KWEB Options History — October 2015

In October 2015, KWEB traded between $29.49 and $36.35. ATM implied volatility averaged 37.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.0% (HV 20d: 37.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-10-30: Highest Volume — 342 contracts
  • 2015-10-15: Largest IV drop — 14.5% change
  • 2015-10-01: Highest IV Rank — 40.6%
  • 2015-10-01: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.62$29.49$36.35$29.49$36.35
Max Pain$30.68$30.00$35.00$30.00$35.00
ATM IV37.9%33.2%44.7%44.7%35.6%
Expected Move10.7%9.5%12.8%12.8%10.2%
HV 20d37.9%25.8%42.9%33.1%25.8%
HV 60d42.1%41.1%43.0%43.0%42.0%
IV Rank31.1%24.6%40.6%40.6%27.9%
IV Percentile77.1%67.8%87.6%87.6%73.2%
Term Structure-2.0%-8.1%6.3%-1.4%-2.5%
VWIV36.8%33.9%42.1%40.1%33.9%
Skew 25d7.3%2.8%12.5%2.8%5.1%
Skew 10d17.3%8.6%33.4%12.1%13.5%
Call IV 25d35.7%28.6%43.1%43.1%33.6%
Put IV 25d43.0%38.7%48.0%45.9%38.7%
Bid-Ask Spread %70.7148.5193.0888.3169.81
Gamma HHI0.180.100.300.100.19
Net GEX18.3K3.3K26.6K3.3K26.6K
Net DEX-515.0K-746.8K-196.8K-196.8K-746.8K
Net VEX-2.0K-2.5K-1.6K-2.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.210.620.620.39
Total Volume262.4551342294342
Total OI909.636790974967928

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$29.49$30.0044.7%12.8%33.1%40.6%40.1%2.8%-1.4%3.3K-196.8K-2.4K0.6288.31182112760207
2015-10-02$31.84$30.0038.4%11.0%42.9%31.8%42.1%10.7%6.3%12.3K-435.5K-2.5K0.3782.6117364758207
2015-10-05$32.37$30.0040.4%12.7%41.1%34.6%0.0%12.0%-5.5%14.6K-518.5K-2.4K0.0092.7001761202
2015-10-06$32.19$30.0039.3%12.2%40.8%33.1%41.1%10.4%-6.8%14.9K-504.9K-2.4K0.3893.0817265762205
2015-10-07$32.73$30.0040.6%10.5%41.0%34.9%39.6%5.5%-0.2%17.3K-577.0K-2.3K0.3790.9817465761205
2015-10-08$32.77$30.0037.0%10.3%40.8%29.8%35.6%6.7%-2.0%20.5K-601.3K-2.4K0.2167.7925354769205
2015-10-09$32.66$30.0038.3%10.2%41.0%31.7%34.0%8.5%-1.1%16.5K-418.5K-1.9K0.2248.5125154694219
2015-10-12$33.14$30.0041.4%10.2%39.9%35.9%34.9%6.5%-2.7%19.0K-463.2K-1.7K0.2260.4824855692219
2015-10-13$32.82$30.0042.6%10.4%39.9%37.6%36.5%5.8%-3.7%20.1K-439.6K-1.7K0.2258.5224655697223
2015-10-14$32.17$30.0041.5%11.9%36.9%36.0%38.2%7.4%-8.1%19.5K-370.4K-1.6K0.3261.0317455698223
2015-10-15$33.30$30.0035.4%10.2%38.3%27.7%37.5%5.5%-2.6%24.6K-499.4K-1.7K0.2859.8819455701223
2015-10-16$34.13$30.0036.0%10.3%38.7%28.5%35.4%7.0%-3.3%16.1K-643.9K-1.7K0.2564.6821655708223
2015-10-19$34.23$30.0035.8%10.3%38.6%28.2%36.2%8.0%-0.3%16.3K-481.2K-1.7K0.3263.9018358658132
2015-10-20$34.18$30.0036.1%10.4%36.4%28.7%36.5%7.6%-0.9%14.5K-442.7K-1.8K0.3267.5818358658152
2015-10-21$33.38$30.0035.3%10.1%37.4%27.5%37.2%6.7%0.7%13.2K-381.4K-1.8K0.3975.2418170658152
2015-10-22$33.91$30.0033.2%9.5%37.6%24.6%35.4%12.5%1.0%12.3K-388.9K-1.8K0.3479.4023179657168
2015-10-23$34.81$30.0034.8%10.0%38.1%26.8%34.0%6.8%-1.2%18.9K-523.3K-2.0K0.3667.7622380707178
2015-10-26$35.64$30.0035.5%10.2%36.8%27.8%39.2%7.6%-2.3%24.3K-648.8K-2.1K0.5766.7117599713179
2015-10-27$35.63$30.0036.0%10.3%37.0%28.5%35.8%6.9%-2.5%26.5K-666.8K-2.1K0.6168.38179109734166
2015-10-28$36.17$35.0038.4%11.0%36.2%31.7%34.7%6.0%-2.1%25.2K-706.0K-2.2K0.4963.3018290734186
2015-10-29$35.70$35.0037.9%10.9%35.7%31.1%35.3%4.4%-2.9%25.5K-675.5K-2.2K0.4865.0718891744186
2015-10-30$36.35$35.0035.6%10.2%25.8%27.9%33.9%5.1%-2.5%26.6K-746.8K-2.1K0.3969.8124696741187