KWEB Options History — October 2016

In October 2016, KWEB traded between $39.91 and $42.83. ATM implied volatility averaged 24.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.8% (HV 20d: 22.3%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-10-13: Highest Volume — 780 contracts
  • 2016-10-11: Largest IV spike — 23.6% change
  • 2016-10-11: Highest IV Rank — 28.9%
  • 2016-10-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.33$39.91$42.83$41.58$39.91
Max Pain$40.14$40.00$41.00$41.00$40.00
ATM IV24.0%21.2%27.2%21.2%26.4%
Expected Move7.0%6.1%7.9%6.1%7.6%
HV 20d22.3%19.2%25.1%24.6%19.7%
HV 60d19.6%18.0%20.3%18.7%20.2%
IV Rank22.0%15.9%28.9%15.9%27.1%
IV Percentile23.5%13.5%37.3%13.5%36.1%
Term Structure0.0%-1.7%3.5%2.4%-1.3%
VWIV25.0%19.7%28.0%23.3%27.5%
Skew 25d3.6%2.0%5.9%3.8%5.9%
Skew 10d8.1%4.1%12.4%6.4%8.1%
Call IV 25d23.5%20.6%26.3%20.6%24.1%
Put IV 25d27.1%23.9%30.0%24.4%30.0%
Bid-Ask Spread %53.9934.1265.2959.0660.31
Gamma HHI0.180.140.400.180.16
Net GEX6.5K-227.0K74.5K36.9K17.0K
Net DEX-2.9M-4.5M-1.5M-3.0M-1.5M
Net VEX-23.7K-25.6K-21.6K-25.6K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.761.930.791.48
Total Volume633.048454780771495
Total OI3,713.9523,3173,9393,7513,374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$41.58$41.0021.2%6.1%24.6%15.9%23.3%3.8%2.4%36.9K-3.0M-25.6K0.7959.064303412,0641,687
2016-10-04$42.23$41.0022.3%6.4%23.4%18.1%19.7%2.4%3.5%52.1K-3.7M-25.1K0.7665.294373322,0881,706
2016-10-05$42.51$41.0022.8%6.5%22.9%19.3%25.7%2.0%3.0%57.6K-4.1M-24.9K0.8155.014163372,0961,708
2016-10-06$42.41$40.0023.0%7.3%23.0%19.7%25.5%3.6%-1.1%59.8K-3.9M-24.9K0.7949.504243342,1081,731
2016-10-07$41.79$40.0023.1%7.3%21.1%20.0%28.0%3.0%-1.2%42.3K-3.3M-25.2K0.8434.123763142,1021,733
2016-10-10$42.83$40.0022.0%7.3%22.1%17.6%26.1%2.9%-0.2%74.5K-4.5M-23.7K0.9349.043373152,1071,722
2016-10-11$41.42$40.0027.2%7.9%25.1%28.9%26.3%3.1%-1.7%29.1K-2.9M-24.6K0.8547.334143502,1071,722
2016-10-12$41.44$40.0026.0%7.5%25.1%26.2%25.0%4.0%-0.6%24.0K-3.1M-24.4K0.8154.254223412,1211,747
2016-10-13$40.87$40.0026.8%7.7%24.2%27.9%26.3%4.7%-1.1%-23.2K-2.0M-24.4K0.7960.144353452,0291,769
2016-10-14$40.97$40.0025.4%7.3%24.2%25.0%26.4%4.2%-0.3%-32.0K-2.3M-24.8K1.0545.213153302,0771,804
2016-10-17$40.71$40.0025.3%7.2%24.3%24.6%26.5%4.5%-0.2%-53.3K-2.0M-24.2K1.0047.353193202,0981,814
2016-10-18$41.23$40.0025.5%7.3%24.7%25.2%26.8%3.6%-0.8%-22.4K-2.9M-23.8K1.0548.293073212,1081,814
2016-10-19$41.16$40.0024.4%7.0%22.6%22.8%25.5%3.5%-0.7%-42.0K-2.8M-23.4K1.1152.982903222,1101,829
2016-10-20$41.16$40.0024.0%6.9%21.7%22.0%25.2%3.2%-0.3%-83.6K-2.7M-23.1K1.2149.382823402,1001,827
2016-10-21$41.08$40.0022.6%6.5%21.5%18.8%23.1%3.7%0.6%-227.0K-2.8M-22.6K1.6252.662163492,0891,827
2016-10-24$41.27$40.0022.7%6.5%20.4%19.1%22.4%3.4%0.1%53.9K-2.8M-22.1K1.9365.011552991,8591,458
2016-10-25$41.27$40.0022.7%6.5%19.3%19.1%23.0%2.8%0.3%54.7K-2.7M-22.3K1.6856.151752941,8891,476
2016-10-26$40.96$40.0023.1%6.6%19.5%20.0%23.7%4.0%1.1%46.9K-2.4M-22.0K1.7458.601743021,8871,480
2016-10-27$40.64$40.0023.8%6.8%19.2%21.5%23.9%3.9%-0.6%38.7K-2.3M-22.2K1.5360.231882871,8851,480
2016-10-28$40.52$40.0024.6%7.0%19.2%23.1%24.8%4.2%-0.5%33.6K-2.1M-22.0K1.6463.821953191,8771,484
2016-10-31$39.91$40.0026.4%7.6%19.7%27.1%27.5%5.9%-1.3%17.0K-1.5M-21.6K1.4860.312002951,8751,499