KWEB Options History — January 2015 In January 2015, KWEB traded between $32.32 and $34.42. ATM implied volatility averaged 33.3%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 11.5% (HV 20d: 21.8%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.48.
Notable Days 2015-01-22 : Highest Volume — 300 contracts2015-01-12 : Largest IV spike — 204.5% change2015-01-20 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.54 $32.32 $34.42 $33.22 $32.91 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 33.3% 25.2% 87.7% 29.7% 26.5% Expected Move 8.0% 7.3% 8.5% 8.2% 7.6% HV 20d 21.8% 19.3% 25.2% 25.2% 20.5% HV 60d 23.3% 23.1% 23.6% 23.6% 23.1% Term Structure -0.1% -1.4% 0.9% -1.4% 0.5% VWIV 28.3% 26.1% 32.4% 28.5% 27.0% Skew 25d 0.8% -0.3% 3.9% 3.9% 1.0% Skew 10d 9.8% -15.8% 78.6% 13.9% 0.2% Call IV 25d 28.2% 26.0% 30.7% 30.3% 27.3% Put IV 25d 29.1% 26.3% 34.2% 34.2% 28.4% Bid-Ask Spread % 71.32 49.78 102.48 53.82 102.48 Gamma HHI 0.24 0.19 0.28 0.25 0.27 Net GEX 3.7K -4.6K 9.5K 4.2K -4.6K Net DEX -140.9K -236.6K -22.1K -93.0K -22.1K Net VEX -1.4K -1.6K -1.1K -1.2K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.00 0.80 0.80 0.47 Total Volume 147.4 0 300 189 245 Total OI 272.65 198 346 198 346
Daily Data (20 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 2015-01-02 $33.22 $33.00 29.7% 8.2% 25.2% 0.0% 28.5% 3.9% -1.4% 4.2K -93.0K -1.2K 0.80 53.82 105 84 114 84 2015-01-05 $33.34 $33.00 30.8% 8.4% 25.1% 0.0% 0.0% -0.3% -0.5% 4.3K -98.4K -1.1K 0.00 54.05 0 0 114 84 2015-01-06 $33.51 $33.00 30.9% 8.5% 25.2% 0.0% 29.7% 0.4% -0.5% 4.5K -107.5K -1.2K 0.00 64.02 22 0 114 84 2015-01-07 $33.84 $33.00 29.5% 8.5% 22.0% 0.0% 0.0% 1.8% -0.2% 5.7K -172.9K -1.3K 0.00 49.78 0 0 134 84 2015-01-08 $34.32 $33.00 26.8% 7.8% 22.2% 0.0% 27.4% 0.1% 0.3% 6.6K -201.5K -1.3K 0.67 71.59 140 94 134 84 2015-01-09 $34.14 $33.00 25.2% 7.8% 20.4% 0.0% 27.4% 0.3% 0.7% 7.4K -198.2K -1.4K 0.63 76.40 149 94 157 99 2015-01-12 $33.28 $33.00 76.8% 8.1% 22.4% 0.0% 28.3% 0.8% -0.6% 7.1K -150.2K -1.5K 0.63 58.17 149 94 166 99 2015-01-13 $33.09 $33.00 87.7% 7.8% 22.5% 0.0% 27.6% 0.1% 0.8% 6.3K -127.3K -1.4K 0.64 64.29 148 94 158 99 2015-01-14 $32.90 $33.00 28.0% 8.0% 22.3% 0.0% 27.8% 0.8% 0.1% 6.1K -111.0K -1.4K 0.64 63.74 148 94 159 99 2015-01-15 $32.32 $33.00 28.4% 8.1% 22.1% 0.0% 28.8% 1.0% -0.6% 4.6K -70.3K -1.3K 0.61 64.48 148 90 159 99 2015-01-16 $32.68 $33.00 28.4% 8.2% 22.4% 0.0% 0.0% 0.6% -0.9% 4.8K -96.3K -1.4K 0.00 65.70 0 0 160 100 2015-01-20 $33.17 $33.00 29.8% 8.5% 20.3% 0.0% 31.8% 0.8% -0.2% 5.3K -118.0K -1.3K 0.00 74.14 24 0 150 98 2015-01-21 $33.84 $33.00 28.6% 8.2% 21.2% 0.0% 0.0% 0.7% -0.1% 8.1K -193.0K -1.4K 0.00 81.36 10 0 174 98 2015-01-22 $34.02 $33.00 27.8% 8.0% 21.1% 0.0% 32.4% 1.9% 0.9% 9.5K -236.6K -1.4K 0.74 82.86 172 128 184 98 2015-01-23 $34.17 $33.00 26.5% 7.6% 20.7% 0.0% 26.7% -0.3% -0.4% -116 -187.1K -1.6K 0.40 76.82 172 69 183 158 2015-01-26 $34.42 $33.00 26.2% 7.5% 20.8% 0.0% 0.0% 1.1% -0.4% 479 -210.4K -1.5K 0.00 74.49 0 4 183 159 2015-01-27 $34.30 $33.00 25.9% 7.4% 20.4% 0.0% 0.0% 0.9% 0.2% -92 -196.5K -1.5K 0.00 79.04 0 0 183 163 2015-01-28 $33.86 $33.00 25.6% 7.3% 19.3% 0.0% 26.1% 0.0% 0.6% -2.3K -146.2K -1.5K 0.42 81.51 172 73 183 163 2015-01-29 $33.43 $33.00 26.5% 7.6% 19.8% 0.0% 26.9% 1.3% 0.0% -3.9K -82.2K -1.5K 0.48 87.66 153 73 183 163 2015-01-30 $32.91 $33.00 26.5% 7.6% 20.5% 0.0% 27.0% 1.0% 0.5% -4.6K -22.1K -1.5K 0.47 102.48 167 78 183 163
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