KWEB Options History — April 2017

In April 2017, KWEB traded between $42.11 and $45.11. ATM implied volatility averaged 18.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.2% (HV 20d: 14.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2017-04-21: Highest Volume — 752 contracts
2017-04-24: Largest IV drop — 12.7% change
2017-04-19: Highest IV Rank — 34.1%
2017-04-19: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.08	$42.11	$45.11	$42.82	$44.85
Max Pain	$40.32	$40.00	$42.00	$42.00	$40.00
ATM IV	18.1%	15.4%	21.0%	16.2%	15.4%
Expected Move	5.3%	4.4%	6.0%	4.6%	4.4%
HV 20d	14.9%	10.5%	17.9%	17.1%	14.3%
HV 60d	14.5%	14.2%	14.8%	14.4%	14.8%
IV Rank	20.1%	7.4%	34.1%	11.0%	7.4%
IV Percentile	11.8%	0.4%	34.5%	0.4%	0.4%
Term Structure	1.3%	0.4%	2.6%	2.4%	1.7%
VWIV	19.2%	16.2%	22.3%	17.0%	16.2%
Skew 25d	2.4%	0.8%	3.9%	1.2%	3.1%
Skew 10d	6.3%	2.6%	14.0%	8.6%	3.8%
Call IV 25d	17.9%	13.8%	20.2%	17.1%	13.8%
Put IV 25d	20.3%	16.9%	23.4%	18.3%	16.9%
Bid-Ask Spread %	55.60	33.62	76.96	67.02	76.96
Gamma HHI	0.27	0.20	0.32	0.27	0.25
Net GEX	158.4K	133.5K	198.6K	161.1K	133.5K
Net DEX	-4.1M	-5.7M	-3.4M	-3.8M	-4.7M
Net VEX	-10.4K	-11.4K	-9.2K	-9.8K	-9.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.47	0.97	0.92	0.91
Total Volume	532.263	460	752	492	527
Total OI	2,304.526	2,064	2,496	2,166	2,089

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
2017-04-03	$42.82	$42.00	16.2%	4.6%	17.1%	11.0%	17.0%	1.2%	2.4%	161.1K	-3.8M	-9.8K	0.92	67.02	256	236	1,502	664
2017-04-04	$42.29	$42.00	17.0%	4.9%	17.9%	14.7%	16.9%	0.9%	2.4%	169.0K	-3.4M	-10.4K	0.87	69.40	273	237	1,537	693
2017-04-05	$42.11	$42.00	16.6%	4.8%	17.3%	13.2%	16.3%	2.7%	2.6%	164.8K	-3.4M	-10.9K	0.81	68.85	267	216	1,571	693
2017-04-06	$42.28	$40.00	17.2%	5.6%	16.8%	15.8%	21.0%	2.3%	1.5%	160.5K	-3.5M	-10.6K	0.89	33.62	244	216	1,568	701
2017-04-07	$42.35	$40.00	16.9%	5.7%	16.5%	14.5%	21.8%	2.5%	0.8%	160.7K	-3.6M	-10.8K	0.88	43.45	254	223	1,582	701
2017-04-10	$42.77	$40.00	17.4%	5.5%	15.5%	16.8%	20.5%	1.9%	2.1%	165.5K	-4.0M	-10.0K	0.80	44.39	271	216	1,585	705
2017-04-11	$42.32	$40.00	18.5%	6.0%	16.0%	22.3%	22.3%	2.9%	0.4%	162.4K	-3.7M	-10.9K	0.85	45.37	283	240	1,626	710
2017-04-12	$42.30	$40.00	20.4%	5.9%	15.8%	31.4%	21.1%	3.9%	1.2%	163.7K	-3.6M	-11.4K	0.89	40.48	285	255	1,641	746
2017-04-13	$42.21	$40.00	20.3%	5.8%	15.3%	30.8%	20.7%	2.9%	0.9%	162.1K	-3.6M	-11.3K	0.87	38.98	287	249	1,637	766
2017-04-17	$42.43	$40.00	20.5%	5.9%	15.4%	31.6%	20.8%	3.6%	1.2%	180.5K	-3.7M	-10.6K	0.87	42.46	287	249	1,642	770
2017-04-18	$42.11	$40.00	20.6%	5.9%	15.4%	32.3%	21.9%	3.6%	1.2%	154.8K	-3.5M	-10.8K	0.96	44.52	252	243	1,650	774
2017-04-19	$42.40	$40.00	21.0%	6.0%	10.5%	34.1%	21.6%	3.8%	0.6%	151.2K	-3.7M	-10.7K	0.97	59.25	247	239	1,650	801
2017-04-20	$43.28	$40.00	20.0%	5.7%	12.4%	29.2%	19.3%	2.8%	0.8%	198.6K	-4.6M	-9.8K	0.84	58.97	300	251	1,650	803
2017-04-21	$43.52	$40.00	19.9%	5.7%	12.3%	28.9%	19.7%	3.0%	1.5%	149.7K	-4.7M	-10.7K	0.47	51.52	511	241	1,680	816
2017-04-24	$43.99	$40.00	17.4%	5.0%	12.5%	16.8%	17.7%	1.3%	1.1%	160.9K	-5.3M	-10.8K	0.50	60.06	406	205	1,724	614
2017-04-25	$44.81	$40.00	15.9%	4.6%	13.8%	9.9%	16.2%	0.8%	1.1%	134.8K	-5.7M	-9.5K	0.54	66.39	381	204	1,691	627
2017-04-26	$44.62	$40.00	16.5%	4.7%	14.0%	12.5%	16.7%	1.2%	0.8%	141.8K	-4.6M	-9.9K	0.55	70.26	380	208	1,487	626
2017-04-27	$45.11	$40.00	15.8%	4.5%	14.3%	9.2%	16.2%	1.9%	1.0%	134.9K	-4.7M	-9.3K	0.81	74.41	262	212	1,453	611
2017-04-28	$44.85	$40.00	15.4%	4.4%	14.3%	7.4%	16.2%	3.1%	1.7%	133.5K	-4.7M	-9.2K	0.91	76.96	276	251	1,476	613