KWEB Options History — May 2015

In May 2015, KWEB traded between $38.59 and $43.15. ATM implied volatility averaged 27.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.5% (HV 20d: 24.0%). Max pain ranged from $36.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2015-05-29: Highest Volume — 400 contracts
2015-05-13: Largest IV drop — 18.6% change
2015-05-28: Highest IV Rank — 19.2%
2015-05-28: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.76	$38.59	$43.15	$39.92	$41.10
Max Pain	$39.35	$36.00	$43.00	$36.00	$43.00
ATM IV	27.5%	23.3%	31.7%	27.5%	27.3%
Expected Move	7.6%	6.7%	8.4%	7.9%	7.8%
HV 20d	24.0%	21.4%	30.6%	28.7%	25.0%
HV 60d	22.8%	21.3%	23.9%	21.3%	23.9%
IV Rank	16.5%	12.7%	19.2%	12.7%	16.4%
IV Percentile	48.7%	29.4%	63.1%	29.4%	45.8%
Term Structure	-0.8%	-1.9%	0.0%	-0.4%	-0.6%
VWIV	27.4%	22.6%	38.4%	31.9%	27.5%
Skew 25d	-0.9%	-8.0%	1.1%	1.1%	-1.4%
Skew 10d	-0.2%	-5.2%	4.8%	4.8%	-1.0%
Call IV 25d	27.5%	22.4%	37.6%	27.6%	28.3%
Put IV 25d	26.6%	20.8%	29.6%	28.7%	26.9%
Bid-Ask Spread %	66.43	38.07	88.72	88.72	80.17
Gamma HHI	0.23	0.13	0.41	0.16	0.30
Net GEX	33.8K	14.3K	60.3K	24.8K	45.5K
Net DEX	-893.6K	-1.3M	-670.9K	-917.1K	-813.5K
Net VEX	-2.6K	-4.5K	-1.9K	-2.1K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.00	1.82	0.95	0.64
Total Volume	215.3	0	400	250	400
Total OI	568.05	431	794	518	794

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
2015-05-01	$39.92	$36.00	27.5%	7.9%	28.7%	0.0%	31.9%	1.1%	-0.4%	24.8K	-917.1K	-2.1K	0.95	88.72	128	122	396	122
2015-05-04	$40.32	$40.00	28.1%	7.6%	28.7%	0.0%	26.5%	0.1%	-1.1%	35.8K	-976.3K	-2.0K	0.00	55.25	24	0	387	77
2015-05-05	$39.32	$38.00	31.0%	8.1%	30.6%	0.0%	28.2%	0.3%	-1.9%	25.3K	-853.6K	-2.2K	1.01	55.19	145	146	420	122
2015-05-06	$38.59	$38.00	31.7%	8.0%	21.4%	0.0%	28.4%	0.6%	-1.9%	22.8K	-751.0K	-2.2K	0.95	52.73	153	146	427	147
2015-05-07	$39.19	$38.00	30.7%	8.0%	21.7%	0.0%	28.8%	0.6%	-1.6%	22.1K	-796.6K	-2.1K	1.10	43.32	151	166	411	147
2015-05-08	$39.50	$39.00	28.8%	8.0%	21.4%	0.0%	0.0%	-0.6%	-1.8%	31.6K	-817.8K	-2.1K	0.00	38.07	1	0	391	125
2015-05-11	$40.08	$39.00	30.4%	7.5%	21.8%	0.0%	26.0%	0.4%	-0.5%	34.9K	-882.5K	-2.0K	0.00	67.42	14	0	391	125
2015-05-12	$39.33	$39.00	30.2%	7.4%	23.0%	0.0%	26.4%	-0.1%	-0.5%	14.3K	-776.7K	-2.0K	1.22	61.02	136	166	405	167
2015-05-13	$39.99	$39.00	24.6%	7.0%	23.6%	0.0%	24.6%	-0.1%	-0.4%	26.7K	-861.6K	-2.0K	1.21	66.38	137	166	409	168
2015-05-14	$41.12	$39.00	23.3%	6.7%	25.3%	0.0%	22.6%	-1.5%	-0.4%	58.6K	-1.1M	-1.9K	1.18	69.74	142	167	423	168
2015-05-15	$41.34	$39.00	24.2%	6.9%	23.1%	0.0%	24.6%	0.5%	-0.5%	27.4K	-1.1M	-2.1K	1.19	70.37	140	167	437	171
2015-05-18	$41.24	$39.00	23.8%	6.8%	23.2%	0.0%	0.0%	-0.7%	-0.2%	29.8K	-670.9K	-2.1K	0.00	64.04	0	0	324	107
2015-05-19	$41.33	$39.00	25.5%	7.3%	22.3%	0.0%	25.7%	-0.9%	-0.8%	29.5K	-700.1K	-2.3K	0.33	60.85	3	1	324	107
2015-05-20	$41.40	$39.00	25.0%	7.2%	21.7%	0.0%	25.4%	-1.2%	-0.4%	26.3K	-770.5K	-2.4K	1.48	62.51	67	99	334	111
2015-05-21	$41.94	$39.00	24.6%	7.0%	22.0%	12.7%	25.9%	-1.7%	-0.5%	25.8K	-785.1K	-2.3K	0.89	74.89	111	99	329	111
2015-05-22	$43.15	$39.00	25.9%	7.4%	23.7%	14.5%	25.3%	-1.4%	0.0%	37.2K	-1.0M	-2.8K	0.36	82.16	282	101	395	111
2015-05-26	$42.50	$39.00	28.9%	8.3%	24.0%	18.6%	38.4%	-8.0%	-0.8%	60.3K	-1.3M	-4.4K	1.61	84.32	94	151	609	113
2015-05-27	$42.30	$43.00	28.3%	8.1%	23.8%	17.8%	28.1%	-1.3%	-0.9%	51.3K	-1.1M	-4.5K	1.82	71.85	83	151	614	164
2015-05-28	$41.51	$43.00	29.3%	8.4%	24.8%	19.2%	29.4%	-1.8%	-1.2%	45.5K	-947.6K	-4.4K	1.71	79.56	91	156	614	164
2015-05-29	$41.10	$43.00	27.3%	7.8%	25.0%	16.4%	27.5%	-1.4%	-0.6%	45.5K	-813.5K	-4.0K	0.64	80.17	244	156	624	170