KWEB Options History — July 2016

In July 2016, KWEB traded between $32.88 and $35.50. ATM implied volatility averaged 23.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.1% (HV 20d: 23.4%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.28.

Notable Days

2016-07-28: Highest Volume — 828 contracts
2016-07-12: Largest IV spike — 35.6% change
2016-07-12: Highest IV Rank — 23.4%
2016-07-05: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.56	$32.88	$35.50	$33.69	$35.04
Max Pain	$33.00	$32.00	$34.00	$32.00	$34.00
ATM IV	23.5%	17.8%	30.1%	26.1%	17.8%
Expected Move	6.8%	5.1%	8.1%	7.5%	5.1%
HV 20d	23.4%	17.1%	25.9%	25.0%	17.3%
HV 60d	24.0%	23.1%	24.4%	23.6%	24.2%
IV Rank	9.6%	0.0%	23.4%	5.3%	0.0%
IV Percentile	6.7%	0.0%	33.3%	5.6%	0.0%
Term Structure	1.2%	-1.3%	2.9%	-1.3%	1.0%
VWIV	23.6%	18.8%	45.9%	26.5%	45.9%
Skew 25d	3.7%	-1.8%	11.7%	11.7%	4.0%
Skew 10d	8.1%	-0.6%	21.2%	7.9%	12.7%
Call IV 25d	21.7%	15.9%	25.8%	20.0%	16.6%
Put IV 25d	25.3%	20.6%	31.7%	31.7%	20.6%
Bid-Ask Spread %	98.49	93.20	109.65	101.76	109.65
Gamma HHI	0.22	0.14	0.42	0.30	0.19
Net GEX	28.6K	10.6K	66.2K	40.3K	18.7K
Net DEX	-783.7K	-1.1M	-483.0K	-660.2K	-830.9K
Net VEX	-2.7K	-3.9K	-1.7K	-2.5K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.53	2.18	2.11	0.78
Total Volume	613.15	416	828	417	673
Total OI	953.25	758	1,155	861	1,155

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
2016-07-01	$33.69	$32.00	26.1%	7.5%	25.0%	5.3%	26.5%	11.7%	-1.3%	40.3K	-660.2K	-2.5K	2.11	101.76	134	283	467	394
2016-07-05	$33.18	$33.00	30.1%	8.1%	24.4%	15.7%	28.2%	4.5%	0.4%	58.6K	-563.6K	-2.3K	2.11	93.27	134	283	477	394
2016-07-06	$32.88	$33.00	29.4%	7.8%	24.5%	13.9%	25.7%	5.3%	1.7%	64.3K	-483.0K	-2.3K	2.11	96.21	134	283	477	394
2016-07-07	$33.35	$33.00	28.3%	7.8%	24.9%	11.0%	25.7%	5.2%	2.5%	61.0K	-599.5K	-2.3K	2.11	94.05	134	283	477	394
2016-07-08	$33.62	$33.00	18.4%	7.3%	25.0%	0.0%	22.9%	4.7%	2.0%	66.2K	-747.5K	-2.1K	2.11	96.48	134	283	477	394
2016-07-11	$34.57	$33.00	20.9%	7.1%	25.4%	5.8%	21.2%	10.0%	1.3%	11.7K	-972.2K	-1.7K	2.13	94.91	134	285	477	394
2016-07-12	$34.80	$33.00	28.3%	7.3%	25.0%	23.4%	24.9%	4.0%	1.5%	14.8K	-1.0M	-1.7K	2.18	95.80	131	285	477	396
2016-07-13	$34.46	$33.00	26.1%	7.5%	25.4%	18.0%	25.7%	1.5%	0.9%	33.1K	-910.6K	-1.8K	2.18	96.33	131	285	479	396
2016-07-14	$34.92	$33.00	24.4%	7.0%	25.7%	14.1%	22.0%	-0.1%	2.6%	10.6K	-1.1M	-1.7K	0.54	97.74	529	285	479	396
2016-07-15	$34.60	$32.00	24.8%	7.1%	25.9%	14.9%	20.3%	-1.8%	1.2%	21.3K	-930.3K	-2.2K	0.54	95.10	529	284	479	396
2016-07-18	$34.84	$32.00	23.0%	6.6%	25.3%	10.7%	20.4%	2.2%	1.6%	21.1K	-558.6K	-2.0K	0.97	93.20	369	357	370	388
2016-07-19	$34.70	$32.00	23.3%	6.7%	24.7%	11.4%	19.3%	4.0%	1.7%	15.4K	-646.4K	-2.9K	0.85	99.27	326	277	443	474
2016-07-20	$35.13	$32.00	23.9%	6.9%	24.9%	13.0%	22.3%	0.5%	2.9%	14.4K	-694.4K	-3.0K	1.57	98.70	180	283	451	490
2016-07-21	$34.92	$32.00	23.5%	6.7%	25.0%	11.9%	20.2%	0.1%	0.5%	14.5K	-758.1K	-3.2K	0.57	97.30	516	296	496	505
2016-07-22	$35.04	$34.00	19.0%	5.5%	24.6%	1.4%	18.9%	3.3%	0.3%	20.6K	-756.0K	-3.9K	0.55	102.71	507	279	548	530
2016-07-25	$35.02	$34.00	20.8%	6.0%	22.9%	5.6%	20.2%	2.5%	-0.1%	23.7K	-774.5K	-3.8K	0.56	103.74	506	284	555	546
2016-07-26	$35.50	$34.00	21.2%	6.1%	18.7%	6.6%	21.0%	7.7%	2.2%	20.8K	-862.6K	-3.7K	0.56	100.91	509	284	557	561
2016-07-27	$35.42	$34.00	21.4%	6.1%	17.5%	7.1%	21.4%	-0.3%	1.1%	21.1K	-905.5K	-3.8K	0.53	100.26	539	287	568	561
2016-07-28	$35.44	$34.00	19.7%	5.6%	17.1%	2.9%	18.8%	4.0%	0.4%	20.8K	-948.0K	-3.8K	0.53	102.45	541	287	589	564
2016-07-29	$35.04	$34.00	17.8%	5.1%	17.3%	0.0%	45.9%	4.0%	1.0%	18.7K	-830.9K	-3.9K	0.78	109.65	378	295	591	564