KWEB Options History — November 2015

In November 2015, KWEB traded between $35.97 and $38.86. ATM implied volatility averaged 33.0%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.1% (HV 20d: 25.9%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2015-11-13: Highest Volume — 560 contracts
2015-11-10: Largest IV spike — 15.3% change
2015-11-10: Highest IV Rank — 33.8%
2015-11-02: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.56	$35.97	$38.86	$37.06	$38.86
Max Pain	$35.05	$32.00	$36.00	$35.00	$36.00
ATM IV	33.0%	27.3%	39.8%	38.4%	30.7%
Expected Move	9.3%	7.8%	11.0%	11.0%	8.8%
HV 20d	25.9%	23.4%	27.8%	25.9%	25.1%
HV 60d	37.0%	31.5%	42.1%	42.1%	31.9%
IV Rank	24.3%	16.4%	33.8%	31.8%	21.2%
IV Percentile	58.6%	25.8%	80.5%	77.9%	50.4%
Term Structure	-2.0%	-6.3%	-0.2%	-5.2%	-0.7%
VWIV	33.1%	28.7%	36.8%	35.3%	30.5%
Skew 25d	3.6%	2.4%	5.6%	4.1%	3.8%
Skew 10d	9.3%	0.4%	17.8%	17.8%	10.2%
Call IV 25d	31.4%	26.9%	34.8%	34.4%	30.3%
Put IV 25d	35.0%	30.1%	38.5%	38.5%	34.1%
Bid-Ask Spread %	40.46	23.72	74.70	74.70	43.93
Gamma HHI	0.22	0.17	0.37	0.20	0.20
Net GEX	16.4K	4.1K	28.3K	22.9K	12.8K
Net DEX	-694.2K	-892.2K	-474.4K	-746.8K	-690.3K
Net VEX	-2.2K	-2.5K	-1.7K	-1.8K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	12.00	0.39	12.00
Total Volume	313	3	560	341	13
Total OI	856.25	433	1,047	886	478

Daily Data (20 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
2015-11-02	$37.06	$35.00	38.4%	11.0%	25.9%	31.8%	35.3%	4.1%	-5.2%	22.9K	-746.8K	-1.8K	0.39	74.70	245	96	698	188
2015-11-03	$37.42	$35.00	38.3%	11.0%	25.5%	31.6%	36.8%	5.6%	-6.3%	25.6K	-828.0K	-1.7K	0.40	72.70	245	97	703	188
2015-11-04	$37.68	$35.00	33.7%	9.7%	25.3%	25.3%	36.5%	3.3%	-1.4%	28.3K	-848.6K	-1.7K	0.54	70.82	293	158	694	189
2015-11-05	$37.44	$32.00	38.7%	9.7%	25.7%	32.3%	33.7%	3.3%	-2.6%	26.5K	-798.0K	-2.5K	0.54	23.72	293	158	743	250
2015-11-06	$38.06	$32.00	34.2%	9.6%	25.6%	26.0%	35.2%	3.4%	-3.1%	26.9K	-892.2K	-2.4K	0.36	26.26	33	12	706	249
2015-11-09	$37.46	$36.00	34.5%	10.1%	26.8%	26.5%	0.0%	4.0%	-3.4%	21.6K	-751.0K	-2.3K	0.31	35.63	64	20	713	258
2015-11-10	$36.95	$35.00	39.8%	9.7%	27.1%	33.8%	34.2%	3.4%	-2.8%	20.8K	-650.5K	-2.4K	0.48	28.35	325	157	728	259
2015-11-11	$37.40	$35.00	34.1%	9.8%	25.4%	25.9%	34.2%	2.4%	-3.0%	25.2K	-695.6K	-2.5K	0.48	31.18	325	157	737	260
2015-11-12	$37.41	$35.00	33.9%	9.7%	23.4%	25.6%	34.3%	3.3%	-3.1%	19.4K	-645.6K	-2.5K	0.70	26.60	325	226	737	300
2015-11-13	$35.97	$35.00	33.5%	9.6%	27.3%	25.0%	32.9%	3.3%	-2.2%	4.1K	-474.4K	-2.3K	0.72	24.47	325	235	737	300
2015-11-16	$36.53	$36.00	31.9%	9.1%	27.6%	22.8%	31.9%	3.5%	-1.0%	4.7K	-553.8K	-2.2K	0.00	29.26	18	0	690	298
2015-11-17	$36.27	$35.00	31.7%	9.1%	27.8%	22.6%	31.9%	5.1%	-1.3%	4.5K	-543.1K	-2.2K	1.08	31.74	217	235	738	309
2015-11-18	$36.79	$35.00	31.2%	8.9%	26.2%	21.8%	31.9%	4.6%	-1.2%	6.7K	-623.1K	-2.1K	1.09	29.57	217	237	735	309
2015-11-19	$37.66	$35.00	30.1%	8.6%	26.8%	20.3%	32.2%	3.6%	-0.6%	9.5K	-749.8K	-2.0K	1.05	38.42	225	237	735	311
2015-11-20	$38.30	$35.00	30.7%	8.8%	26.0%	21.1%	31.1%	3.3%	-1.1%	10.8K	-808.1K	-2.0K	0.72	40.21	269	195	736	311
2015-11-23	$38.60	$36.00	28.7%	8.2%	25.1%	18.4%	0.0%	2.5%	-0.4%	12.7K	-614.0K	-2.1K	0.08	43.10	25	2	281	152
2015-11-24	$38.55	$36.00	27.9%	8.0%	25.1%	17.2%	0.0%	2.7%	-0.4%	14.7K	-652.0K	-2.2K	0.00	40.66	0	3	301	154
2015-11-25	$38.63	$36.00	27.3%	7.8%	24.8%	16.4%	28.7%	3.2%	-0.2%	15.2K	-689.7K	-2.2K	0.53	43.89	186	98	307	168
2015-11-27	$38.08	$36.00	30.1%	8.6%	24.9%	20.4%	31.4%	3.5%	-0.9%	14.5K	-629.7K	-2.3K	0.62	53.99	181	113	307	168
2015-11-30	$38.86	$36.00	30.7%	8.8%	25.1%	21.2%	30.5%	3.8%	-0.7%	12.8K	-690.3K	-2.2K	12.00	43.93	1	12	306	172