KWEB Options History — January 2017

In January 2017, KWEB traded between $35.15 and $38.53. ATM implied volatility averaged 20.6%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 19.4%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2017-01-03: Highest Volume — 902 contracts
2017-01-04: Largest IV drop — 13.6% change
2017-01-03: Highest IV Rank — 24.4%
2017-01-03: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.39	$35.15	$38.53	$35.15	$38.12
Max Pain	$38.10	$38.00	$39.00	$39.00	$38.00
ATM IV	20.6%	17.6%	25.2%	25.2%	20.1%
Expected Move	6.0%	5.0%	7.2%	7.2%	5.8%
HV 20d	19.4%	17.0%	23.0%	18.5%	17.5%
HV 60d	22.0%	21.7%	22.6%	21.9%	21.7%
IV Rank	16.6%	9.6%	24.4%	24.4%	16.3%
IV Percentile	12.8%	1.6%	39.3%	39.3%	11.1%
Term Structure	1.9%	-0.4%	3.3%	-0.4%	0.3%
VWIV	21.7%	18.0%	26.5%	26.5%	19.9%
Skew 25d	2.8%	1.5%	4.3%	4.3%	2.6%
Skew 10d	5.3%	2.6%	8.3%	6.5%	5.2%
Call IV 25d	20.2%	18.0%	23.8%	23.8%	18.9%
Put IV 25d	23.0%	19.8%	28.1%	28.1%	21.5%
Bid-Ask Spread %	61.83	45.51	73.96	63.71	71.57
Gamma HHI	0.27	0.23	0.31	0.23	0.31
Net GEX	167.6K	77.8K	245.0K	77.8K	236.9K
Net DEX	-1.1M	-3.0M	1.6M	1.6M	-2.3M
Net VEX	-18.1K	-21.1K	-16.2K	-16.4K	-16.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.71	2.13	1.16	0.98
Total Volume	680.4	430	902	902	508
Total OI	4,354	4,011	4,558	4,477	4,131

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$35.15	$39.00	25.2%	7.2%	18.5%	24.4%	26.5%	4.3%	-0.4%	77.8K	1.6M	-16.4K	1.16	63.71	418	484	2,885	1,592
2017-01-04	$35.76	$39.00	21.7%	6.2%	19.2%	17.0%	24.7%	3.4%	1.1%	93.0K	1.2M	-17.4K	1.17	68.61	411	481	2,895	1,592
2017-01-05	$36.94	$38.00	21.2%	6.6%	22.4%	15.8%	23.4%	2.3%	2.0%	122.1K	-418.3K	-20.6K	1.11	45.51	410	457	2,898	1,595
2017-01-06	$36.85	$38.00	21.0%	6.4%	22.0%	15.4%	23.6%	3.4%	2.2%	129.2K	-113.5K	-19.9K	1.14	61.03	418	476	2,898	1,594
2017-01-09	$37.10	$38.00	21.3%	6.3%	22.1%	16.4%	22.9%	4.3%	2.1%	129.8K	-417.0K	-19.7K	1.15	49.38	411	473	2,904	1,615
2017-01-10	$37.74	$38.00	21.1%	6.2%	23.0%	15.8%	23.0%	2.6%	2.7%	127.7K	-1.6M	-21.1K	2.13	50.78	214	455	2,906	1,636
2017-01-11	$37.60	$38.00	21.8%	6.2%	21.5%	20.6%	22.9%	2.6%	2.6%	128.1K	-1.2M	-20.5K	1.80	51.36	253	455	2,893	1,636
2017-01-12	$37.22	$38.00	22.5%	6.5%	21.5%	22.6%	23.4%	2.3%	2.0%	135.5K	-504.2K	-19.4K	2.06	59.12	224	461	2,919	1,636
2017-01-13	$37.55	$38.00	20.7%	5.9%	20.9%	18.0%	22.5%	2.2%	2.8%	141.2K	-1.1M	-20.1K	2.06	53.13	224	461	2,917	1,640
2017-01-17	$37.34	$38.00	21.7%	6.2%	18.9%	20.5%	22.2%	2.6%	2.5%	164.6K	-657.1K	-18.5K	1.45	56.84	310	448	2,916	1,642
2017-01-18	$37.24	$38.00	20.8%	6.0%	18.8%	18.1%	22.0%	3.3%	2.8%	158.6K	-296.1K	-17.3K	1.53	63.02	297	454	2,854	1,637
2017-01-19	$37.34	$38.00	21.3%	6.1%	18.4%	19.4%	22.1%	2.9%	3.0%	162.5K	-565.6K	-17.3K	1.64	64.47	296	485	2,852	1,637
2017-01-20	$37.28	$38.00	20.5%	5.9%	18.1%	17.4%	21.9%	3.3%	3.3%	184.6K	-518.2K	-17.1K	1.83	67.58	264	484	2,852	1,622
2017-01-23	$37.66	$38.00	19.3%	5.5%	18.2%	14.1%	18.6%	2.7%	2.1%	198.4K	-1.6M	-16.7K	0.97	62.02	230	222	2,728	1,283
2017-01-24	$38.28	$38.00	19.4%	5.5%	17.0%	14.3%	18.0%	2.3%	0.8%	221.0K	-2.6M	-17.3K	0.71	73.96	316	225	2,712	1,305
2017-01-25	$38.53	$38.00	18.0%	5.2%	17.0%	10.9%	18.3%	2.4%	1.4%	243.1K	-3.0M	-17.1K	1.01	67.53	227	229	2,732	1,304
2017-01-26	$38.20	$38.00	17.6%	5.0%	17.4%	9.6%	18.5%	1.5%	2.5%	245.0K	-2.7M	-17.2K	1.13	65.27	202	228	2,742	1,304
2017-01-27	$38.09	$38.00	18.1%	5.2%	17.2%	11.0%	18.9%	2.0%	1.6%	234.0K	-2.4M	-16.5K	1.00	71.85	246	246	2,748	1,306
2017-01-30	$37.78	$38.00	19.1%	5.5%	17.8%	13.7%	20.7%	2.3%	1.5%	218.8K	-1.8M	-16.2K	0.99	69.77	254	251	2,793	1,329
2017-01-31	$38.12	$38.00	20.1%	5.8%	17.5%	16.3%	19.9%	2.6%	0.3%	236.9K	-2.3M	-16.2K	0.98	71.57	257	251	2,795	1,336