KWEB Options History — March 2015

Name: KWEB Options Analytics - March 2015
Creator: Options Analysis Suite

In March 2015, KWEB traded between $31.61 and $34.30. ATM implied volatility averaged 27.2%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 10.8% (HV 20d: 16.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2015-03-05: Highest Volume — 198 contracts
2015-03-11: Largest IV drop — 69.5% change
2015-03-03: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.86	$31.61	$34.30	$32.34	$34.30
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	27.2%	15.4%	55.2%	41.5%	21.6%
Expected Move	6.2%	4.2%	12.4%	11.9%	6.2%
HV 20d	16.4%	13.8%	18.9%	14.9%	16.7%
HV 60d	18.6%	17.2%	20.6%	20.0%	17.2%
Term Structure	-6.5%	-61.5%	7.5%	-54.9%	-0.8%
VWIV	64.0%	59.9%	68.2%	59.9%	68.2%
Skew 25d	-4.0%	-20.5%	8.2%	-8.2%	-20.5%
Skew 10d	13.4%	-64.1%	87.5%	61.2%	-64.1%
Call IV 25d	23.8%	14.2%	42.0%	25.7%	42.0%
Put IV 25d	19.8%	12.4%	25.4%	17.6%	21.5%
Bid-Ask Spread %	115.30	103.81	126.66	126.66	111.81
Gamma HHI	0.24	0.17	0.31	0.19	0.31
Net GEX	11.5K	6.4K	17.3K	7.9K	15.3K
Net DEX	-231.3K	-362.5K	-126.7K	-157.8K	-362.5K
Net VEX	-1.1K	-1.2K	-955	-1.0K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.00	10.00	0.69	1.00
Total Volume	65.273	0	198	196	140
Total OI	271.727	240	301	240	272

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
2015-03-02	$32.34	$35.00	41.5%	11.9%	14.9%	0.0%	59.9%	-8.2%	-54.9%	7.9K	-157.8K	-1.0K	0.69	126.66	116	80	160	80
2015-03-03	$32.01	$35.00	43.2%	12.4%	15.1%	0.0%	63.8%	-17.2%	-61.5%	6.4K	-126.7K	-1.1K	0.69	126.33	116	80	160	92
2015-03-04	$32.39	$35.00	42.8%	12.3%	13.8%	0.0%	68.2%	-7.8%	-58.7%	6.6K	-153.5K	-1.0K	0.69	125.85	116	80	160	92
2015-03-05	$33.05	$0.00	41.9%	4.2%	15.8%	0.0%	0.0%	-0.9%	1.6%	7.9K	-199.0K	-963	0.68	116.01	118	80	160	92
2015-03-06	$33.02	$0.00	41.4%	4.3%	15.8%	0.0%	0.0%	-0.9%	1.5%	8.6K	-205.7K	-981	0.91	119.71	88	80	163	92
2015-03-09	$32.61	$0.00	47.6%	5.5%	15.9%	0.0%	0.0%	-4.3%	-1.0%	9.0K	-189.0K	-999	0.00	114.58	0	0	173	92
2015-03-10	$32.21	$0.00	55.2%	4.9%	15.9%	0.0%	0.0%	4.7%	6.4%	7.8K	-161.4K	-1.1K	0.00	106.72	0	0	173	92
2015-03-11	$32.06	$0.00	16.9%	4.8%	15.7%	0.0%	0.0%	6.0%	7.3%	8.4K	-154.0K	-955	0.00	113.06	1	0	173	92
2015-03-12	$31.75	$0.00	17.3%	4.9%	15.9%	0.0%	0.0%	8.2%	5.6%	7.6K	-137.3K	-993	0.00	122.90	10	0	174	92
2015-03-13	$31.61	$0.00	20.6%	5.9%	15.9%	0.0%	0.0%	0.1%	0.3%	8.6K	-141.0K	-1.1K	0.00	111.45	20	0	184	92
2015-03-16	$31.74	$0.00	21.0%	6.0%	15.2%	0.0%	0.0%	4.7%	1.0%	10.5K	-167.8K	-1.2K	0.00	114.41	5	0	204	92
2015-03-17	$31.94	$0.00	17.3%	5.0%	14.8%	0.0%	0.0%	4.4%	7.5%	11.7K	-182.4K	-1.2K	0.00	115.37	0	0	209	92
2015-03-18	$32.35	$0.00	20.2%	5.8%	15.7%	0.0%	0.0%	1.9%	5.0%	13.0K	-216.7K	-1.1K	0.00	103.81	0	0	209	92
2015-03-19	$32.69	$0.00	22.5%	6.5%	16.3%	0.0%	0.0%	-3.0%	-1.7%	14.0K	-240.5K	-1.2K	0.00	115.92	0	0	209	92
2015-03-20	$33.31	$0.00	16.6%	4.8%	17.8%	0.0%	0.0%	-16.5%	-0.3%	15.4K	-286.1K	-1.2K	0.00	116.83	0	13	209	92
2015-03-23	$33.95	$0.00	18.8%	5.4%	18.9%	0.0%	0.0%	-5.2%	0.2%	17.3K	-355.6K	-1.1K	10.00	114.08	1	10	195	65
2015-03-24	$34.02	$0.00	18.3%	5.2%	18.9%	0.0%	0.0%	-4.0%	0.1%	15.7K	-337.0K	-1.2K	0.00	112.21	0	2	195	75
2015-03-25	$33.69	$0.00	17.9%	5.1%	18.4%	0.0%	0.0%	-10.3%	0.1%	15.4K	-315.6K	-1.1K	0.00	115.16	0	0	195	77
2015-03-26	$33.60	$0.00	15.4%	4.4%	18.4%	0.0%	0.0%	-18.1%	0.1%	15.1K	-305.9K	-1.2K	1.00	113.19	70	70	195	77
2015-03-27	$34.01	$0.00	18.4%	5.3%	17.4%	0.0%	0.0%	-0.8%	-0.7%	16.3K	-339.9K	-1.1K	0.00	114.03	0	0	195	77
2015-03-30	$34.22	$0.00	22.4%	6.4%	17.4%	0.0%	0.0%	-0.2%	-0.3%	15.1K	-352.8K	-1.2K	1.00	106.56	70	70	195	77
2015-03-31	$34.30	$0.00	21.6%	6.2%	16.7%	0.0%	0.0%	-20.5%	-0.8%	15.3K	-362.5K	-1.1K	1.00	111.81	70	70	195	77