KWEB Options History — July 2015

In July 2015, KWEB traded between $34.54 and $40.20. ATM implied volatility averaged 37.8%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 10.9% (HV 20d: 48.7%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2015-07-07: Highest Volume — 2,932 contracts
  • 2015-07-07: Largest IV spike — 43.5% change
  • 2015-07-08: Highest IV Rank — 65.6%
  • 2015-07-10: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.28$34.54$40.20$40.20$35.70
Max Pain$42.18$40.00$46.00$46.00$40.00
ATM IV37.8%27.8%62.8%31.6%30.7%
Expected Move9.6%8.0%12.5%9.1%8.8%
HV 20d48.7%30.7%54.8%30.7%52.7%
HV 60d34.9%25.3%38.1%28.6%37.6%
IV Rank31.0%17.2%65.6%22.4%21.2%
IV Percentile81.9%47.9%98.7%85.1%70.9%
Term Structure-2.7%-9.7%1.0%-2.1%-1.2%
VWIV34.5%27.8%44.8%38.5%30.5%
Skew 25d0.4%-3.7%4.9%0.3%-3.7%
Skew 10d6.5%-8.9%29.9%1.1%-4.9%
Call IV 25d34.2%28.0%41.8%32.7%34.7%
Put IV 25d34.6%27.9%46.6%33.0%31.0%
Bid-Ask Spread %84.4633.69100.8669.6597.53
Gamma HHI0.320.260.510.300.27
Net GEX106.6K-27.7K332.5K-4.5K11.5K
Net DEX1.0M-1.2M3.1M1.9M1.9M
Net VEX-7.2K-11.2K-4.3K-7.6K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.556.091.593.45
Total Volume1,796.8181,0192,9321,4901,019
Total OI3,008.4091,7774,0061,7812,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$40.20$46.0031.6%9.1%30.7%22.4%38.5%0.3%-2.1%-4.5K1.9M-7.6K1.5969.65575915782999
2015-07-02$39.82$46.0030.8%8.8%30.8%21.3%32.5%0.4%-1.0%-7502.2M-6.5K1.5833.69579915782995
2015-07-06$36.96$46.0035.1%9.0%38.1%27.2%39.7%1.2%-3.2%4.2K2.6M-4.3K4.9271.672331,146786995
2015-07-07$35.27$46.0050.4%10.8%40.6%48.4%36.8%1.5%-2.8%-27.7K3.1M-4.6K0.5555.031,8941,0387751,280
2015-07-08$34.54$46.0062.8%12.4%40.8%65.6%38.2%4.9%-8.9%157.6K1.6M-7.4K0.7681.011,4021,0672,4241,331
2015-07-09$37.44$46.0059.2%12.1%51.2%60.6%42.8%3.1%-8.6%237.9K-1.2M-10.9K0.5776.121,8091,0292,5931,413
2015-07-10$37.24$41.0056.5%12.5%50.8%56.8%44.8%3.8%-9.7%167.8K-28.7K-11.2K0.7474.061,6271,1982,3381,398
2015-07-13$38.09$41.0049.4%10.0%51.0%47.0%39.3%0.5%-4.1%206.7K-536.7K-10.1K0.8483.521,4181,1942,3681,570
2015-07-14$38.08$41.0043.5%9.2%50.4%38.8%36.7%1.6%-2.6%229.7K-749.6K-9.3K0.8185.161,4681,1942,3691,570
2015-07-15$36.60$41.0031.8%9.1%51.8%22.7%32.3%-3.1%-2.0%316.1K1.1M-7.9K1.0588.781,3681,4432,3701,570
2015-07-16$37.49$41.0031.7%9.1%52.0%22.5%30.7%-1.6%-1.9%332.5K109.2K-7.8K1.4093.371,0251,4302,2301,609
2015-07-17$38.27$41.0030.0%8.6%53.0%20.1%27.8%-1.8%-2.1%87.8K-768.1K-7.7K1.3491.971,0661,4262,2501,609
2015-07-20$38.01$41.0029.1%8.3%52.6%18.9%30.0%2.1%0.9%88.0K866.8K-6.6K5.6291.041801,0111,5071,142
2015-07-21$38.38$41.0027.8%8.0%52.9%17.2%30.9%3.7%0.7%105.4K784.3K-7.7K6.0990.461661,0111,5711,143
2015-07-22$38.35$41.0028.4%8.2%52.6%18.0%30.2%3.8%1.0%105.6K826.7K-7.3K6.0996.611661,0111,5771,143
2015-07-23$38.55$41.0030.2%8.7%52.8%20.5%32.7%1.6%1.0%108.4K607.9K-7.8K4.45100.862271,0111,5771,143
2015-07-24$37.88$41.0032.5%9.3%52.9%23.7%31.5%1.0%-1.8%95.0K886.9K-7.4K6.0593.311671,0111,6381,143
2015-07-27$35.83$41.0038.9%11.1%54.8%32.4%36.1%-3.3%-3.9%49.7K1.6M-6.3K3.4391.222327961,6401,143
2015-07-28$35.65$40.0035.4%10.1%53.6%27.6%32.1%-3.5%-3.2%25.4K2.0M-5.1K3.4897.772297961,6871,164
2015-07-29$36.03$40.0033.7%9.7%52.7%25.2%33.2%-1.5%-2.7%28.1K1.9M-4.9K3.4598.002297901,6931,164
2015-07-30$35.79$40.0032.4%9.3%52.7%23.5%31.5%-2.1%-1.4%19.8K1.9M-4.8K3.4597.202297901,6931,159
2015-07-31$35.70$40.0030.7%8.8%52.7%21.2%30.5%-3.7%-1.2%11.5K1.9M-4.5K3.4597.532297901,6931,159