KWEB Options History — December 2016

In December 2016, KWEB traded between $34.40 and $37.26. ATM implied volatility averaged 24.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.3% (HV 20d: 22.0%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2016-12-16: Highest Volume — 1,530 contracts
  • 2016-12-12: Largest IV spike — 35.9% change
  • 2016-12-12: Highest IV Rank — 34.6%
  • 2016-12-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.82$34.40$37.26$36.84$34.70
Max Pain$38.81$37.00$39.00$37.00$39.00
ATM IV24.4%20.9%29.9%25.4%25.5%
Expected Move6.8%6.0%7.6%7.3%7.3%
HV 20d22.0%17.6%27.8%27.4%17.6%
HV 60d22.5%21.6%23.6%23.6%21.6%
IV Rank22.7%15.2%34.6%24.9%25.2%
IV Percentile32.5%11.1%70.2%34.1%42.5%
Term Structure0.4%-1.7%1.8%-1.7%1.6%
VWIV24.0%16.3%43.4%25.4%25.5%
Skew 25d3.8%1.1%5.9%3.6%3.4%
Skew 10d8.0%1.3%15.3%3.8%6.1%
Call IV 25d22.8%20.6%26.6%25.4%24.2%
Put IV 25d26.7%23.1%29.3%29.0%27.6%
Bid-Ask Spread %65.5136.9182.9978.1270.34
Gamma HHI0.230.190.380.190.23
Net GEX67.7K4.2K226.3K49.9K64.3K
Net DEX957.7K-771.0K2.4M-118.4K2.0M
Net VEX-18.9K-22.4K-14.7K-21.3K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.951.641.101.22
Total Volume1,196.2868711,5301,428882
Total OI4,378.5244,0474,8284,0474,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$36.84$37.0025.4%7.3%27.4%24.9%25.4%3.6%-1.7%49.9K-118.4K-21.3K1.1078.126807482,4161,631
2016-12-02$36.64$37.0026.4%7.6%27.4%27.1%28.0%1.1%-0.5%69.3K50.0K-22.3K1.0773.066997492,6211,631
2016-12-05$37.04$39.0023.3%6.5%27.8%20.3%21.9%3.0%0.5%54.6K-290.5K-22.1K1.4836.915077492,6011,632
2016-12-06$36.68$39.0021.3%6.1%25.2%16.1%21.4%3.1%0.3%50.2K338.9K-20.2K1.2861.975847492,5181,632
2016-12-07$37.11$39.0020.9%6.0%25.7%15.2%20.7%2.3%0.9%32.3K-425.7K-21.5K1.2563.026127652,6231,632
2016-12-08$37.26$39.0022.9%6.5%25.5%19.5%21.4%4.0%0.7%32.7K-715.0K-22.0K1.3772.325837992,6621,644
2016-12-09$37.26$39.0022.0%6.3%22.9%17.5%21.1%3.2%0.5%17.5K-771.0K-22.4K1.3053.186057862,6621,743
2016-12-12$36.45$39.0029.9%6.8%24.1%34.6%23.3%2.9%0.4%75.2K567.9K-20.4K1.2362.666267722,6791,755
2016-12-13$36.85$39.0029.2%6.5%21.3%33.2%16.3%3.2%0.3%4.2K-227.2K-21.4K1.4772.715337822,7291,782
2016-12-14$36.28$39.0024.2%6.9%18.5%22.2%18.4%4.1%-0.5%97.0K877.6K-19.9K1.6272.614827812,7341,784
2016-12-15$35.45$39.0024.4%7.0%19.8%22.7%19.4%4.0%0.6%226.3K2.4M-16.7K0.9565.967757342,7351,781
2016-12-16$35.24$39.0025.6%7.3%19.4%25.3%20.0%5.4%0.4%72.7K2.4M-18.9K0.9754.377757553,0231,805
2016-12-19$34.98$39.0023.9%6.8%19.4%21.6%37.2%5.9%0.1%61.5K1.7M-16.7K1.6482.994417232,6741,496
2016-12-20$34.73$39.0022.9%6.6%19.2%19.5%43.4%3.7%1.8%55.6K2.0M-14.7K1.3380.123905172,6911,498
2016-12-21$34.98$39.0023.4%6.7%19.5%20.6%22.1%4.9%0.0%80.9K1.6M-17.6K1.1055.914284722,9011,462
2016-12-22$34.40$39.0025.0%7.2%19.9%24.1%23.5%5.1%0.9%71.0K2.0M-15.4K1.0465.674274442,9461,490
2016-12-23$34.53$39.0022.9%6.6%19.9%19.5%23.3%4.5%1.2%74.5K1.8M-16.4K1.1164.734324782,9521,499
2016-12-27$35.00$39.0023.7%6.8%20.8%21.3%23.1%3.5%0.1%82.2K1.6M-17.3K1.1565.034144772,9601,524
2016-12-28$34.81$39.0024.2%6.9%20.6%22.3%24.5%4.2%0.8%81.2K1.6M-16.6K1.0665.354855152,9591,527
2016-12-29$34.92$39.0024.8%7.1%20.8%23.6%23.5%5.1%0.7%68.8K1.7M-16.7K0.9758.634924752,8721,579
2016-12-30$34.70$39.0025.5%7.3%17.6%25.2%25.5%3.4%1.6%64.3K2.0M-15.6K1.2270.343984842,8821,582