KWEB Options History — January 2016

In January 2016, KWEB traded between $32.72 and $37.12. ATM implied volatility averaged 44.4%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 13.8% (HV 20d: 30.6%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2016-01-14: Highest Volume — 405 contracts
2016-01-07: Largest IV spike — 55.0% change
2016-01-20: Highest IV Rank — 64.6%
2016-01-20: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.38	$32.72	$37.12	$36.90	$33.46
Max Pain	$33.79	$33.00	$34.00	$33.00	$34.00
ATM IV	44.4%	36.8%	60.1%	36.8%	37.4%
Expected Move	11.6%	9.1%	13.2%	9.1%	10.7%
HV 20d	30.6%	22.6%	35.3%	23.3%	35.3%
HV 60d	27.1%	24.9%	28.5%	24.9%	27.5%
IV Rank	51.2%	29.6%	64.6%	29.6%	46.4%
IV Percentile	84.1%	69.4%	98.4%	75.0%	69.4%
Term Structure	-2.5%	-7.2%	1.0%	-1.5%	1.0%
VWIV	42.4%	34.0%	47.6%	34.0%	39.8%
Skew 25d	10.3%	5.8%	13.2%	5.8%	8.4%
Skew 10d	23.4%	13.5%	31.5%	13.5%	17.0%
Call IV 25d	36.8%	29.4%	41.1%	29.5%	34.2%
Put IV 25d	47.1%	35.3%	53.4%	35.3%	42.6%
Bid-Ask Spread %	46.72	31.07	61.39	39.20	58.89
Gamma HHI	0.14	0.11	0.23	0.14	0.12
Net GEX	-1.3K	-6.8K	1.4K	1.1K	-462
Net DEX	-31.7K	-378.4K	272.0K	-354.2K	-12.1K
Net VEX	-2.1K	-2.5K	-1.8K	-2.2K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.64	0.89	0.76	0.86
Total Volume	317.421	242	405	316	274
Total OI	610.632	547	692	569	622

Daily Data (19 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
2016-01-04	$36.90	$33.00	36.8%	9.1%	23.3%	29.6%	34.0%	5.8%	-1.5%	1.1K	-354.2K	-2.2K	0.76	39.20	180	136	334	235
2016-01-05	$37.12	$33.00	37.7%	9.1%	22.7%	30.8%	35.4%	6.9%	-0.9%	77	-378.4K	-2.3K	0.75	36.07	181	136	335	240
2016-01-06	$36.98	$33.00	38.8%	9.5%	22.6%	32.3%	35.9%	6.9%	-1.5%	161	-367.7K	-2.2K	0.70	34.12	181	127	336	240
2016-01-07	$35.16	$33.00	60.1%	12.5%	28.3%	61.8%	47.6%	11.8%	-7.2%	1.4K	-131.5K	-2.3K	0.89	31.07	207	184	336	241
2016-01-08	$35.03	$34.00	58.1%	12.4%	28.1%	59.1%	44.4%	12.5%	-7.1%	-1.5K	-40.6K	-2.5K	0.86	37.21	201	172	366	298
2016-01-11	$34.18	$34.00	59.5%	12.2%	29.0%	60.9%	44.5%	12.1%	-5.6%	-5.9K	140.9K	-2.2K	0.86	39.33	200	172	356	308
2016-01-12	$34.70	$34.00	50.1%	11.5%	28.8%	47.9%	41.6%	10.5%	-3.5%	-6.8K	82.0K	-2.2K	0.75	48.99	211	159	364	308
2016-01-13	$33.66	$34.00	41.2%	11.8%	29.8%	35.6%	43.6%	10.5%	-4.5%	-4.9K	200.2K	-2.1K	0.86	42.21	210	180	367	308
2016-01-14	$34.62	$34.00	38.5%	11.0%	30.7%	48.8%	40.4%	10.0%	-2.8%	-6.0K	83.3K	-2.1K	0.81	45.79	224	181	369	299
2016-01-15	$33.24	$34.00	44.9%	12.9%	31.8%	62.1%	47.0%	13.2%	-6.3%	629	272.0K	-2.0K	0.64	50.17	222	143	383	309
2016-01-19	$33.88	$34.00	40.5%	11.6%	33.3%	52.9%	42.0%	11.1%	-0.9%	1.0K	-69.5K	-2.0K	0.65	45.05	147	95	322	225
2016-01-20	$33.30	$34.00	46.0%	13.2%	33.3%	64.6%	44.9%	12.6%	-1.7%	686	-11.8K	-2.0K	0.79	48.35	146	115	325	238
2016-01-21	$33.77	$34.00	45.5%	13.0%	34.1%	63.4%	44.8%	12.3%	-2.2%	437	-39.4K	-2.1K	0.80	51.75	146	117	325	255
2016-01-22	$33.97	$34.00	40.9%	11.7%	34.1%	53.9%	43.0%	11.2%	-0.8%	-482	-56.8K	-2.1K	0.86	51.62	146	126	329	261
2016-01-25	$33.91	$34.00	41.9%	12.0%	33.9%	55.8%	44.1%	9.8%	-0.8%	-678	-46.0K	-2.0K	0.86	52.86	146	126	327	256
2016-01-26	$33.62	$34.00	42.4%	12.2%	33.8%	57.0%	45.1%	10.8%	-0.7%	-1.2K	-14.1K	-2.0K	0.88	52.84	144	126	327	258
2016-01-27	$32.94	$34.00	42.4%	12.2%	34.0%	56.9%	45.8%	11.4%	-1.0%	-1.8K	65.1K	-1.8K	0.84	61.39	160	135	327	258
2016-01-28	$32.72	$34.00	40.6%	11.6%	33.7%	53.1%	42.1%	7.7%	-0.3%	-593	75.3K	-1.8K	0.87	60.70	147	128	347	268
2016-01-29	$33.46	$34.00	37.4%	10.7%	35.3%	46.4%	39.8%	8.4%	1.0%	-462	-12.1K	-1.9K	0.86	58.89	147	127	354	268