KWEB Options History — March 2017

In March 2017, KWEB traded between $40.04 and $42.80. ATM implied volatility averaged 19.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.1% (HV 20d: 16.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-03-15: Highest Volume — 618 contracts
  • 2017-03-13: Largest IV spike — 20.7% change
  • 2017-03-13: Highest IV Rank — 37.2%
  • 2017-03-06: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.60$40.04$42.80$40.56$42.44
Max Pain$41.04$40.00$42.00$41.00$42.00
ATM IV19.1%16.9%21.6%19.3%16.9%
Expected Move5.5%4.8%5.9%5.5%4.8%
HV 20d16.1%12.7%19.4%12.7%17.1%
HV 60d16.1%15.0%16.9%16.7%15.6%
IV Rank24.4%14.3%37.2%22.9%14.3%
IV Percentile10.8%0.8%31.3%7.5%0.8%
Term Structure1.5%0.4%3.1%0.7%2.8%
VWIV20.1%16.3%22.1%20.8%16.3%
Skew 25d1.6%-0.3%3.4%3.2%1.4%
Skew 10d4.3%1.4%10.6%3.1%10.6%
Call IV 25d19.0%15.9%20.5%18.6%16.6%
Put IV 25d20.6%16.9%22.2%21.8%17.9%
Bid-Ask Spread %48.8930.8475.8956.8162.67
Gamma HHI0.410.220.600.460.32
Net GEX-28.6K-324.1K147.2K-151.5K141.3K
Net DEX-2.0M-3.5M458.0K-326.9K-3.2M
Net VEX-10.0K-11.7K-8.5K-11.7K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.351.000.450.90
Total Volume462.087362618411443
Total OI2,180.131,7102,5612,2762,101

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$40.56$41.0019.3%5.5%12.7%22.9%20.8%3.2%0.7%-151.5K-326.9K-11.7K0.4556.812841271,1741,102
2017-03-02$40.11$41.0020.0%5.7%13.7%25.6%21.5%2.3%0.9%-125.6K112.1K-11.3K0.4651.652901321,1761,104
2017-03-03$40.18$41.0019.8%5.7%13.7%25.0%20.8%1.3%0.6%-144.9K144.6K-11.2K0.5275.892951521,1811,112
2017-03-06$40.04$40.0020.2%5.9%13.8%26.8%21.0%2.1%1.0%-150.3K458.0K-10.4K0.5130.942941501,1801,134
2017-03-07$40.36$40.0018.0%5.4%13.9%17.3%19.7%0.6%2.2%-233.8K130.3K-10.5K0.5132.632941501,1761,140
2017-03-08$40.97$40.0018.4%5.6%14.5%19.3%20.3%1.1%1.9%-249.3K-894.2K-10.4K0.5134.443291671,1861,139
2017-03-09$40.54$41.0019.0%5.6%14.6%24.3%20.4%-0.3%1.5%-238.9K-156.1K-10.5K0.5438.353201731,2311,154
2017-03-10$40.94$41.0017.9%5.5%14.7%19.4%21.1%2.5%3.1%-324.1K-754.0K-10.7K0.5030.843201591,2261,194
2017-03-13$41.74$41.0021.6%5.3%16.0%37.2%20.8%1.1%1.7%-240.0K-2.2M-9.5K0.4039.673971571,2251,214
2017-03-14$41.60$41.0020.6%5.5%16.1%32.1%20.8%1.1%1.2%-236.2K-2.0M-10.4K0.3841.573971501,3181,226
2017-03-15$41.93$41.0018.9%5.4%16.0%24.1%20.9%1.4%1.9%-206.0K-2.9M-9.4K0.3543.894591591,3121,227
2017-03-16$42.39$40.0019.7%5.6%16.1%27.7%20.2%1.1%1.1%108.1K-3.4M-9.0K0.4051.334051631,3351,216
2017-03-17$42.49$41.0018.5%5.3%16.0%22.3%20.0%0.9%2.0%141.0K-3.5M-9.0K0.4445.623691631,3411,220
2017-03-20$42.80$41.0018.5%5.3%15.6%21.9%18.0%1.6%1.1%147.2K-3.3M-8.5K0.8952.791951741,258452
2017-03-21$41.48$41.0020.1%5.8%19.4%29.6%21.9%1.5%1.4%135.9K-2.5M-9.5K0.8549.111961661,268494
2017-03-22$41.79$41.0020.4%5.8%19.4%31.1%22.1%2.0%0.4%135.8K-2.6M-9.5K0.8542.781971671,266501
2017-03-23$42.13$41.0019.8%5.7%18.2%28.2%21.8%1.9%0.8%133.3K-2.8M-9.3K0.7855.262181701,269503
2017-03-24$42.45$41.0019.5%5.6%17.9%27.0%19.7%1.7%1.6%146.8K-3.1M-9.0K1.0046.532272281,306510
2017-03-27$42.46$42.0020.0%5.7%17.9%29.4%20.4%3.4%1.0%132.9K-3.0M-9.8K0.7157.432741951,334602
2017-03-28$42.44$42.0018.4%5.3%17.9%21.6%18.9%3.1%2.2%135.7K-3.2M-9.9K0.8452.102442051,368607
2017-03-29$42.63$42.0016.9%4.8%17.5%14.5%17.6%1.1%2.9%143.3K-3.4M-9.3K0.9166.332332131,380619
2017-03-30$42.37$42.0017.8%5.1%17.1%18.9%16.9%1.1%1.6%140.3K-3.2M-10.2K1.0065.792142141,422640
2017-03-31$42.44$42.0016.9%4.8%17.1%14.3%16.3%1.4%2.8%141.3K-3.2M-10.3K0.9062.672332101,439662