KWEB Options History — August 2015

In August 2015, KWEB traded between $28.50 and $36.75. ATM implied volatility averaged 37.5%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.2% (HV 20d: 39.7%). Max pain ranged from $32.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2015-08-17: Highest Volume — 1,423 contracts
  • 2015-08-11: Largest IV spike — 38.7% change
  • 2015-08-24: Highest IV Rank — 48.9%
  • 2015-08-24: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.13$28.50$36.75$35.18$30.29
Max Pain$35.00$32.00$40.00$40.00$32.00
ATM IV37.5%27.8%50.8%33.3%49.3%
Expected Move10.7%8.3%14.6%9.5%14.1%
HV 20d39.7%31.9%50.4%46.2%50.4%
HV 60d40.1%37.3%44.8%37.5%44.6%
IV Rank30.6%17.1%48.9%24.7%46.8%
IV Percentile83.2%44.2%96.9%85.2%95.4%
Term Structure-2.7%-6.1%0.8%-3.8%-4.8%
VWIV36.5%28.7%49.0%33.3%49.0%
Skew 25d3.9%-4.1%14.3%3.1%5.9%
Skew 10d12.2%-2.2%44.2%4.5%11.4%
Call IV 25d36.5%27.6%50.3%29.4%47.6%
Put IV 25d40.4%29.6%56.5%32.5%53.4%
Bid-Ask Spread %80.6067.0299.6099.6080.52
Gamma HHI0.260.120.400.280.13
Net GEX-4.6K-38.0K9.5K5.6K9.5K
Net DEX1.7M-132.2K3.2M2.1M-76.8K
Net VEX-2.9K-4.3K-1.4K-4.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.003.473.470.52
Total Volume797.238101,42310390
Total OI2,346.7627863,0242,794908

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$35.18$40.0033.3%9.5%46.2%24.7%33.3%3.1%-3.8%5.6K2.1M-4.3K0.0099.600101,6831,111
2015-08-04$36.03$40.0031.0%8.9%44.0%21.6%31.0%14.1%-0.8%-1.1K1.9M-4.2K3.4796.722297941,6931,169
2015-08-05$36.30$40.0030.3%8.7%43.2%20.6%31.7%-4.1%-2.1%7.8K1.8M-4.1K3.3599.392408051,6981,169
2015-08-06$36.27$35.0030.1%8.3%31.9%20.3%28.7%3.0%0.4%2.1K1.8M-4.1K3.4177.452368051,7181,170
2015-08-07$35.87$35.0029.6%8.5%32.0%19.6%29.4%-0.2%-0.7%-8.6K1.9M-4.1K3.1073.352668251,7231,170
2015-08-10$36.75$35.0027.8%8.3%32.2%17.1%29.5%4.2%0.8%-1.4K1.7M-3.6K3.0772.552668171,7211,190
2015-08-11$34.66$35.0038.6%9.8%38.0%32.0%37.3%1.4%-2.1%-9.3K2.3M-3.7K0.0070.702501,7111,144
2015-08-12$33.75$35.0035.5%10.2%36.6%27.8%35.5%3.5%-3.6%-3.2K2.6M-3.1K3.1867.022849021,7461,192
2015-08-13$34.11$35.0033.1%9.5%35.6%24.4%34.8%2.3%-1.5%-31.4K2.6M-3.5K3.2171.752819021,7071,290
2015-08-14$34.27$35.0032.8%9.4%34.5%24.1%33.9%2.7%-1.3%-38.0K2.6M-3.3K2.6277.953449001,7091,290
2015-08-17$34.09$35.0033.1%9.5%34.5%24.5%33.3%1.5%-1.2%-36.1K2.7M-3.0K1.7278.025239001,7321,290
2015-08-18$33.31$35.0033.1%9.5%34.6%24.5%34.9%2.0%-1.8%-21.3K2.8M-2.7K2.1978.844078921,7231,290
2015-08-19$32.65$35.0034.8%10.0%34.8%26.7%33.5%3.0%-2.9%-1.6K3.2M-2.1K0.2178.893371,7161,243
2015-08-20$30.90$35.0037.6%10.8%38.1%30.7%37.5%0.9%-2.9%7.8K3.2M-1.8K1.9875.724027961,7331,291
2015-08-21$30.42$35.0039.4%11.3%38.1%33.1%36.4%3.7%-4.6%-6.0K3.1M-1.6K2.2480.893547941,7401,265
2015-08-24$28.50$35.0050.8%14.6%39.7%48.9%41.3%3.5%-4.8%-2.8K364.9K-1.4K0.9493.45242228569217
2015-08-25$29.90$32.0048.0%13.7%44.9%45.0%45.8%1.0%-2.7%7.9K507-2.3K0.8882.51264232679198
2015-08-26$29.82$32.0048.5%13.9%44.4%45.8%46.0%14.3%-4.8%6.5K28.7K-2.1K0.9474.95246232694202
2015-08-27$31.50$32.0044.1%12.7%50.0%39.7%38.0%8.3%-4.8%8.1K-127.9K-2.3K0.9482.59247232691202
2015-08-28$31.12$32.0047.5%13.6%50.0%44.3%45.8%8.7%-6.1%9.4K-132.2K-2.5K0.5279.82257133693202
2015-08-31$30.29$32.0049.3%14.1%50.4%46.8%49.0%5.9%-4.8%9.5K-76.8K-2.4K0.5280.52257133705203