Options/KRE

KREState Street SPDR S&P Regional Banking ETF

Options Analysis Report

AUM $4.1B|ARCX

● 2026-09-11$73.81

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +13.2%YTD +13.1%7D -1.9%

Options Vol

22,392

30D

Implied Move

±6.8%

IV Rank

KRE Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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KRE Gamma Walls

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KRE Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where KRE sits on protection cost vs. fragility today.

Protection is priced in the fair band (4.93) — implied vol sits in the 5th percentile of its own past year, and options are pricing vol 65% above what the stock has actually been realizing, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.48): it is trading 3% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

4.93/ 10fair

Basis: cross_sectional

Fragility

5.48/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.7

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks4/9 checks passed

IV Rank

≤35%

IV Rank 31.8% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.65x — IV premium over HV

Sector Relative≤50%

Sector percentile 50% — above sector median

Term Structure

<1.1x

Front/Back 1.26x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 25.9% — normal range

Spread-Adjusted Value

<80%

Effective IV 44.5% (ATM 25.9% + spread 9.3% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 14.16% (spread 9.30% + slippage 4.86%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 4.48 (vega 4.166 / spread 9.30%) — spread drag

Sentiment

Bullish or bearish?

5.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +61%, Raw: +56%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +61% (strong bullish) — Raw: +56%

OI Skew Magnitude

≥15%

|OI skew| 32.3% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -52.4%, OI skew -32.3% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 27%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +96%, ATM: +78%, OTM: +27% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 94% — very bearish vs sector

Activity

Unusual activity?

3.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.3x avg — normal

Turnover Rate

≥15%

Vol/OI 1.2% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -0.2% (5d) — stable

Sector Relative≥60%

Sector activity percentile 31% — below sector avg

Trade Quality

≥30%

Large trade volume 42% — institutional presence

Execution Urgency

≥60%

Aggressive execution 58% — patient

Flow Conviction

≥30

Conviction +61 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

4.9

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 9.3% — wide

Adequate OI

≥10,000

OI 1,937,329 — deep

Active Volume

≥500

Volume 22,392/day — active

Reasonable Cost

≤$0.50

$0.47 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 62% — wider than sector

Order Book Depth

≥100 contracts

Depth 436.6 contracts (bid:229.9 ask:206.7) — adequate

Execution Quality

<1.0%

Avg slippage 4.86% — poor

Timing

Is now a good time?

7.3

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +25.7% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 32% — neutral

Event Detection

≥10pts kink

IV kink 6.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 30.15 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: No earnings detected; FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +61% @ 80% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 72 (ITM 20% + inst 42%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.1

bullishIV cheap, mixed flow

Long Puts5.7

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put5.0

bullishIV too cheap, mixed flow

Covered Call4.6

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on KRE

KRE gamma walls KRE option chain KRE max pain KRE expected move KRE IV rank KRE put/call ratio KRE options flow