KWEB Options History — September 2016

In September 2016, KWEB traded between $39.64 and $42.60. ATM implied volatility averaged 22.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.1% (HV 20d: 20.4%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-09-06: Highest Volume — 1,448 contracts
  • 2016-09-09: Largest IV spike — 29.8% change
  • 2016-09-13: Highest IV Rank — 40.1%
  • 2016-09-13: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.97$39.64$42.60$39.68$41.40
Max Pain$40.33$36.00$41.00$36.00$41.00
ATM IV22.5%17.9%32.4%20.0%21.7%
Expected Move6.4%5.1%7.4%5.7%6.2%
HV 20d20.4%14.4%24.8%15.0%24.6%
HV 60d19.3%18.2%20.3%19.2%18.7%
IV Rank18.8%8.8%40.1%13.2%16.9%
IV Percentile15.1%2.0%61.1%6.0%15.1%
Term Structure1.2%-0.4%4.0%1.6%3.5%
VWIV24.2%21.3%29.5%28.2%22.3%
Skew 25d3.2%1.2%4.9%1.4%4.2%
Skew 10d6.3%3.6%10.1%3.6%4.7%
Call IV 25d21.8%18.6%25.0%20.2%20.3%
Put IV 25d25.0%21.4%29.5%21.7%24.6%
Bid-Ask Spread %52.2535.1886.4379.0950.05
Gamma HHI0.180.110.280.130.17
Net GEX39.9K-2.8K89.0K18.3K34.0K
Net DEX-2.5M-3.8M-1.4M-1.9M-2.9M
Net VEX-18.3K-25.8K-12.5K-13.6K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.452.381.300.92
Total Volume881.7146291,4481,300811
Total OI3,284.2382,5673,8843,1873,698

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$39.68$36.0020.0%5.7%15.0%13.2%28.2%1.4%1.6%18.3K-1.9M-13.6K1.3079.095647361,0362,151
2016-09-02$39.96$36.0017.9%5.1%14.4%8.8%29.5%2.8%2.2%-2.8K-2.1M-13.9K1.2786.435767311,0512,152
2016-09-06$41.03$40.0019.8%6.0%16.2%12.8%21.3%2.5%0.7%18.2K-2.4M-12.5K1.3135.186268221,0052,144
2016-09-07$40.55$41.0019.2%6.0%17.0%11.4%22.5%2.0%0.8%15.7K-2.0M-13.2K2.3843.983458201,0062,212
2016-09-08$40.75$41.0018.1%6.1%17.0%9.1%22.0%2.3%0.5%17.1K-2.2M-13.5K1.0155.863163201,0542,209
2016-09-09$39.64$41.0023.5%6.6%19.9%20.8%23.9%2.8%0.7%28.5K-1.6M-14.6K0.8543.443773221,0862,210
2016-09-12$40.24$41.0025.4%6.9%19.6%25.0%24.7%2.8%0.5%24.3K-1.8M-14.5K1.1460.273814341,1162,252
2016-09-13$39.72$41.0032.4%7.4%19.3%40.1%27.0%4.5%-0.4%20.1K-1.4M-15.8K1.0440.773613741,1342,321
2016-09-14$39.98$41.0025.1%7.2%19.3%24.3%25.5%4.3%-0.1%13.5K-1.6M-15.9K0.8046.584693771,1362,342
2016-09-15$40.95$40.0024.3%7.0%20.8%22.6%24.7%3.4%0.6%46.8K-2.6M-15.9K0.4944.596813331,2942,361
2016-09-16$41.02$40.0024.4%7.0%20.7%22.8%24.3%2.7%0.7%63.2K-2.6M-17.8K0.5849.925413141,4632,421
2016-09-19$40.92$40.0024.0%6.9%20.8%21.9%24.4%3.3%0.7%59.4K-2.2M-18.4K0.8243.413452841,4201,147
2016-09-20$40.78$41.0023.8%6.8%20.8%21.6%23.3%1.2%0.9%51.9K-2.2M-19.1K0.6740.253802561,4831,200
2016-09-21$41.89$41.0021.5%6.2%22.5%16.5%22.1%2.9%1.5%71.7K-3.0M-19.3K0.4959.914902381,5541,217
2016-09-22$42.60$41.0021.7%6.2%21.7%17.0%23.2%2.7%0.7%81.8K-3.7M-20.0K0.4555.385822611,6691,245
2016-09-23$42.25$41.0021.1%6.1%22.1%15.6%21.9%4.5%1.7%89.0K-3.8M-22.4K1.1355.663994511,8511,290
2016-09-26$41.41$41.0023.2%6.6%23.6%20.1%24.5%4.2%1.3%54.8K-3.0M-24.3K1.3351.893254331,9101,491
2016-09-27$42.15$41.0022.0%6.3%24.2%17.6%24.7%4.9%4.0%49.1K-3.5M-24.6K1.4453.843264681,9361,564
2016-09-28$42.00$41.0021.1%6.0%24.3%15.6%23.6%4.1%1.7%45.7K-3.4M-24.7K1.2744.963754761,9381,595
2016-09-29$41.50$41.0023.2%6.7%24.8%20.2%23.7%3.5%2.1%36.9K-2.9M-25.4K0.9555.804083881,9831,622
2016-09-30$41.40$41.0021.7%6.2%24.6%16.9%22.3%4.2%3.5%34.0K-2.9M-25.8K0.9250.054233882,0421,656