KRE Options History — September 2023

In September 2023, KRE traded between $40.86 and $45.53. ATM implied volatility averaged 29.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.0% (HV 20d: 22.0%). Max pain ranged from $43.50 to $46.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2023-09-21: Highest Volume — 206,489 contracts
  • 2023-09-21: Largest IV spike — 9.5% change
  • 2023-09-27: Highest IV Rank — 20.6%
  • 2023-09-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.73$40.86$45.53$45.53$41.67
Max Pain$44.48$43.50$46.00$45.00$43.50
ATM IV29.0%25.9%32.9%25.9%30.8%
Expected Move8.4%6.6%9.5%6.6%8.8%
HV 20d22.0%20.3%23.8%22.1%21.4%
HV 60d27.7%26.4%29.1%28.6%26.4%
IV Rank14.1%9.0%20.6%9.0%17.1%
IV Percentile40.8%25.0%56.0%25.0%49.2%
Term Structure0.4%-0.2%1.5%1.1%-0.2%
VWIV29.6%23.4%33.5%23.4%31.3%
Skew 25d4.9%3.4%6.5%3.8%5.9%
Skew 10d9.6%6.6%12.9%6.9%11.7%
Call IV 25d26.9%24.7%30.2%24.7%28.0%
Put IV 25d31.9%28.4%36.7%28.5%33.9%
Bid-Ask Spread %1.701.491.851.621.84
Gamma HHI0.090.070.100.070.08
Net GEX-40.8M-61.0M-14.9M-14.9M-36.8M
Net DEX1.13B486.1M1.38B486.1M1.06B
Net VEX-12.7M-13.2M-12.1M-12.7M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.646.120.742.71
Total Volume119,294.682,572206,48997,65294,207
Total OI1,850,165.851,703,9742,101,3491,819,3831,846,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$45.53$45.0025.9%6.6%22.1%9.0%23.4%3.8%1.1%-14.9M486.1M-12.7M0.741.6256,21141,441667,2091,152,174
2023-09-05$44.72$46.0027.4%7.9%22.2%11.4%28.3%3.9%0.2%-34.1M785.3M-12.5M0.971.7241,90840,840651,8521,144,687
2023-09-06$43.59$46.0028.6%8.2%23.3%13.5%29.9%4.7%0.0%-54.6M1.20B-12.3M2.401.7129,73371,345673,7301,172,289
2023-09-07$43.02$46.0029.8%8.8%23.4%15.5%32.2%5.2%-0.0%-61.0M1.38B-12.2M2.121.8529,87563,285684,0341,177,555
2023-09-08$43.34$45.0028.2%8.5%23.8%12.9%29.9%4.2%0.0%-59.9M1.28B-12.3M1.571.5745,14970,860696,8561,205,026
2023-09-11$43.33$45.0027.8%8.4%23.6%12.2%29.5%4.0%1.5%-53.9M1.25B-12.1M2.321.6535,40682,065707,5621,209,560
2023-09-12$43.61$45.0028.1%8.2%23.2%12.6%28.5%3.6%0.3%-48.9M1.11B-12.3M0.641.4973,65747,033729,0141,205,858
2023-09-13$43.11$44.0028.3%8.3%20.7%12.9%28.7%4.9%0.9%-49.5M1.29B-12.1M1.541.7856,22886,580785,3621,216,062
2023-09-14$43.84$44.0026.9%7.9%21.6%10.7%27.5%4.0%0.9%-34.2M955.3M-13.0M1.371.6136,63750,062818,8121,241,331
2023-09-15$43.70$44.0026.6%7.7%21.7%10.2%28.8%3.4%0.6%-30.3M1.04B-13.2M1.631.6642,92870,054838,4611,262,888
2023-09-18$42.64$44.0027.6%8.0%23.1%11.8%27.7%4.8%0.2%-25.5M1.11B-13.0M1.641.6947,80478,196676,9611,027,013
2023-09-19$42.50$44.0027.4%7.9%23.0%11.5%29.7%5.2%0.1%-28.4M1.07B-13.0M2.851.8352,656149,962687,4251,023,768
2023-09-20$42.08$44.0028.1%8.0%21.1%12.6%27.9%4.9%0.1%-39.0M1.15B-12.8M2.411.7445,579109,643690,6721,044,206
2023-09-21$41.50$44.0030.7%8.8%20.9%17.1%32.4%5.5%-0.1%-44.2M1.29B-12.7M4.831.6235,449171,040713,0261,052,346
2023-09-22$41.25$44.0030.3%8.7%20.8%16.4%29.1%5.3%0.1%-40.2M1.35B-12.6M2.261.7837,04683,725730,9421,074,407
2023-09-25$41.69$44.0030.8%8.8%21.3%17.2%30.7%6.2%0.5%-34.6M1.09B-12.9M6.121.6913,87584,871708,9771,055,739
2023-09-26$41.25$44.0032.5%9.3%20.8%19.9%32.5%6.4%0.2%-40.1M1.21B-12.9M2.951.6824,73172,985714,4601,080,567
2023-09-27$40.86$44.0032.9%9.5%20.3%20.6%33.5%6.5%0.1%-42.4M1.31B-12.8M5.901.7718,889111,365723,7721,082,465
2023-09-28$41.36$44.0030.8%8.8%21.1%17.1%31.0%5.8%0.4%-43.0M1.17B-12.8M1.881.7428,68953,883731,6891,098,080
2023-09-29$41.67$43.5030.8%8.8%21.4%17.1%31.3%5.9%-0.2%-36.8M1.06B-12.9M2.711.8425,39868,809749,4071,097,073