KWEB Options History — September 2015

In September 2015, KWEB traded between $28.82 and $31.12. ATM implied volatility averaged 47.2%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 2.0% (HV 20d: 45.2%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2015-09-16: Highest Volume — 374 contracts
2015-09-09: Largest IV drop — 19.2% change
2015-09-01: Highest IV Rank — 62.6%
2015-09-01: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.65	$28.82	$31.12	$29.19	$30.03
Max Pain	$29.90	$29.00	$32.00	$32.00	$30.00
ATM IV	47.2%	40.6%	60.7%	60.7%	43.8%
Expected Move	13.3%	11.6%	17.4%	17.4%	12.6%
HV 20d	45.2%	32.8%	52.2%	50.0%	32.8%
HV 60d	45.3%	43.1%	46.6%	45.1%	43.1%
IV Rank	44.0%	34.8%	62.6%	62.6%	39.3%
IV Percentile	90.4%	84.3%	98.5%	98.5%	86.6%
Term Structure	-2.6%	-9.6%	2.8%	-9.6%	-0.5%
VWIV	45.1%	28.4%	56.1%	55.3%	42.2%
Skew 25d	10.1%	3.1%	15.8%	15.0%	13.1%
Skew 10d	23.4%	-2.4%	39.9%	17.8%	39.9%
Call IV 25d	42.7%	37.8%	52.0%	52.0%	41.8%
Put IV 25d	52.8%	42.1%	67.1%	67.1%	54.9%
Bid-Ask Spread %	69.07	49.34	84.97	76.82	80.38
Gamma HHI	0.13	0.09	0.17	0.14	0.10
Net GEX	9.4K	2.8K	16.3K	8.1K	4.9K
Net DEX	-123.3K	-346.7K	14.3K	14.3K	-226.8K
Net VEX	-2.4K	-2.6K	-2.1K	-2.3K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	0.85	0.60	0.85
Total Volume	295.905	4	374	356	244
Total OI	964.333	894	1,054	908	965

Daily Data (21 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
2015-09-01	$29.19	$32.00	60.7%	17.4%	50.0%	62.6%	55.3%	15.0%	-9.6%	8.1K	14.3K	-2.3K	0.60	76.82	223	133	705	203
2015-09-02	$29.64	$32.00	50.5%	14.5%	50.5%	48.6%	52.8%	15.8%	-2.3%	8.7K	-17.8K	-2.3K	0.60	80.79	223	133	735	203
2015-09-03	$29.82	$29.00	50.0%	13.2%	50.7%	47.9%	49.0%	10.4%	-3.0%	11.4K	-91.1K	-2.6K	0.60	51.50	223	133	735	203
2015-09-04	$28.90	$29.00	59.0%	15.1%	51.3%	60.3%	56.1%	14.3%	-5.2%	9.3K	5.9K	-2.4K	0.55	49.34	225	124	735	203
2015-09-08	$29.56	$29.00	56.6%	13.9%	51.1%	56.9%	46.0%	12.2%	-5.3%	9.8K	-31.9K	-2.2K	0.00	51.23	26	0	737	207
2015-09-09	$29.68	$29.00	45.7%	13.1%	48.1%	41.9%	48.8%	8.7%	-1.8%	12.3K	-68.1K	-2.3K	0.55	56.37	234	128	763	209
2015-09-10	$29.50	$29.00	49.9%	14.3%	47.6%	47.7%	49.6%	8.6%	-4.4%	12.4K	-51.3K	-2.3K	0.55	57.04	234	128	763	213
2015-09-11	$29.60	$29.00	45.8%	13.1%	47.3%	42.1%	48.0%	13.1%	-1.1%	12.5K	-25.7K	-2.2K	0.61	61.19	211	128	763	213
2015-09-14	$28.97	$29.00	47.9%	13.7%	47.4%	44.9%	49.7%	6.6%	-2.8%	14.7K	10.4K	-2.2K	0.61	56.66	211	128	765	213
2015-09-15	$29.57	$29.00	44.9%	12.9%	48.5%	40.8%	28.4%	12.6%	-3.0%	16.3K	-25.7K	-2.1K	0.00	62.32	0	4	764	212
2015-09-16	$31.12	$31.00	41.4%	11.9%	52.2%	36.0%	42.0%	9.3%	2.8%	14.5K	-207.4K	-2.3K	0.35	60.51	278	96	765	212
2015-09-17	$30.76	$31.00	40.6%	11.6%	52.0%	34.8%	40.4%	3.1%	-1.0%	15.4K	-346.7K	-2.5K	0.36	71.28	269	96	841	212
2015-09-18	$30.50	$30.00	43.4%	12.4%	48.3%	38.7%	42.5%	6.5%	-1.2%	12.4K	-324.2K	-2.5K	0.31	73.61	278	86	842	212
2015-09-21	$30.44	$30.00	40.8%	11.7%	48.0%	35.1%	39.8%	5.7%	-1.0%	12.4K	-338.4K	-2.5K	0.63	75.94	169	107	740	154
2015-09-22	$29.55	$30.00	43.0%	12.3%	42.9%	38.2%	42.5%	5.4%	-1.5%	5.0K	-189.7K	-2.5K	0.61	78.90	180	110	747	204
2015-09-23	$29.18	$30.00	44.0%	12.6%	39.6%	39.6%	42.7%	7.5%	-3.6%	3.6K	-153.6K	-2.5K	0.61	79.25	180	110	758	204
2015-09-24	$29.37	$30.00	45.7%	13.1%	39.6%	41.9%	41.1%	15.2%	-2.1%	4.2K	-147.0K	-2.5K	0.61	79.75	180	110	758	204
2015-09-25	$29.42	$30.00	43.5%	12.5%	33.8%	38.8%	40.3%	8.0%	-2.0%	3.3K	-156.6K	-2.5K	0.61	84.97	180	110	758	205
2015-09-28	$28.82	$30.00	47.1%	13.5%	34.3%	43.8%	44.9%	8.0%	-2.1%	2.8K	-101.8K	-2.4K	0.61	81.21	180	110	758	205
2015-09-29	$29.08	$30.00	47.4%	13.6%	33.4%	44.2%	45.1%	11.9%	-4.8%	2.8K	-115.0K	-2.4K	0.62	81.44	180	112	758	205
2015-09-30	$30.03	$30.00	43.8%	12.6%	32.8%	39.3%	42.2%	13.1%	-0.5%	4.9K	-226.8K	-2.4K	0.85	80.38	132	112	758	207