.2% 33.5% 18.7% 32.2% 3.0% -0.2% 34.8M -538.1M -13.7M 1.03 2.00 49,521 50,762 851,970 1,121,443 2023-07-28 $48.63 $45.00 30.6% 8.9% 33.5% 16.8% 32.5% 3.3% -0.1% 50.7M -802.2M -13.8M 1.86 2.01 24,206 45,009 870,779 1,144,262 2023-07-31 $48.53 $45.00 29.6% 8.5% 33.3% 15.2% 30.0% 3.4% -0.3% 43.9M -516.8M -13.6M 0.82 1.84 22,109 18,142 818,592 1,102,459
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