KWEB Options History — June 2016

In June 2016, KWEB traded between $31.88 and $34.96. ATM implied volatility averaged 28.6%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.8% (HV 20d: 24.8%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2016-06-16: Highest Volume — 642 contracts
  • 2016-06-28: Largest IV drop — 20.6% change
  • 2016-06-14: Highest IV Rank — 27.7%
  • 2016-06-14: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.52$31.88$34.96$34.59$33.62
Max Pain$32.68$32.00$36.00$35.00$32.00
ATM IV28.6%24.6%34.8%26.1%24.6%
Expected Move8.2%7.0%10.0%7.5%7.0%
HV 20d24.8%20.1%30.4%29.4%25.2%
HV 60d22.6%21.5%24.0%23.2%23.6%
IV Rank11.8%1.4%27.7%5.3%1.4%
IV Percentile22.7%0.8%59.1%2.8%0.8%
Term Structure-0.3%-3.8%3.2%0.3%2.9%
VWIV29.7%23.8%33.7%26.7%29.5%
Skew 25d5.3%1.7%10.9%3.3%10.9%
Skew 10d9.4%-3.9%23.5%7.6%5.6%
Call IV 25d27.2%21.7%32.4%26.4%21.7%
Put IV 25d32.5%27.6%40.4%29.7%32.6%
Bid-Ask Spread %72.4732.14108.0664.64101.82
Gamma HHI0.240.110.410.130.34
Net GEX16.5K-9.6K45.5K48544.6K
Net DEX-137.7K-595.8K321.2K-8.2K-595.8K
Net VEX-2.4K-3.0K-1.8K-1.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.912.502.192.26
Total Volume456.864361642399408
Total OI689481858481858

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$34.59$35.0026.1%7.5%29.4%5.3%26.7%3.3%0.3%485-8.2K-1.9K2.1964.64125274197284
2016-06-02$34.68$36.0025.6%7.3%29.4%4.1%24.7%3.8%0.4%-13-9.9K-1.9K1.8932.48125236197287
2016-06-03$34.32$36.0025.7%7.3%29.6%4.3%23.8%4.8%0.4%-1.2K34.5K-1.8K1.8932.68125236197289
2016-06-06$34.96$36.0025.8%7.3%30.4%4.5%27.7%3.4%-0.2%-583-38.8K-1.8K2.0832.14125260197289
2016-06-07$34.78$32.0025.6%7.2%26.3%4.2%28.0%3.1%-0.5%-1.5K-11.5K-1.8K2.0833.26125260197313
2016-06-08$34.34$32.0025.4%7.3%25.5%3.7%27.0%2.6%-0.4%-2.8K44.4K-1.8K2.0834.36125260197315
2016-06-09$34.05$32.0025.2%7.2%24.6%3.1%26.8%2.9%-0.4%-3.4K102.9K-1.8K2.3835.70125298197315
2016-06-10$33.26$32.0027.7%7.9%25.3%9.6%28.6%3.8%-0.7%-6.2K222.8K-2.0K2.5034.45122305197375
2016-06-13$32.93$32.0030.8%8.8%25.4%17.4%31.4%6.7%-1.9%-9.6K321.2K-2.4K2.4637.05124305197416
2016-06-14$33.14$32.0034.8%10.0%23.5%27.7%33.2%9.0%-0.4%-8.9K276.6K-2.4K0.94108.06324305200416
2016-06-15$33.12$32.0031.7%9.1%23.4%19.8%33.7%7.0%-0.6%20.8K-147.5K-3.0K0.9289.68332305400416
2016-06-16$33.03$32.0030.9%8.9%22.8%17.7%33.1%6.5%1.4%21.1K-81.3K-3.0K0.9190.96337305400416
2016-06-17$32.59$32.0031.4%9.0%22.3%18.9%31.1%2.1%-1.7%19.6K-41.7K-2.9K0.9191.43335305402416
2016-06-20$33.24$32.0028.8%8.3%23.3%12.4%30.3%1.7%-0.7%23.5K-303.2K-2.7K1.5195.37197297372365
2016-06-21$33.21$32.0029.5%8.4%23.3%14.1%30.6%4.6%-0.8%36.7K-464.7K-3.0K1.3198.44197259452365
2016-06-22$33.17$32.0031.3%9.0%20.1%18.7%31.6%5.2%-3.8%36.0K-448.8K-2.9K1.3196.19197259452369
2016-06-23$33.70$32.0027.2%7.8%20.9%8.2%31.4%9.5%-0.2%36.4K-555.5K-2.8K1.4298.74197279452369
2016-06-24$32.96$32.0032.3%9.3%22.0%21.3%33.5%6.5%-0.4%35.7K-377.4K-3.0K1.5794.23179281455389
2016-06-27$31.88$32.0034.4%9.9%22.8%26.7%33.2%6.9%-3.1%35.1K-151.4K-3.0K2.4693.19114281455391
2016-06-28$32.64$32.0027.3%7.8%24.5%8.5%29.3%4.7%3.2%45.5K-324.9K-2.8K2.4298.20116281454391
2016-06-29$33.14$32.0027.5%7.9%24.5%9.0%27.9%8.7%0.9%41.4K-471.0K-2.7K2.25101.16125281456391
2016-06-30$33.62$32.0024.6%7.0%25.2%1.4%29.5%10.9%2.9%44.6K-595.8K-2.5K2.26101.82125283467391