KRE Options History — November 2023

In November 2023, KRE traded between $39.81 and $45.22. ATM implied volatility averaged 29.1%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 10.1% (HV 20d: 39.1%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2023-11-14: Highest Volume — 312,811 contracts
  • 2023-11-02: Largest IV drop — 6.3% change
  • 2023-11-01: Highest IV Rank — 19.2%
  • 2023-11-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.48$39.81$45.22$39.81$45.11
Max Pain$43.19$40.00$44.00$40.00$43.00
ATM IV29.1%27.5%32.0%32.0%28.0%
Expected Move8.4%7.7%9.5%9.5%8.3%
HV 20d39.1%29.5%44.3%29.5%39.3%
HV 60d29.7%24.3%31.6%24.3%30.8%
IV Rank14.3%11.7%19.2%19.2%12.4%
IV Percentile38.6%31.0%50.8%50.8%31.3%
Term Structure0.3%-0.8%1.2%0.8%-0.8%
VWIV30.5%27.9%36.4%36.4%29.7%
Skew 25d3.2%1.3%6.8%6.8%2.3%
Skew 10d6.8%3.8%13.4%13.4%4.6%
Call IV 25d27.9%26.1%29.9%29.6%27.3%
Put IV 25d31.0%28.8%36.3%36.3%29.6%
Bid-Ask Spread %1.761.512.682.681.75
Gamma HHI0.070.050.180.080.08
Net GEX2.2M-42.2M46.5M-42.2M23.1M
Net DEX329.0M-473.7M1.30B1.30B24.8M
Net VEX-13.0M-13.6M-12.3M-12.3M-12.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.316.056.050.38
Total Volume104,673.85727,040312,811120,939100,142
Total OI2,077,644.6191,901,6922,330,5372,012,0122,022,678

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$39.81$40.0032.0%9.5%29.5%19.2%36.4%6.8%0.8%-42.2M1.30B-12.3M6.052.6817,156103,783763,2261,248,786
2023-11-02$42.02$43.0030.0%8.8%34.8%15.8%33.9%5.3%0.5%-1.8M582.1M-12.8M1.011.7494,99796,015768,4931,265,609
2023-11-03$43.77$43.0028.4%8.5%37.6%13.2%31.4%3.2%0.8%9.4M-92.5M-13.5M0.461.64162,12073,792811,3491,310,575
2023-11-06$42.95$43.0029.2%8.6%38.3%14.5%32.0%3.8%0.5%763.0K340.0M-13.3M0.861.7935,56330,549793,0621,301,562
2023-11-07$42.68$43.0029.3%8.5%38.1%14.8%32.0%4.2%0.3%-2.9M451.9M-13.1M1.101.5831,10834,067798,9601,314,861
2023-11-08$41.97$43.0029.3%8.6%38.6%14.7%30.0%4.1%0.7%-13.6M689.8M-12.7M1.041.6329,26330,510797,3671,328,200
2023-11-09$41.08$43.0030.0%8.7%39.1%15.9%31.2%4.2%0.5%-34.3M1.05B-12.6M1.201.5841,08649,380805,1131,340,660
2023-11-10$41.34$43.0028.6%8.4%38.5%13.5%29.3%4.0%1.2%-28.7M974.6M-12.5M1.231.5530,50337,631822,5571,351,566
2023-11-13$41.50$43.0029.8%8.6%37.6%15.5%29.6%4.5%0.7%-23.5M890.8M-12.4M2.311.5135,77582,629806,4781,332,291
2023-11-14$44.47$43.0029.9%8.6%44.3%15.7%30.5%1.7%0.8%24.7M-207.8M-13.2M0.311.54239,26273,549819,0001,346,173
2023-11-15$45.19$43.0030.1%8.6%42.8%16.0%30.9%1.5%0.7%46.5M-473.7M-13.5M0.321.57132,26042,045894,8941,372,801
2023-11-16$44.52$43.0029.2%8.3%43.0%14.6%29.9%1.5%1.1%23.4M-223.7M-13.5M1.201.6934,07940,936938,6631,383,180
2023-11-17$45.16$44.0028.7%8.1%40.0%13.6%28.8%1.3%1.1%43.4M-431.1M-13.6M1.151.5529,95034,476935,1471,395,390
2023-11-20$45.22$44.0029.0%8.1%40.0%14.1%29.1%3.0%-0.5%13.7M73.4M-13.4M0.411.8337,95015,751779,7401,121,952
2023-11-21$44.11$44.0028.0%7.7%41.2%12.6%28.4%2.6%-0.5%-3.1M415.2M-12.9M0.531.8952,55527,970781,1121,130,358
2023-11-22$44.31$44.0028.7%8.0%41.0%13.7%27.9%2.4%-0.0%-1.4M351.9M-13.1M0.441.7744,10319,277804,1821,138,914
2023-11-24$44.41$44.0028.1%7.9%40.3%12.7%28.3%2.4%-0.5%-3.3M349.8M-13.0M0.312.2120,6356,405817,1271,153,213
2023-11-27$44.16$44.0027.5%8.0%39.0%11.7%31.3%2.7%-0.4%-1.3M404.4M-12.5M0.621.9219,07211,744792,7361,130,422
2023-11-28$44.11$44.0028.1%8.2%38.8%12.6%30.3%2.5%-0.8%-2.1M411.9M-12.5M0.551.8933,59618,376802,7831,135,966
2023-11-29$45.13$43.0028.0%8.2%39.3%12.5%29.2%2.5%-0.6%20.4M32.6M-12.8M0.551.6795,58052,511830,3421,143,049
2023-11-30$45.11$43.0028.0%8.3%39.3%12.4%29.7%2.3%-0.8%23.1M24.8M-12.8M0.381.7572,69627,446856,8941,165,784