KWEB Options History — February 2016

In February 2016, KWEB traded between $29.73 and $33.75. ATM implied volatility averaged 39.0%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.0% (HV 20d: 33.9%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2016-02-09: Highest Volume — 492 contracts
2016-02-10: Largest IV drop — 24.4% change
2016-02-09: Highest IV Rank — 77.3%
2016-02-08: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.10	$29.73	$33.75	$33.40	$32.84
Max Pain	$31.80	$31.00	$34.00	$34.00	$31.00
ATM IV	39.0%	31.3%	52.1%	38.2%	35.8%
Expected Move	10.9%	9.0%	12.9%	11.0%	10.2%
HV 20d	33.9%	28.9%	37.0%	35.3%	36.1%
HV 60d	29.4%	27.4%	31.2%	27.4%	31.1%
IV Rank	49.7%	33.6%	77.3%	48.1%	42.9%
IV Percentile	69.6%	43.3%	96.0%	71.0%	61.5%
Term Structure	-1.9%	-4.6%	0.3%	-0.2%	-2.1%
VWIV	39.7%	35.1%	45.2%	40.6%	39.1%
Skew 25d	9.7%	7.9%	12.4%	9.4%	8.8%
Skew 10d	18.6%	16.0%	21.9%	18.8%	17.2%
Call IV 25d	34.2%	29.2%	39.7%	33.2%	32.8%
Put IV 25d	43.9%	37.5%	51.3%	42.5%	41.7%
Bid-Ask Spread %	35.08	23.10	62.71	62.71	28.71
Gamma HHI	0.20	0.09	0.30	0.13	0.25
Net GEX	10.4K	-1.7K	19.3K	-1.7K	17.0K
Net DEX	44.6K	-275.8K	360.2K	32.4K	-183.5K
Net VEX	-1.6K	-1.8K	-1.1K	-1.8K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.46	1.19	0.93	1.19
Total Volume	348.55	220	492	280	291
Total OI	645.3	367	862	628	444

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
2016-02-01	$33.40	$34.00	38.2%	11.0%	35.3%	48.1%	40.6%	9.4%	-0.2%	-1.7K	32.4K	-1.8K	0.93	62.71	145	135	353	275
2016-02-02	$32.69	$34.00	39.8%	11.4%	33.5%	51.4%	44.0%	8.7%	-0.9%	-707	127.6K	-1.6K	0.95	61.12	144	137	354	275
2016-02-03	$32.27	$34.00	40.8%	11.7%	33.3%	53.5%	44.1%	9.2%	-0.5%	-757	169.8K	-1.5K	0.95	61.03	145	138	354	278
2016-02-04	$32.50	$32.00	42.5%	11.6%	33.7%	57.2%	42.8%	10.4%	-3.2%	-757	161.3K	-1.6K	0.95	23.22	145	138	354	279
2016-02-05	$31.42	$32.00	44.0%	11.9%	31.2%	60.3%	42.7%	9.7%	-3.9%	-14	270.4K	-1.3K	0.95	23.10	147	139	354	279
2016-02-08	$30.48	$32.00	51.1%	12.9%	32.4%	75.3%	45.2%	11.6%	-4.6%	155	360.2K	-1.1K	0.65	30.58	224	146	351	280
2016-02-09	$30.17	$32.00	52.1%	12.8%	31.8%	77.3%	41.4%	11.7%	-4.0%	4.9K	347.0K	-1.4K	0.52	26.76	324	168	420	292
2016-02-10	$30.31	$32.00	39.4%	11.3%	31.0%	50.6%	36.4%	10.2%	-2.0%	12.5K	273.7K	-1.7K	0.46	42.79	326	149	520	324
2016-02-11	$29.73	$31.00	40.9%	11.7%	30.2%	53.8%	38.3%	12.4%	-2.8%	9.7K	356.4K	-1.6K	0.47	37.50	329	154	522	330
2016-02-12	$30.30	$31.00	41.1%	11.8%	28.9%	54.2%	37.6%	11.2%	-3.4%	13.4K	277.6K	-1.7K	0.46	33.27	327	150	526	335
2016-02-16	$32.18	$31.00	37.8%	10.8%	34.8%	47.2%	38.2%	9.9%	-2.0%	19.3K	3.8K	-1.8K	0.46	26.88	327	151	525	334
2016-02-17	$32.93	$31.00	35.4%	10.2%	35.1%	42.2%	40.0%	9.3%	-1.3%	14.7K	-132.7K	-1.8K	0.79	43.42	229	180	525	337
2016-02-18	$32.59	$31.00	34.6%	9.9%	34.8%	40.4%	39.2%	8.3%	-0.7%	19.3K	-57.0K	-1.7K	0.77	25.80	229	176	527	333
2016-02-19	$32.87	$31.00	32.9%	9.4%	34.5%	36.9%	37.4%	8.0%	0.3%	16.4K	-69.5K	-1.6K	0.77	29.27	228	176	527	333
2016-02-22	$33.75	$31.00	31.3%	9.0%	35.8%	33.6%	35.1%	8.3%	-0.5%	17.2K	-275.8K	-1.6K	0.88	27.86	117	103	248	119
2016-02-23	$33.12	$32.00	34.0%	9.7%	36.4%	39.1%	35.3%	7.9%	-1.0%	17.1K	-209.1K	-1.6K	0.91	27.62	117	106	252	123
2016-02-24	$33.16	$32.00	35.4%	10.1%	36.3%	42.1%	38.7%	9.5%	-1.3%	16.6K	-210.1K	-1.6K	0.84	32.56	135	114	252	125
2016-02-25	$32.36	$31.00	37.8%	10.8%	36.6%	47.3%	39.2%	9.5%	-2.2%	18.1K	-163.4K	-1.7K	1.19	28.98	133	158	270	133
2016-02-26	$32.88	$31.00	34.8%	10.0%	37.0%	40.9%	38.1%	9.4%	-1.0%	16.1K	-186.2K	-1.8K	1.19	28.34	133	158	271	173
2016-02-29	$32.84	$31.00	35.8%	10.2%	36.1%	42.9%	39.1%	8.8%	-2.1%	17.0K	-183.5K	-1.7K	1.19	28.71	133	158	271	173