KWEB Options History — February 2017

In February 2017, KWEB traded between $38.12 and $40.84. ATM implied volatility averaged 20.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.1% (HV 20d: 12.5%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.62.

Notable Days

2017-02-10: Highest Volume — 1,940 contracts
2017-02-17: Largest IV drop — 8.9% change
2017-02-15: Highest IV Rank — 33.9%
2017-02-13: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.56	$38.12	$40.84	$38.12	$40.04
Max Pain	$38.79	$35.00	$41.00	$38.00	$41.00
ATM IV	20.6%	18.4%	22.4%	20.8%	19.9%
Expected Move	5.9%	5.3%	6.4%	6.0%	5.7%
HV 20d	12.5%	10.9%	17.3%	17.3%	12.4%
HV 60d	18.8%	17.2%	21.7%	21.7%	18.0%
IV Rank	24.1%	15.6%	33.9%	18.0%	25.5%
IV Percentile	16.2%	4.4%	30.6%	14.3%	12.3%
Term Structure	1.6%	0.9%	3.0%	1.2%	1.2%
VWIV	20.8%	19.4%	22.6%	20.9%	20.6%
Skew 25d	1.4%	-0.7%	3.7%	2.8%	0.9%
Skew 10d	3.8%	-0.7%	9.1%	9.1%	2.7%
Call IV 25d	20.9%	19.1%	23.2%	20.6%	19.8%
Put IV 25d	22.3%	20.3%	24.0%	23.4%	20.7%
Bid-Ask Spread %	49.23	32.28	68.70	68.70	55.69
Gamma HHI	0.42	0.27	0.72	0.29	0.43
Net GEX	-117.7K	-1.1M	239.6K	226.1K	-121.7K
Net DEX	-2.0M	-4.9M	339.3K	-2.4M	185.6K
Net VEX	-13.5K	-16.8K	-10.3K	-16.6K	-11.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.20	4.53	1.25	0.51
Total Volume	942.368	428	1,940	630	438
Total OI	3,807.789	2,223	5,229	4,134	2,286

Daily Data (19 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
2017-02-01	$38.12	$38.00	20.8%	6.0%	17.3%	18.0%	20.9%	2.8%	1.2%	226.1K	-2.4M	-16.6K	1.25	68.70	280	350	2,798	1,336
2017-02-02	$38.18	$35.00	20.5%	6.1%	16.6%	17.5%	22.6%	2.7%	1.5%	201.5K	-2.4M	-16.8K	0.90	35.81	279	252	2,808	1,438
2017-02-03	$38.20	$35.00	19.8%	6.0%	12.5%	15.6%	19.7%	2.8%	1.2%	199.8K	-2.5M	-16.5K	0.94	43.86	278	262	2,807	1,438
2017-02-06	$38.48	$35.00	20.3%	6.0%	12.5%	16.8%	20.9%	3.7%	1.6%	210.1K	-2.9M	-15.6K	1.01	45.63	267	271	2,802	1,447
2017-02-07	$38.71	$35.00	20.0%	6.0%	12.5%	16.1%	20.0%	3.1%	1.6%	224.0K	-3.4M	-15.3K	0.83	32.28	304	253	2,812	1,441
2017-02-08	$39.28	$35.00	21.3%	6.1%	12.1%	19.3%	22.2%	1.6%	1.5%	239.6K	-4.7M	-14.7K	0.20	48.31	1,254	252	2,801	1,442
2017-02-09	$39.57	$35.00	22.0%	6.3%	12.1%	29.8%	22.3%	0.9%	0.9%	193.0K	-4.3M	-11.2K	0.76	39.39	348	264	2,341	1,441
2017-02-10	$39.77	$38.00	22.1%	6.3%	11.1%	30.3%	21.6%	2.0%	1.5%	205.1K	-4.9M	-10.3K	4.53	50.14	351	1,589	2,382	1,448
2017-02-13	$39.88	$41.00	22.4%	6.4%	10.9%	31.2%	22.6%	0.4%	1.4%	-322.8K	-1.4M	-14.4K	2.74	47.62	363	995	2,352	2,744
2017-02-14	$39.67	$41.00	21.3%	6.1%	10.9%	30.8%	21.2%	1.4%	2.5%	-436.0K	-1.1M	-13.6K	2.90	35.17	344	998	2,363	2,778
2017-02-15	$40.05	$41.00	22.0%	6.3%	10.9%	33.9%	20.9%	-0.7%	1.9%	-531.6K	-2.1M	-13.3K	2.53	44.02	393	994	2,355	2,779
2017-02-16	$40.29	$41.00	21.7%	6.2%	10.9%	32.7%	20.8%	0.7%	2.3%	-1.1M	-3.0M	-13.3K	2.30	48.07	435	1,002	2,423	2,783
2017-02-17	$39.98	$41.00	19.8%	5.7%	11.5%	24.7%	19.8%	0.8%	3.0%	-957.4K	-1.9M	-12.6K	2.39	46.17	417	997	2,436	2,793
2017-02-21	$40.55	$41.00	19.8%	5.7%	11.9%	24.6%	19.7%	0.3%	0.9%	-104.4K	-361.8K	-12.3K	2.80	67.16	302	847	1,151	1,072
2017-02-22	$40.84	$41.00	19.6%	5.6%	11.0%	23.9%	19.4%	0.7%	1.0%	-102.7K	-686.5K	-12.6K	2.70	57.10	314	848	1,164	1,081
2017-02-23	$40.13	$41.00	18.4%	5.3%	13.2%	18.8%	19.4%	1.7%	1.7%	-108.4K	-5.1K	-12.2K	0.47	57.33	322	151	1,175	1,080
2017-02-24	$39.82	$41.00	19.4%	5.6%	13.1%	23.2%	19.9%	0.7%	1.8%	-83.7K	339.3K	-11.6K	0.43	57.16	323	140	1,175	1,092
2017-02-27	$40.01	$41.00	19.7%	5.6%	13.0%	24.5%	20.8%	0.7%	1.3%	-109.0K	251.9K	-11.8K	0.49	55.75	288	140	1,186	1,098
2017-02-28	$40.04	$41.00	19.9%	5.7%	12.4%	25.5%	20.6%	0.9%	1.2%	-121.7K	185.6K	-11.6K	0.51	55.69	290	148	1,188	1,098