KWEB Options History — February 2015 In February 2015, KWEB traded between $32.41 and $33.90. ATM implied volatility averaged 22.8%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.1% (HV 20d: 17.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.36.
Notable Days 2015-02-06 : Highest Volume — 298 contracts2015-02-27 : Largest IV spike — 105.5% change2015-02-27 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.32 $32.41 $33.90 $33.09 $32.41 Max Pain $31.79 $30.00 $35.00 $33.00 $35.00 ATM IV 22.8% 16.6% 38.1% 26.8% 38.1% Expected Move 6.6% 4.8% 10.9% 7.7% 10.9% HV 20d 17.7% 14.8% 20.6% 19.5% 15.8% HV 60d 22.0% 20.0% 23.2% 22.9% 20.0% Term Structure -2.7% -48.8% 1.1% 0.2% -48.8% VWIV 29.2% 13.9% 53.9% 27.7% 53.9% Skew 25d -4.0% -16.1% 3.8% -0.9% -16.1% Skew 10d -0.5% -44.2% 54.7% -8.2% 54.7% Call IV 25d 25.7% 19.9% 33.9% 27.3% 32.4% Put IV 25d 21.7% 14.1% 28.9% 26.3% 16.3% Bid-Ask Spread % 105.42 85.59 121.91 90.87 121.91 Gamma HHI 0.21 0.16 0.31 0.26 0.22 Net GEX 5.5K -5.4K 13.5K -4.4K 5.2K Net DEX -166.5K -287.9K -52.7K -52.7K -134.8K Net VEX -1.1K -1.5K -822 -1.5K -891 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.00 16.00 0.17 0.59 Total Volume 196.474 1 298 7 184 Total OI 310.737 217 379 370 219
Daily Data (19 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 2015-02-02 $33.09 $33.00 26.8% 7.7% 19.5% 0.0% 27.7% -0.9% 0.2% -4.4K -52.7K -1.5K 0.17 90.87 6 1 202 168 2015-02-03 $33.74 $33.00 26.4% 7.6% 20.6% 0.0% 25.7% 0.9% 0.4% -1.6K -145.4K -1.5K 0.48 98.49 161 78 208 169 2015-02-04 $33.90 $33.00 28.1% 8.1% 20.6% 0.0% 28.4% -0.0% -0.0% -531 -182.9K -1.5K 0.48 91.85 161 78 210 169 2015-02-05 $33.79 $30.00 26.1% 7.7% 20.4% 0.0% 21.3% 0.2% -0.4% -1.7K -160.2K -1.5K 0.48 85.59 161 78 210 169 2015-02-06 $33.43 $30.00 24.7% 7.3% 20.0% 0.0% 20.7% 0.6% 0.4% -5.4K -107.1K -1.4K 0.85 92.91 161 137 210 169 2015-02-09 $33.01 $30.00 25.7% 7.6% 20.4% 0.0% 19.4% 1.6% -0.6% 8.6K -135.9K -1.2K 0.85 86.89 161 137 210 109 2015-02-10 $33.22 $30.00 21.4% 6.4% 18.5% 0.0% 38.7% 1.7% 0.4% 10.2K -158.2K -1.1K 0.49 104.01 161 79 210 109 2015-02-11 $33.15 $30.00 21.9% 6.3% 18.4% 0.0% 41.5% 3.8% 0.3% 9.2K -150.5K -1.1K 0.49 109.49 161 79 210 111 2015-02-12 $32.97 $30.00 21.0% 6.0% 18.4% 0.0% 41.0% -1.8% 0.5% 8.5K -116.7K -1.0K 0.52 107.67 161 83 206 110 2015-02-13 $33.36 $30.00 20.6% 5.9% 17.5% 0.0% 33.3% 0.6% 0.8% 11.7K -161.5K -971 0.52 108.34 161 83 206 116 2015-02-17 $33.73 $30.00 19.9% 5.7% 17.5% 0.0% 20.0% -0.2% 0.4% 13.5K -204.4K -883 0.52 105.84 161 83 206 116 2015-02-18 $33.73 $30.00 20.4% 5.8% 16.8% 0.0% 34.3% -3.8% -0.1% 12.2K -219.5K -909 0.46 105.34 179 83 206 116 2015-02-19 $33.53 $30.00 19.1% 5.5% 15.3% 0.0% 0.0% -2.8% 1.1% 11.4K -247.5K -877 0.00 114.12 1 0 226 116 2015-02-20 $33.58 $30.00 18.9% 5.4% 15.2% 0.0% 18.4% -8.5% 0.3% 7.8K -287.9K -822 16.00 117.17 2 32 225 116 2015-02-23 $33.40 $35.00 19.6% 5.6% 15.2% 0.0% 19.0% -15.0% -1.0% 4.1K -184.7K -904 0.74 111.53 104 77 138 79 2015-02-24 $33.31 $35.00 16.6% 4.8% 14.8% 0.0% 13.9% -10.0% -1.2% 4.3K -186.6K -943 0.74 114.34 104 77 141 79 2015-02-25 $32.82 $35.00 18.4% 5.3% 15.5% 0.0% 37.1% -15.4% -2.1% 5.5K -160.3K -897 0.75 116.53 102 77 141 79 2015-02-26 $32.99 $35.00 18.6% 5.3% 15.2% 0.0% 31.9% -11.1% -2.5% 5.4K -166.6K -893 0.75 120.17 102 77 141 79 2015-02-27 $32.41 $35.00 38.1% 10.9% 15.8% 0.0% 53.9% -16.1% -48.8% 5.2K -134.8K -891 0.59 121.91 116 68 140 79
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