KWEB Options History — August 2016

In August 2016, KWEB traded between $35.04 and $39.25. ATM implied volatility averaged 19.5%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.6% (HV 20d: 14.9%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2016-08-12: Highest Volume — 3,997 contracts
  • 2016-08-10: Largest IV spike — 43.5% change
  • 2016-08-16: Highest IV Rank — 16.8%
  • 2016-08-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.68$35.04$39.25$35.21$39.17
Max Pain$35.13$33.00$36.00$34.00$36.00
ATM IV19.5%13.9%21.8%17.4%20.6%
Expected Move5.7%4.9%6.2%5.0%5.9%
HV 20d14.9%13.2%17.3%17.3%14.8%
HV 60d21.1%19.4%24.2%24.2%19.4%
IV Rank10.2%0.0%16.8%0.0%14.3%
IV Percentile4.7%0.0%9.5%0.0%8.3%
Term Structure1.4%-0.0%3.1%1.8%-0.0%
VWIV23.5%18.1%33.0%22.3%22.5%
Skew 25d2.3%0.4%4.0%2.3%3.9%
Skew 10d6.5%1.5%12.2%11.3%7.6%
Call IV 25d19.6%17.3%21.9%18.7%20.0%
Put IV 25d21.9%18.6%23.8%21.0%23.8%
Bid-Ask Spread %66.7444.1087.5974.0781.29
Gamma HHI0.440.160.730.170.53
Net GEX-81.0K-393.3K71.9K15.7K-84.3K
Net DEX-1.0M-1.5M149.8K-917.7K-1.3M
Net VEX-8.3K-15.6K-3.6K-4.1K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.035.800.801.31
Total Volume1,237.47893,9976461,304
Total OI2,369.6091,2064,3221,2063,168

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$35.21$34.0017.4%5.0%17.3%0.0%22.3%2.3%1.8%15.7K-917.7K-4.1K0.8074.07359287614592
2016-08-02$35.04$34.0018.6%5.3%16.3%2.8%21.5%4.0%0.8%12.0K-841.5K-4.0K0.9476.56349327616599
2016-08-03$35.06$35.0018.8%5.4%15.7%3.1%20.3%2.2%0.4%-1.4K-718.6K-4.0K0.9287.59354326583638
2016-08-04$35.21$33.0018.3%5.6%15.2%2.0%20.5%3.5%1.9%-2.7K-784.8K-3.9K1.0050.21326326589639
2016-08-05$35.84$33.0016.2%5.2%16.0%0.0%19.1%2.8%2.7%16.9K-1.0M-3.9K0.9451.99339320609639
2016-08-08$36.07$33.0017.4%5.1%13.2%2.8%18.3%2.5%3.1%24.3K-1.2M-3.6K0.8544.10372315621635
2016-08-09$36.65$33.0013.9%4.9%14.0%0.0%18.1%1.3%2.8%55.1K-1.5M-3.7K0.6161.39549336671628
2016-08-10$36.95$33.0019.9%5.7%13.3%12.9%20.1%2.7%2.0%71.9K-1.5M-4.1K5.8068.975233,036694640
2016-08-11$37.56$36.0019.7%5.6%13.7%12.4%20.0%0.4%1.8%-393.3K149.8K-14.2K5.5973.005523,0868703,337
2016-08-12$38.27$36.0020.0%5.7%13.8%13.2%22.0%2.0%1.8%-315.4K-458.6K-13.9K3.4577.118993,0989333,389
2016-08-15$39.01$36.0020.9%6.0%14.7%15.0%26.1%1.6%0.4%-230.2K-850.7K-12.6K2.0368.308641,7528733,400
2016-08-16$38.85$36.0021.8%6.2%14.7%16.8%25.8%1.8%0.3%-88.5K-1.4M-9.5K3.2056.255531,7698702,064
2016-08-17$38.72$36.0021.3%6.1%14.8%16.0%21.6%1.8%0.8%-75.2K-1.3M-8.7K1.4458.079138301,924
2016-08-18$38.68$36.0020.1%5.8%14.4%13.3%22.7%1.6%1.7%-82.6K-1.5M-8.2K0.0361.2511138251,925
2016-08-19$38.85$36.0020.0%5.7%14.4%13.0%32.5%2.6%1.8%-99.2K-1.3M-7.5K0.6560.765403517301,949
2016-08-22$38.72$36.0019.4%5.6%14.6%11.8%23.8%2.5%1.8%-105.9K-813.8K-7.4K0.7468.582191636151,541
2016-08-23$38.97$36.0019.7%5.7%14.2%12.5%31.1%1.9%1.8%-78.8K-1.2M-7.1K0.6465.772471596421,562
2016-08-24$38.34$36.0021.6%6.2%15.9%16.6%21.9%1.8%0.9%-130.0K-846.7K-7.6K0.1360.41816621,559
2016-08-25$38.34$36.0021.0%6.0%15.9%15.3%33.0%1.9%0.5%-116.6K-717.1K-8.2K0.8066.432391906731,566
2016-08-26$38.81$36.0020.3%5.8%15.1%13.7%27.1%2.9%0.9%-90.6K-1.0M-7.7K1.2972.905667326811,595
2016-08-29$38.99$36.0020.2%5.8%15.1%13.5%22.2%2.8%0.9%-91.9K-1.2M-15.6K1.3072.815617321,0182,132
2016-08-30$39.25$36.0020.5%5.9%14.6%14.2%26.9%3.0%1.1%-72.0K-1.4M-15.3K1.3077.285657321,0292,132
2016-08-31$39.17$36.0020.6%5.9%14.8%14.3%22.5%3.9%-0.0%-84.3K-1.3M-15.2K1.3181.295657391,0362,132