KBE: SPDR S&P Bank ETF Option Analysis

Today's 1-Day OHLC Volatility for KBE is 22.8. The 20-day average is 16.6, and the 52-week average is 21.2.

The 1-Day OHLC Volatility for SPY is 4.3, while the average over the last 20 days is 9.5, and for the last 52 weeks is 12.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 18.8, and has moved -6.9% from yesterday. Its IV Ranking is 0.13, and is considered Subdued.

As a comparison, the current IV30 for SPY is 12.6, down -4.6% from the previous day. SPY's IV Rank is Moderate at 0.50.

Over the last 52 weeks, the IV30 Range is 16.1 - 43.2.

Over the same span, SPY's IV30 Range is 8.6 - 26.4.

Based on the IV30, a synthetic put to protect downside risk would cost 2.1%, compared to a 52-week range of 1.8% - 4.9%.
Volatility Skew:

The current downside put implied volatility is trading 1.1% higher than the upside call volatility, which represents a bullish tone when compared to the past year. Over the last year, the downside put has traded on average 18.5% higher than the upside call.

Option Volume:

On the day, KBE traded 5,174 contracts, with 0.1% being put options. This represents a relative volume of 2.2x compared to the last 90 days, when the average volume was 2,409 and 32.5% puts.
Upcoming Dividend:

The next dividend for KBE is on 16-Dec-2016. The amount has not yet been determined, but the indicative dividend yield is 1.25%.

ETF Holdings:

On the day, 61 (95.3%) of KBE's holdings are up. 2 (3.1%) are down.

The following holdings have earnings in the next week:
• USB on 19-Oct-2016 BeforeMarketOpen. The price effect from the previous earnings date was +1.6%, and the option market's implied straddle is ±2.0%.
• BBT on 19-Oct-2016 BeforeMarketOpen. The price effect from the previous earnings date was +0.4%, and the option market's implied straddle is ±2.1%.
• MTB on 19-Oct-2016 BeforeMarketOpen. The price effect from the previous earnings date was -4.1%, and the option market's implied straddle is ±2.4%.
• BK on 20-Oct-2016 BeforeMarketOpen. The price effect from the previous earnings date was -3.5%, and the option market's implied straddle is ±2.4%.
• STI on 21-Oct-2016 BeforeMarketOpen. The price effect from the previous earnings date was -1.8%, and the option market's implied straddle is ±2.4%.

The following holdings have dividends in the next week:
•FRC on 25-Oct-2016, for 0.16
•HOPE on 26-Oct-2016, for 0.12


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