KWEB Options History — March 2016

In March 2016, KWEB traded between $33.43 and $36.08. ATM implied volatility averaged 30.0%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.3% (HV 20d: 28.7%). Max pain ranged from $31.00 to $41.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.48.

Notable Days

  • 2016-03-15: Highest Volume — 812 contracts
  • 2016-03-09: Largest IV drop — 17.7% change
  • 2016-03-08: Highest IV Rank — 46.8%
  • 2016-03-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.71$33.43$36.08$33.43$35.89
Max Pain$38.36$31.00$41.00$31.00$36.00
ATM IV30.0%26.6%37.6%33.6%27.4%
Expected Move8.4%7.6%9.6%9.6%7.9%
HV 20d28.7%23.0%36.7%36.7%23.0%
HV 60d31.8%31.0%32.5%31.3%31.4%
IV Rank29.9%17.5%46.8%38.3%19.3%
IV Percentile30.0%7.5%67.1%52.8%11.5%
Term Structure-0.1%-1.7%0.6%-1.7%-0.5%
VWIV32.5%26.5%37.7%36.8%28.2%
Skew 25d5.2%3.4%7.1%7.1%4.4%
Skew 10d11.2%4.9%17.8%16.8%15.2%
Call IV 25d27.7%25.4%29.8%29.8%27.2%
Put IV 25d32.9%30.0%36.8%36.8%31.6%
Bid-Ask Spread %47.2730.9276.4451.2553.63
Gamma HHI0.240.150.350.240.31
Net GEX8.5K-12.5K20.4K17.7K-7.9K
Net DEX-317.5K-714.0K78.0K-262.3K-185.0K
Net VEX-4.3K-5.0K-1.7K-1.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.481.186.461.993.50
Total Volume655.591260812260518
Total OI9474441,0794441,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$33.43$31.0033.6%9.6%36.7%38.3%36.8%7.1%-1.7%17.7K-262.3K-1.7K1.9951.2587173271173
2016-03-02$33.50$31.0032.4%9.3%35.8%35.9%31.1%5.9%-0.8%18.0K-236.6K-1.7K1.2567.42336421276188
2016-03-03$33.44$40.0034.3%9.2%35.5%39.8%36.3%6.4%0.5%17.9K-182.2K-4.7K1.2530.92336421527437
2016-03-04$34.16$40.0031.8%8.8%36.1%34.6%36.6%5.5%0.3%17.3K-369.1K-4.8K1.2334.92341419527437
2016-03-07$33.75$40.0033.8%8.8%34.0%38.9%36.2%6.1%-0.3%18.1K-293.1K-4.7K1.2332.92341419532439
2016-03-08$33.47$40.0037.6%9.3%31.9%46.8%37.4%6.8%-0.1%18.7K-206.2K-4.6K1.2333.03341419532439
2016-03-09$33.66$40.0031.0%8.9%31.4%32.8%37.7%7.1%-0.4%18.2K-263.8K-4.6K1.2333.63341419532439
2016-03-10$33.46$40.0031.5%9.0%31.6%34.0%36.3%6.9%0.1%20.4K-218.7K-4.4K1.2436.92341422533439
2016-03-11$34.59$41.0029.4%8.4%31.8%29.5%34.7%4.7%-0.0%16.2K-529.9K-4.5K1.1832.62358423533443
2016-03-14$34.87$41.0029.0%8.3%31.5%28.6%34.9%4.2%0.1%13.0K-634.4K-4.4K1.2437.33358444551443
2016-03-15$34.12$40.0029.6%8.5%26.1%30.0%33.4%5.9%0.2%13.6K-453.5K-4.3K1.1950.81371441566464
2016-03-16$34.90$40.0028.1%8.1%26.1%26.8%32.5%4.0%0.2%14.6K-665.9K-4.3K1.1939.27371441566466
2016-03-17$35.03$40.0028.2%8.1%25.6%26.9%30.9%3.4%-0.6%11.3K-714.0K-4.2K1.1842.24371438566466
2016-03-18$35.88$40.0027.0%7.7%26.6%24.5%29.9%4.0%0.3%12.0K-582.2K-4.1K3.4561.63127438465468
2016-03-21$36.08$38.0027.5%7.9%25.3%25.5%27.4%3.8%0.6%13.6K-527.4K-3.9K4.4556.4895423435429
2016-03-22$36.05$38.0027.8%8.0%24.0%26.1%26.5%5.1%-0.8%12.8K-520.8K-3.9K6.4660.6495614435433
2016-03-23$35.34$38.0028.1%8.1%25.4%26.7%27.0%3.6%0.1%-12.1K23.4K-5.0K4.2448.3195403435624
2016-03-24$35.41$38.0029.0%8.3%23.3%28.7%31.4%5.0%-0.7%-12.5K4.3K-5.0K4.2442.9595403435624
2016-03-28$35.14$38.0028.5%8.2%23.2%27.6%33.4%4.7%-0.1%-12.2K78.0K-4.8K4.2476.4495403435624
2016-03-29$35.58$38.0027.4%7.9%23.4%20.3%28.2%5.9%0.2%-12.4K-62.0K-4.6K3.8449.25105403435624
2016-03-30$35.95$36.0026.6%7.6%23.0%17.5%27.6%3.8%0.6%-10.2K-184.2K-4.7K3.5067.28115403445624
2016-03-31$35.89$36.0027.4%7.9%23.0%19.3%28.2%4.4%-0.5%-7.9K-185.0K-4.6K3.5053.63115403455624