KWEB Options History — November 2016

In November 2016, KWEB traded between $36.14 and $39.38. ATM implied volatility averaged 25.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.8% (HV 20d: 23.0%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2016-11-30: Highest Volume — 1,291 contracts
  • 2016-11-09: Largest IV drop — 17.9% change
  • 2016-11-04: Highest IV Rank — 37.7%
  • 2016-11-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$36.14$39.38$39.38$38.11
Max Pain$39.05$37.00$42.00$40.00$37.00
ATM IV25.7%21.6%31.3%28.2%25.5%
Expected Move7.2%6.2%8.1%8.1%7.3%
HV 20d23.0%17.3%26.4%19.0%25.8%
HV 60d22.4%20.5%23.9%20.5%22.7%
IV Rank25.6%16.6%37.7%31.0%25.1%
IV Percentile37.2%15.1%71.0%51.2%35.3%
Term Structure-0.4%-2.9%1.7%-2.9%-1.3%
VWIV25.7%17.9%29.4%27.4%19.9%
Skew 25d4.4%2.5%6.2%3.7%3.3%
Skew 10d8.7%1.2%17.5%6.8%1.2%
Call IV 25d23.7%20.9%26.8%26.7%24.0%
Put IV 25d28.2%24.2%31.8%30.4%27.3%
Bid-Ask Spread %60.9242.2578.7570.2572.21
Gamma HHI0.170.130.230.150.16
Net GEX36.8K-3.5K84.1K14.5K52.3K
Net DEX-636.6K-2.1M1.9M-894.9K-1.6M
Net VEX-21.7K-24.4K-18.9K-21.3K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.105.291.531.45
Total Volume1,060.6674851,2914851,291
Total OI3,939.2863,3804,4763,3803,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$39.38$40.0028.2%8.1%19.0%31.0%27.4%3.7%-2.9%14.5K-894.9K-21.3K1.5370.251922931,8821,498
2016-11-02$38.55$40.0028.1%8.1%19.6%30.8%26.7%4.7%-2.3%11.0K-102.8K-20.6K1.6778.752073451,8951,512
2016-11-03$38.32$42.0030.6%7.8%19.5%36.3%28.0%4.8%-0.8%15.8K-100.6K-20.5K1.2748.635376811,9091,491
2016-11-04$38.13$42.0031.3%7.8%19.2%37.7%29.1%6.1%-0.3%6.0K-46.9K-24.3K3.4242.252287802,2471,834
2016-11-07$39.31$42.0029.5%7.3%20.5%33.8%29.4%5.5%-0.6%-1.3K-1.3M-24.4K4.3847.441787792,2461,937
2016-11-08$39.30$41.0030.1%7.2%17.3%35.1%28.0%4.9%-0.1%9.4K-1.2M-24.3K4.0442.631907682,2461,937
2016-11-09$38.76$41.0024.7%7.1%17.7%23.5%27.5%4.9%0.1%-3.5K-632.7K-23.7K4.4053.912139382,2481,940
2016-11-10$37.54$41.0025.9%7.4%20.2%26.0%27.3%4.6%-0.1%26.9K523.8K-21.3K5.2955.551799472,2371,848
2016-11-11$37.36$41.0027.3%7.8%20.0%29.1%26.9%6.2%-1.5%21.6K889.2K-21.2K5.0360.511989962,2511,871
2016-11-14$36.14$40.0026.0%7.5%22.4%26.3%24.6%5.0%0.1%13.9K1.9M-18.9K4.4766.221597102,2591,910
2016-11-15$37.34$40.0024.6%7.1%25.6%23.3%25.9%4.7%-0.2%4.6K981.5K-20.6K1.5966.574497152,2601,926
2016-11-16$37.50$37.0024.1%6.9%25.7%22.1%25.5%5.4%0.6%49.3K-95.3K-21.7K1.5261.574546912,5611,915
2016-11-17$37.84$37.0021.6%6.2%26.2%16.6%25.0%3.2%1.7%56.8K-433.3K-21.7K1.4959.074606852,5611,905
2016-11-18$37.66$37.0021.9%6.3%26.1%17.3%23.5%3.3%0.4%66.3K-314.4K-21.2K1.5263.074617002,5581,892
2016-11-21$37.81$37.0022.3%6.4%26.1%18.3%25.6%3.7%0.2%64.9K-1.6M-21.0K1.2965.114676042,1451,350
2016-11-22$37.88$37.0022.8%6.5%26.2%19.3%25.2%4.5%-0.4%68.9K-1.7M-21.5K1.1465.484945652,2051,395
2016-11-23$37.99$37.0022.9%6.6%26.3%19.6%17.9%2.5%-0.2%77.1K-1.7M-21.3K1.1070.795165672,2471,396
2016-11-25$38.09$37.0023.3%6.7%26.3%20.3%25.4%2.7%-0.5%84.1K-2.0M-21.2K1.1058.935165692,2741,394
2016-11-28$38.19$37.0024.0%6.9%26.4%21.8%28.7%4.1%-0.4%81.5K-2.1M-21.1K1.5756.404947772,2741,396
2016-11-29$38.35$37.0025.7%7.4%26.1%25.5%20.9%5.3%-0.9%53.6K-2.0M-22.4K1.5774.074987832,2941,606
2016-11-30$38.11$37.0025.5%7.3%25.8%25.1%19.9%3.3%-1.3%52.3K-1.6M-22.4K1.4572.215277642,3591,614