KWEB Options History — December 2014

Name: KWEB Options Analytics - December 2014
Creator: Options Analysis Suite

In December 2014, KWEB traded between $32.20 and $35.06. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.0% (HV 20d: 25.9%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.17.

Notable Days

2014-12-26: Highest Volume — 90 contracts
2014-12-04: Largest IV spike — 10.9% change
2014-12-17: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.49	$32.20	$35.06	$34.98	$32.60
Max Pain	$32.48	$32.00	$35.00	$35.00	$33.00
ATM IV	30.9%	25.9%	35.1%	30.6%	25.9%
Expected Move	8.4%	8.0%	8.7%	8.3%	8.0%
HV 20d	25.9%	23.9%	28.0%	26.1%	23.9%
Term Structure	-1.1%	-3.9%	0.6%	-2.1%	-1.2%
VWIV	29.6%	27.9%	31.3%	28.7%	27.9%
Skew 25d	-1.6%	-18.1%	4.9%	-0.8%	-18.1%
Skew 10d	7.8%	-11.3%	65.0%	-1.9%	42.3%
Call IV 25d	32.3%	27.6%	37.3%	31.1%	37.3%
Put IV 25d	30.6%	19.1%	34.2%	30.3%	19.1%
Bid-Ask Spread %	43.76	15.21	74.72	26.97	74.72
Gamma HHI	0.40	0.21	1.00	1.00	0.21
Net GEX	134	-3.3K	5.2K	61	2.5K
Net DEX	-17.2K	-89.2K	13.2K	-2.4K	-27.6K
Net VEX	-309	-563	-8	-8	-563
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.36	20.00	1.83	1.00
Total Volume	49.5	0	90	17	80
Total OI	58.136	1	118	1	118

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-12-01	$34.98	$0.00	30.6%	8.3%	0.0%	0.0%	28.7%	-0.8%	-2.1%	61	-2.4K	-8	1.83	26.97	6	11	1	0
2014-12-02	$35.06	$35.00	30.6%	8.2%	0.0%	0.0%	28.6%	-1.5%	-1.6%	-306	2.6K	-120	1.83	21.94	6	11	5	11
2014-12-03	$35.01	$35.00	31.5%	8.3%	0.0%	0.0%	29.0%	-2.3%	-2.0%	-303	2.5K	-119	0.79	22.68	14	11	5	11
2014-12-04	$34.71	$35.00	34.9%	8.6%	0.0%	0.0%	30.2%	-4.6%	-3.9%	667	-12.2K	-185	0.00	23.93	0	12	15	11
2014-12-05	$34.52	$32.00	34.7%	8.6%	0.0%	0.0%	30.5%	-2.1%	-1.0%	-340	1.6K	-255	1.64	15.21	14	23	15	23
2014-12-08	$33.30	$32.00	35.1%	8.7%	0.0%	0.0%	30.3%	-1.9%	-1.8%	-523	12.1K	-249	1.57	36.63	21	33	15	23
2014-12-09	$33.66	$32.00	33.2%	8.7%	0.0%	0.0%	29.9%	-2.6%	-0.9%	-1.4K	-6.1K	-297	1.57	20.53	21	33	23	33
2014-12-10	$32.88	$32.00	33.8%	8.6%	26.1%	0.0%	30.0%	-1.4%	-1.1%	-2.3K	6.3K	-299	2.00	41.34	17	34	23	33
2014-12-11	$33.17	$32.00	31.0%	8.6%	26.1%	0.0%	29.9%	-1.8%	-1.1%	-2.2K	-1.2K	-299	1.48	44.46	23	34	24	34
2014-12-12	$33.14	$32.00	30.3%	8.5%	25.4%	0.0%	29.7%	-1.0%	-0.8%	-1.9K	-5.7K	-323	1.48	30.37	23	34	28	34
2014-12-15	$32.83	$32.00	30.3%	8.5%	24.6%	0.0%	29.7%	0.4%	-1.2%	-2.5K	-2.4K	-314	1.48	30.85	23	34	28	34
2014-12-16	$32.20	$32.00	30.6%	8.0%	24.4%	0.0%	28.6%	-1.6%	-0.7%	-3.3K	13.2K	-305	1.48	54.28	23	34	28	34
2014-12-17	$32.33	$32.00	33.5%	8.7%	24.1%	0.0%	31.3%	-0.8%	-2.8%	-3.3K	6.6K	-314	1.31	54.34	26	34	30	34
2014-12-18	$33.33	$32.00	30.7%	8.5%	27.0%	0.0%	29.9%	0.5%	-1.0%	99	-26.1K	-340	1.31	49.46	26	34	34	34
2014-12-19	$33.70	$32.00	29.0%	8.4%	27.5%	0.0%	0.0%	0.1%	0.3%	667	-34.3K	-334	0.00	48.01	0	0	34	34
2014-12-22	$33.53	$32.00	29.5%	8.3%	26.7%	0.0%	29.7%	-0.1%	-0.5%	710	-29.0K	-324	0.80	60.75	30	24	33	24
2014-12-23	$33.16	$32.00	27.3%	8.2%	26.7%	0.0%	28.6%	3.7%	0.6%	903	-21.5K	-337	0.80	54.14	30	24	38	24
2014-12-24	$33.28	$32.00	28.6%	8.3%	26.9%	0.0%	29.1%	4.9%	0.6%	891	-22.6K	-336	0.39	63.16	61	24	38	24
2014-12-26	$33.71	$32.00	30.9%	8.6%	27.4%	0.0%	30.2%	4.7%	-1.1%	4.5K	-89.2K	-500	0.36	63.73	66	24	69	24
2014-12-29	$32.97	$32.00	30.5%	8.0%	28.0%	0.0%	29.7%	3.1%	-1.8%	5.2K	-75.0K	-490	0.36	53.77	66	24	74	24
2014-12-30	$32.80	$32.00	28.1%	8.0%	23.9%	0.0%	27.9%	-12.4%	0.0%	5.1K	-67.6K	-479	20.00	71.51	1	20	74	24
2014-12-31	$32.60	$33.00	25.9%	8.0%	23.9%	0.0%	0.0%	-18.1%	-1.2%	2.5K	-27.6K	-563	1.00	74.72	40	40	74	44