KWEB Options History — December 2015

In December 2015, KWEB traded between $37.37 and $39.55. ATM implied volatility averaged 30.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.6% (HV 20d: 22.1%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-12-18: Highest Volume — 450 contracts
  • 2015-12-04: Largest IV drop — 11.8% change
  • 2015-12-11: Highest IV Rank — 28.6%
  • 2015-12-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.84$37.37$39.55$39.11$38.43
Max Pain$37.32$36.00$38.00$36.00$38.00
ATM IV30.7%27.1%36.1%30.0%28.6%
Expected Move8.7%7.8%10.3%8.6%8.2%
HV 20d22.1%18.7%25.7%24.4%19.3%
HV 60d28.8%23.4%31.1%31.0%23.5%
IV Rank21.2%16.2%28.6%20.2%18.3%
IV Percentile48.8%25.0%74.6%43.3%35.7%
Term Structure-0.7%-2.2%0.9%-0.6%-0.4%
VWIV32.6%28.8%37.4%31.2%30.0%
Skew 25d4.9%2.3%9.8%3.6%3.5%
Skew 10d11.1%4.2%22.9%9.3%7.1%
Call IV 25d29.0%26.3%33.1%29.6%27.4%
Put IV 25d33.9%29.2%42.4%33.2%31.0%
Bid-Ask Spread %33.2825.5553.0349.7137.24
Gamma HHI0.210.160.570.210.17
Net GEX11.7K3.6K40.7K12.6K3.6K
Net DEX-685.4K-827.7K-486.0K-712.2K-620.9K
Net VEX-2.2K-2.4K-2.0K-2.1K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.140.830.800.77
Total Volume306.22784509325
Total OI541.364490652491569

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$39.11$36.0030.0%8.6%24.4%20.2%0.0%3.6%-0.6%12.6K-712.2K-2.1K0.8049.7154307184
2015-12-02$39.17$36.0030.5%8.8%24.2%20.9%31.2%4.1%-0.9%13.4K-738.9K-2.2K0.7153.03182130318199
2015-12-03$38.50$37.0032.5%8.8%25.1%23.6%32.6%4.4%-0.7%11.6K-646.2K-2.2K0.7126.10182130312201
2015-12-04$39.05$37.0028.6%8.1%25.4%18.3%31.5%3.9%-0.0%13.0K-710.4K-2.1K0.7329.44182133312201
2015-12-07$39.17$37.0030.8%8.4%24.8%21.3%31.7%4.8%-0.6%13.5K-713.4K-2.0K0.1431.6671306184
2015-12-08$38.95$37.0032.5%8.5%24.1%23.6%33.0%5.1%-0.4%13.6K-716.1K-2.1K0.7030.28189133319198
2015-12-09$38.46$37.0031.2%8.9%24.0%21.8%33.4%5.7%-1.0%13.0K-651.8K-2.1K0.7327.86183133319198
2015-12-10$38.36$37.0032.5%9.3%23.8%23.7%34.8%6.8%-0.8%13.2K-646.5K-2.2K0.7325.77183133324198
2015-12-11$37.37$37.0036.1%10.3%25.7%28.6%37.1%9.8%-2.2%11.8K-486.0K-2.4K0.8131.88179145324198
2015-12-14$37.78$37.0035.1%10.1%21.4%27.2%37.4%7.8%-1.5%10.3K-537.4K-2.2K0.8325.55180149327211
2015-12-15$38.60$37.0033.2%9.5%21.9%24.6%37.1%6.9%-1.9%13.6K-675.5K-2.1K0.7229.09207149331211
2015-12-16$39.27$37.0032.9%9.4%22.2%24.1%36.3%8.0%-2.0%17.6K-805.1K-2.4K0.5445.19267145358211
2015-12-17$39.05$37.0029.6%8.5%22.1%19.6%33.0%5.7%-0.0%40.7K-827.7K-2.3K0.5932.05268157427212
2015-12-18$39.12$38.0030.1%8.6%20.7%20.3%32.2%5.2%0.2%11.6K-804.0K-2.2K0.5431.36292158428224
2015-12-21$39.15$38.0030.6%8.8%20.0%21.1%32.1%4.9%-0.7%8.6K-677.1K-2.3K0.6731.62183123317206
2015-12-22$39.38$38.0029.1%8.3%19.9%18.9%31.3%3.2%-0.6%8.4K-709.7K-2.2K0.7030.65175123316208
2015-12-23$39.55$38.0027.4%7.9%19.9%16.6%29.3%3.4%0.3%9.3K-739.3K-2.2K0.7932.32175139318210
2015-12-24$39.48$38.0027.1%7.8%19.9%16.2%28.8%2.9%0.9%5.6K-718.4K-2.1K0.8031.36175140318230
2015-12-28$38.92$38.0029.6%8.5%19.9%19.7%30.9%4.1%-1.3%4.2K-642.1K-2.1K0.8333.73174145318231
2015-12-29$39.10$38.0028.5%8.2%18.7%18.1%30.6%2.4%-1.1%4.1K-670.0K-2.1K0.7936.28184145321236
2015-12-30$38.48$38.0029.3%8.4%19.4%19.1%29.8%2.3%-0.5%3.8K-630.2K-2.3K0.7730.06184141334236
2015-12-31$38.43$38.0028.6%8.2%19.3%18.3%30.0%3.5%-0.4%3.6K-620.9K-2.3K0.7737.24184141334235