KRE Options History — December 2023

In December 2023, KRE traded between $47.36 and $53.72. ATM implied volatility averaged 28.8%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 5.4% (HV 20d: 34.2%). Max pain ranged from $43.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2023-12-14: Highest Volume — 581,052 contracts
  • 2023-12-14: Largest IV spike — 11.1% change
  • 2023-12-14: Highest IV Rank — 16.2%
  • 2023-12-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.82$47.36$53.72$47.36$52.64
Max Pain$47.35$43.00$50.00$43.00$50.00
ATM IV28.8%26.3%30.2%29.8%28.2%
Expected Move8.3%7.6%9.3%9.3%7.8%
HV 20d34.2%30.0%38.5%38.5%34.1%
HV 60d33.7%31.9%35.1%32.2%34.4%
IV Rank13.9%9.7%16.2%15.4%12.9%
IV Percentile34.5%22.6%44.0%40.1%28.2%
Term Structure0.3%-1.2%0.7%-1.2%0.4%
VWIV29.5%27.0%32.9%32.9%27.9%
Skew 25d0.7%-2.0%1.3%1.3%0.7%
Skew 10d1.9%-2.5%3.5%3.5%1.8%
Call IV 25d29.2%26.7%32.2%29.7%28.5%
Put IV 25d29.8%27.4%31.0%31.0%29.2%
Bid-Ask Spread %1.861.433.091.641.76
Gamma HHI0.090.070.160.070.08
Net GEX49.1M17.5M104.5M41.1M17.9M
Net DEX-1.13B-2.96B-590.2M-841.3M-805.2M
Net VEX-13.9M-14.4M-13.2M-13.5M-13.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.301.660.360.72
Total Volume139,114.139,852581,052308,34849,108
Total OI2,066,289.31,838,3602,362,4392,071,5101,955,807

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$47.36$43.0029.8%9.3%38.5%15.4%32.9%1.3%-1.2%41.1M-841.3M-13.5M0.361.64226,35681,992893,7401,177,770
2023-12-04$47.98$45.0029.9%8.5%36.4%15.6%29.9%1.1%0.3%59.4M-962.8M-14.0M0.371.92136,25650,878927,9761,187,242
2023-12-05$47.48$45.0028.4%8.3%35.8%13.2%29.3%1.2%0.5%53.7M-754.8M-13.9M0.502.1059,00729,325945,8781,206,801
2023-12-06$47.59$45.0028.7%8.4%35.5%13.6%29.7%1.0%0.4%49.2M-782.3M-14.1M1.091.9347,43751,873945,2251,243,336
2023-12-07$48.39$45.0029.0%8.5%34.7%14.2%30.5%1.3%0.4%59.6M-1.05B-14.3M0.872.1346,70640,523953,5671,257,942
2023-12-08$49.03$45.0028.0%8.2%33.1%12.5%29.0%0.6%0.5%104.5M-1.34B-14.1M0.461.9074,53134,596966,1041,272,105
2023-12-11$48.89$45.0027.8%8.1%33.3%12.2%28.7%1.1%0.4%72.3M-1.15B-13.8M0.471.7836,25117,212948,9111,221,803
2023-12-12$48.55$45.0026.3%7.6%33.8%9.7%27.1%0.8%0.2%70.5M-1.01B-13.4M0.571.7470,79640,500950,5771,225,962
2023-12-13$51.14$46.0027.2%7.9%30.0%11.1%28.3%0.9%0.4%96.4M-2.04B-13.5M0.373.09122,17944,735950,2851,251,851
2023-12-14$53.72$46.0030.2%8.7%33.4%16.2%31.1%-2.0%0.2%75.6M-2.96B-13.2M0.331.91437,351143,701961,2811,280,710
2023-12-15$52.84$47.0029.0%8.5%33.6%14.1%30.5%-0.3%0.7%56.3M-2.31B-13.9M0.501.85261,140130,1401,005,8341,356,605
2023-12-18$52.06$50.0029.1%8.4%34.5%14.4%31.0%1.1%-0.1%26.2M-670.2M-14.0M0.451.7863,90828,812740,5671,097,793
2023-12-19$52.84$50.0029.1%8.4%34.5%14.4%29.9%0.6%0.4%36.1M-962.4M-14.1M0.622.0747,26329,373736,6751,122,639
2023-12-20$51.86$50.0029.5%8.5%33.8%15.0%29.9%0.6%0.5%19.4M-614.9M-14.0M0.791.9656,53544,827746,1531,136,739
2023-12-21$51.91$50.0029.9%8.6%33.9%15.7%29.3%0.4%0.7%17.5M-590.2M-14.4M0.491.5840,42219,985766,3941,156,335
2023-12-22$52.34$50.0029.4%8.4%33.8%14.8%30.0%0.3%0.5%24.8M-744.8M-14.4M0.341.6162,90921,540795,6511,165,690
2023-12-26$53.34$50.0029.8%8.3%33.6%15.5%30.1%1.0%0.1%38.4M-1.03B-14.1M1.661.5016,24626,890760,7691,148,834
2023-12-27$53.11$50.0028.5%7.9%33.8%13.3%27.0%1.1%0.7%30.6M-927.8M-14.0M0.871.4621,27818,574764,9541,163,010
2023-12-28$53.25$50.0028.4%7.9%33.4%13.2%27.7%0.8%0.5%32.9M-965.0M-13.8M0.301.4339,34811,779768,3441,167,927
2023-12-29$52.64$50.0028.2%7.8%34.1%12.9%27.9%0.7%0.4%17.9M-805.2M-13.9M0.721.7628,59220,516783,9221,171,885