KWEB Options History — June 2015

In June 2015, KWEB traded between $39.60 and $44.57. ATM implied volatility averaged 28.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.9% (HV 20d: 25.3%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-06-26: Highest Volume — 1,520 contracts
  • 2015-06-10: Largest IV drop — 13.9% change
  • 2015-06-29: Highest IV Rank — 23.6%
  • 2015-06-29: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$39.60$44.57$42.02$40.60
Max Pain$42.36$41.00$46.00$43.00$46.00
ATM IV28.2%25.4%32.5%28.9%32.0%
Expected Move8.0%7.3%9.3%8.3%9.2%
HV 20d25.3%22.2%30.8%26.0%30.8%
HV 60d25.1%23.6%28.6%24.0%28.6%
IV Rank17.6%13.8%23.6%18.6%22.9%
IV Percentile53.6%28.9%88.8%61.4%86.9%
Term Structure-0.8%-2.2%0.9%-1.5%-2.2%
VWIV29.7%25.3%41.2%28.6%41.2%
Skew 25d-0.8%-2.2%1.9%-0.8%1.4%
Skew 10d0.4%-11.8%23.9%-3.7%1.5%
Call IV 25d29.0%26.7%33.7%29.0%32.5%
Put IV 25d28.2%26.0%34.1%28.2%33.8%
Bid-Ask Spread %61.5535.6091.6871.7048.87
Gamma HHI0.390.300.560.380.30
Net GEX59.5K-8.2K107.6K61.7K-8.2K
Net DEX-968.2K-1.9M2.0M-1.3M1.8M
Net VEX-6.3K-9.4K-5.5K-5.8K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.172.480.641.64
Total Volume591.136351,5204001,519
Total OI1,096.8189011,7739141,771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$42.02$43.0028.9%8.3%26.0%18.6%28.6%-0.8%-1.5%61.7K-1.3M-5.8K0.6471.70244156744170
2015-06-02$42.22$43.0027.8%8.0%25.8%17.1%27.8%-1.7%-0.9%62.3K-1.2M-5.8K0.1791.68305734167
2015-06-03$42.55$43.0027.1%7.8%23.8%16.1%27.2%-1.3%-0.7%66.6K-1.3M-5.7K0.6482.43253161764175
2015-06-04$42.23$41.0028.9%8.0%22.7%18.6%28.0%-0.8%-1.4%63.6K-1.2M-5.6K0.6535.60249161764175
2015-06-05$43.31$41.0029.0%8.0%23.5%18.9%28.5%-1.3%-0.3%68.4K-1.5M-6.0K0.6737.80241161764175
2015-06-08$42.92$41.0031.0%8.2%24.0%21.6%29.1%-0.8%-0.3%66.8K-1.4M-5.8K0.6739.89241161764175
2015-06-09$42.46$41.0032.0%8.2%24.3%23.0%29.0%-0.8%-0.9%63.1K-1.3M-5.5K0.6740.79241161756175
2015-06-10$43.26$41.0027.6%7.9%23.4%16.8%27.6%-0.8%0.2%69.7K-1.5M-5.7K0.6857.05241164756175
2015-06-11$43.71$41.0026.1%7.5%23.1%14.8%26.2%-0.7%-0.4%76.7K-1.6M-5.8K0.5763.52212121756178
2015-06-12$44.57$41.0027.1%7.8%22.2%16.1%25.3%-1.8%-0.9%79.5K-1.8M-5.8K0.5761.88212121757186
2015-06-15$43.29$41.0027.0%7.8%25.1%16.1%27.4%-1.1%-1.3%71.2K-1.6M-5.7K0.5252.09231121758197
2015-06-16$43.18$41.0027.5%7.9%25.1%16.7%28.1%-1.5%-1.6%67.2K-1.5M-5.7K0.5452.69232125778197
2015-06-17$44.10$42.0026.8%7.7%25.9%15.8%26.6%-1.0%-1.0%95.1K-1.9M-5.9K0.4469.14283124787204
2015-06-18$43.91$42.0026.1%7.5%26.1%14.7%26.5%-1.1%-0.8%91.1K-1.9M-6.2K0.4459.44283124821207
2015-06-19$42.91$42.0027.6%7.9%27.3%16.8%28.2%-0.5%-0.6%-5.7K-1.5M-5.9K0.4273.07305129831207
2015-06-22$42.84$42.0027.2%7.8%25.4%16.3%27.6%-2.2%-0.7%87.2K-1.5M-5.8K0.2953.2532695808117
2015-06-23$43.28$41.0026.3%7.5%25.0%15.0%26.5%-0.1%0.9%107.5K-1.7M-6.1K0.3046.2032699857117
2015-06-24$43.16$41.0025.4%7.3%25.0%13.8%34.9%-1.1%0.7%107.6K-1.7M-5.9K1.9189.88326623857117
2015-06-25$42.62$46.0026.6%7.6%24.4%15.5%30.3%-0.9%-0.1%11.6K883.9K-9.4K2.4883.36336833857841
2015-06-26$41.14$46.0028.9%8.3%27.4%18.7%39.3%1.9%-1.1%14.6K1.4M-8.0K1.6484.39575945867851
2015-06-29$39.60$46.0032.5%9.3%29.3%23.6%39.5%0.4%-1.8%-8.1K2.0M-7.4K1.6759.445659447731,000
2015-06-30$40.60$46.0032.0%9.2%30.8%22.9%41.2%1.4%-2.2%-8.2K1.8M-8.0K1.6448.87575944772999