KWEB Options History — May 2016

In May 2016, KWEB traded between $32.98 and $35.97. ATM implied volatility averaged 27.4%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.4% (HV 20d: 22.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.15.

Notable Days

2016-05-20: Highest Volume — 535 contracts
2016-05-10: Largest IV drop — 12.3% change
2016-05-04: Highest IV Rank — 20.3%
2016-05-04: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.31	$32.98	$35.97	$35.97	$35.33
Max Pain	$34.86	$34.00	$35.00	$34.00	$35.00
ATM IV	27.4%	24.0%	31.3%	28.6%	26.5%
Expected Move	7.9%	6.9%	9.0%	8.2%	7.6%
HV 20d	22.1%	15.1%	29.1%	17.0%	29.1%
HV 60d	23.5%	22.1%	25.9%	25.9%	23.0%
IV Rank	9.1%	0.0%	20.3%	13.5%	6.4%
IV Percentile	15.0%	0.0%	41.7%	22.6%	4.0%
Term Structure	0.4%	-1.4%	1.3%	-0.4%	-1.4%
VWIV	27.0%	23.5%	33.1%	31.1%	26.5%
Skew 25d	5.2%	3.6%	7.5%	4.3%	4.3%
Skew 10d	10.6%	6.2%	20.2%	7.9%	8.2%
Call IV 25d	25.9%	22.9%	29.8%	27.6%	25.7%
Put IV 25d	31.1%	26.6%	34.5%	31.9%	30.0%
Bid-Ask Spread %	54.88	29.57	69.26	60.82	59.44
Gamma HHI	0.28	0.11	0.52	0.52	0.16
Net GEX	-9.8K	-36.1K	8.9K	-28.9K	2.7K
Net DEX	419.7K	-351.8K	1.6M	-351.8K	-65.5K
Net VEX	-2.2K	-3.1K	-1.3K	-3.0K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	1.66	3.19	2.11	1.73
Total Volume	417.905	294	535	295	377
Total OI	977.667	395	1,274	1,078	434

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
2016-05-02	$35.97	$34.00	28.6%	8.2%	17.0%	13.5%	31.1%	4.3%	-0.4%	-28.9K	-351.8K	-3.0K	2.11	60.82	95	200	466	612
2016-05-03	$35.35	$34.00	30.2%	8.6%	17.6%	17.4%	32.2%	5.2%	-0.7%	-29.2K	-80.6K	-3.1K	2.13	60.97	94	200	466	614
2016-05-04	$35.41	$34.00	31.3%	9.0%	15.4%	20.3%	33.1%	4.7%	-0.9%	-29.3K	-115.6K	-3.0K	3.19	59.58	94	300	466	614
2016-05-05	$35.47	$35.00	30.4%	8.5%	15.3%	18.0%	29.7%	6.4%	-0.3%	-33.4K	-134.5K	-3.1K	3.19	29.57	94	300	466	714
2016-05-06	$35.29	$35.00	28.8%	8.2%	15.1%	13.9%	28.8%	6.4%	0.7%	-36.1K	-52.5K	-3.0K	2.99	37.79	102	305	466	714
2016-05-09	$33.85	$35.00	29.1%	8.4%	20.2%	14.8%	27.8%	6.8%	0.3%	-17.9K	685.5K	-2.7K	2.07	45.67	147	305	469	719
2016-05-10	$34.64	$35.00	25.6%	7.4%	21.9%	5.8%	26.0%	4.8%	1.3%	-21.7K	259.8K	-2.9K	2.07	47.77	147	305	519	719
2016-05-11	$33.95	$35.00	26.6%	7.6%	19.4%	8.5%	25.6%	5.4%	1.1%	-6.4K	666.4K	-2.7K	2.10	50.58	147	308	519	719
2016-05-12	$33.37	$35.00	26.8%	7.7%	19.7%	8.9%	24.5%	5.1%	0.8%	1.5K	1.1M	-2.2K	2.16	55.67	147	318	519	717
2016-05-13	$33.17	$35.00	28.4%	8.1%	19.7%	12.9%	26.3%	5.3%	0.5%	-853	1.2M	-2.1K	2.16	51.31	147	318	519	727
2016-05-16	$34.08	$35.00	27.6%	7.9%	22.9%	9.7%	26.4%	7.5%	0.2%	712	573.9K	-2.1K	2.16	53.33	148	319	519	727
2016-05-17	$34.15	$35.00	27.2%	7.8%	23.0%	8.7%	26.5%	5.4%	0.8%	3.5K	552.8K	-2.0K	2.17	52.29	147	319	520	727
2016-05-18	$33.62	$35.00	27.8%	8.0%	23.3%	8.5%	27.3%	5.9%	0.4%	8.9K	1.0M	-2.0K	1.95	52.90	165	322	540	727
2016-05-19	$32.98	$35.00	28.3%	8.1%	23.8%	9.7%	26.3%	6.1%	0.5%	-2.3K	1.6M	-1.4K	1.95	58.47	165	322	544	730
2016-05-20	$33.19	$35.00	27.2%	7.8%	24.2%	6.9%	25.8%	6.1%	1.1%	-1.3K	1.6M	-1.3K	2.11	58.91	172	363	544	728
2016-05-23	$33.12	$35.00	27.1%	7.8%	24.1%	4.6%	25.5%	3.7%	0.9%	-4.9K	162.7K	-1.6K	1.84	64.64	129	238	147	248
2016-05-24	$34.19	$35.00	25.7%	7.4%	27.4%	0.9%	24.9%	5.0%	0.2%	-4.1K	76.9K	-1.7K	1.82	69.26	133	242	156	248
2016-05-25	$33.99	$35.00	24.6%	7.1%	27.4%	0.0%	23.5%	3.7%	1.1%	-4.3K	93.9K	-1.7K	1.81	60.91	133	241	162	252
2016-05-26	$34.27	$35.00	24.0%	6.9%	27.7%	0.0%	24.4%	3.6%	0.6%	-3.1K	57.4K	-1.6K	1.71	63.74	141	241	162	250
2016-05-27	$35.03	$35.00	24.2%	6.9%	29.0%	0.6%	24.5%	3.7%	0.7%	15	-24.9K	-1.8K	1.66	58.79	145	241	172	250
2016-05-31	$35.33	$35.00	26.5%	7.6%	29.1%	6.4%	26.5%	4.3%	-1.4%	2.7K	-65.5K	-1.7K	1.73	59.44	138	239	184	250