KWEB Options History — April 2016

In April 2016, KWEB traded between $35.44 and $38.01. ATM implied volatility averaged 28.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.3% (HV 20d: 19.2%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.08.

Notable Days

2016-04-14: Highest Volume — 522 contracts
2016-04-13: Largest IV drop — 12.6% change
2016-04-05: Highest IV Rank — 30.7%
2016-04-05: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.81	$35.44	$38.01	$35.82	$36.33
Max Pain	$34.10	$34.00	$36.00	$36.00	$34.00
ATM IV	28.5%	25.9%	32.4%	28.8%	27.6%
Expected Move	7.9%	7.4%	8.6%	8.3%	7.9%
HV 20d	19.2%	16.3%	23.1%	23.0%	16.5%
HV 60d	27.9%	25.8%	31.4%	31.4%	25.8%
IV Rank	14.8%	6.7%	30.7%	22.6%	10.8%
IV Percentile	20.1%	3.6%	47.6%	22.2%	15.5%
Term Structure	-0.2%	-1.3%	1.6%	-0.7%	1.6%
VWIV	29.6%	28.7%	31.5%	30.0%	30.5%
Skew 25d	4.1%	1.9%	5.4%	5.3%	4.3%
Skew 10d	9.5%	5.5%	18.4%	18.4%	12.8%
Call IV 25d	26.9%	24.3%	28.4%	28.4%	28.0%
Put IV 25d	31.0%	29.3%	33.6%	33.6%	32.3%
Bid-Ask Spread %	45.00	28.03	62.37	50.68	52.34
Gamma HHI	0.36	0.28	0.49	0.30	0.49
Net GEX	-11.3K	-26.1K	-1.8K	-7.8K	-26.1K
Net DEX	-546.8K	-938.1K	-43.8K	-159.4K	-446.0K
Net VEX	-3.5K	-4.6K	-2.8K	-4.6K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.08	1.59	4.02	3.50	2.08
Total Volume	442.857	259	522	518	293
Total OI	1,061.429	988	1,106	1,079	1,077

Daily Data (21 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
2016-04-01	$35.82	$36.00	28.8%	8.3%	23.0%	22.6%	30.0%	5.3%	-0.7%	-7.8K	-159.4K	-4.6K	3.50	50.68	115	403	455	624
2016-04-04	$35.85	$34.00	30.0%	8.0%	22.0%	25.2%	29.0%	5.3%	-0.5%	-6.9K	-175.4K	-4.4K	3.50	29.06	115	403	456	624
2016-04-05	$35.44	$34.00	32.4%	8.6%	22.0%	30.7%	29.8%	5.1%	-1.3%	-7.7K	-43.8K	-4.4K	3.47	33.17	116	403	456	624
2016-04-06	$36.27	$34.00	31.7%	8.1%	22.8%	29.0%	29.1%	5.4%	-0.2%	-6.0K	-314.1K	-4.2K	3.44	38.13	117	403	457	624
2016-04-07	$36.04	$34.00	31.1%	8.6%	23.1%	19.7%	30.7%	5.4%	-1.3%	-5.0K	-235.5K	-4.2K	3.41	28.03	117	399	460	624
2016-04-08	$36.26	$34.00	28.9%	8.1%	22.8%	14.2%	29.3%	5.0%	0.0%	-4.8K	-327.6K	-4.1K	3.38	33.36	117	396	460	624
2016-04-11	$36.63	$34.00	31.5%	7.9%	20.2%	20.8%	29.2%	4.8%	0.0%	-3.6K	-457.7K	-3.7K	3.38	36.81	117	396	460	626
2016-04-12	$36.98	$34.00	31.7%	7.8%	20.3%	21.4%	28.7%	4.5%	-0.3%	-3.0K	-598.4K	-3.5K	3.88	40.46	102	396	461	626
2016-04-13	$38.01	$34.00	27.7%	7.9%	19.8%	11.2%	30.5%	3.3%	-0.7%	-4.0K	-906.6K	-3.1K	3.44	40.99	115	396	467	626
2016-04-14	$38.00	$34.00	27.8%	8.0%	18.9%	11.6%	30.5%	3.2%	-0.9%	-1.8K	-938.1K	-3.2K	3.14	40.06	126	396	480	626
2016-04-15	$37.77	$34.00	26.6%	7.6%	19.2%	8.4%	29.3%	3.0%	0.4%	-12.5K	-837.1K	-3.1K	3.27	46.74	121	396	458	626
2016-04-18	$37.87	$34.00	26.7%	7.7%	17.7%	8.7%	29.2%	5.1%	0.0%	-11.1K	-838.8K	-2.8K	3.22	46.23	105	338	422	566
2016-04-19	$37.67	$34.00	25.9%	7.4%	17.8%	6.7%	29.2%	3.5%	0.3%	-12.8K	-809.3K	-3.0K	4.02	47.80	84	338	439	569
2016-04-20	$37.65	$34.00	27.3%	7.8%	17.8%	10.1%	29.6%	3.3%	-0.1%	-11.5K	-840.0K	-2.9K	3.38	62.37	100	338	444	571
2016-04-21	$37.36	$34.00	28.2%	8.1%	16.3%	12.5%	29.5%	3.7%	-0.0%	-12.0K	-769.9K	-3.0K	3.38	46.89	100	338	455	571
2016-04-22	$37.22	$34.00	27.0%	7.8%	16.5%	9.5%	29.0%	3.3%	-0.1%	-12.8K	-709.9K	-3.1K	3.38	51.01	100	338	455	571
2016-04-25	$36.75	$34.00	27.1%	7.8%	17.0%	9.8%	31.5%	4.6%	0.1%	-18.5K	-599.5K	-3.1K	1.59	47.16	100	159	455	571
2016-04-26	$36.52	$34.00	26.7%	7.7%	16.8%	8.8%	29.4%	1.9%	0.3%	-19.2K	-576.3K	-2.9K	1.81	58.36	110	199	455	571
2016-04-27	$36.31	$34.00	27.0%	7.7%	16.6%	9.4%	28.8%	2.4%	-0.1%	-24.8K	-453.3K	-3.2K	1.95	58.75	102	199	465	611
2016-04-28	$36.32	$34.00	27.3%	7.8%	16.6%	10.1%	29.6%	4.6%	0.3%	-25.4K	-446.3K	-3.2K	2.09	56.59	95	199	467	611
2016-04-29	$36.33	$34.00	27.6%	7.9%	16.5%	10.8%	30.5%	4.3%	1.6%	-26.1K	-446.0K	-3.2K	2.08	52.34	95	198	466	611