KWEB Options History — May 2017

In May 2017, KWEB traded between $44.80 and $49.97. ATM implied volatility averaged 18.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.6%). Max pain ranged from $40.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-05-26: Highest Volume — 1,757 contracts
  • 2017-05-17: Largest IV spike — 15.6% change
  • 2017-05-31: Highest IV Rank — 46.1%
  • 2017-05-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.46$44.80$49.97$45.30$47.65
Max Pain$45.45$40.00$48.00$40.00$48.00
ATM IV18.7%15.3%23.5%15.3%23.5%
Expected Move5.4%4.4%6.7%4.4%6.7%
HV 20d17.6%13.8%23.2%14.5%23.2%
HV 60d16.4%14.9%18.3%14.9%18.3%
IV Rank23.1%6.9%46.1%6.9%46.1%
IV Percentile22.1%0.4%68.7%0.4%68.7%
Term Structure0.8%-1.8%3.0%3.0%-1.8%
VWIV19.6%14.6%25.8%14.7%25.2%
Skew 25d2.2%0.1%4.8%2.2%1.8%
Skew 10d4.9%1.1%7.8%1.9%4.4%
Call IV 25d18.5%14.8%24.5%14.8%24.5%
Put IV 25d20.7%16.3%26.9%17.0%26.3%
Bid-Ask Spread %61.8945.3878.6376.0566.56
Gamma HHI0.200.130.270.250.14
Net GEX117.4K72.7K185.6K120.2K185.6K
Net DEX-6.4M-12.0M-4.6M-4.8M-12.0M
Net VEX-16.2K-31.5K-9.3K-9.3K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.180.960.920.43
Total Volume893.5455251,7575251,199
Total OI2,957.5452,1215,5482,1215,548

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$45.30$40.0015.3%4.4%14.5%6.9%14.7%2.2%3.0%120.2K-4.8M-9.3K0.9276.052742511,466655
2017-05-02$45.31$40.0016.0%4.6%14.4%10.0%14.6%1.5%2.5%123.7K-4.9M-9.4K0.8875.262962601,481663
2017-05-03$44.91$40.0015.6%4.5%13.9%8.1%16.7%1.2%1.8%128.1K-4.7M-9.7K0.7878.632952311,527680
2017-05-04$44.80$44.0015.8%5.1%13.8%9.1%18.1%2.0%2.2%123.2K-4.6M-10.0K0.8945.383062731,514695
2017-05-05$45.08$45.0018.0%5.5%13.8%19.9%18.5%2.5%0.8%105.2K-4.7M-10.7K0.6754.973852571,552765
2017-05-08$45.69$45.0017.3%5.4%14.3%16.2%18.6%2.8%0.8%105.1K-5.4M-10.6K0.6845.683992711,644770
2017-05-09$46.72$45.0017.2%5.0%15.6%16.0%18.9%2.5%1.1%105.8K-6.0M-10.4K0.7755.974473431,689791
2017-05-10$47.23$45.0017.7%5.1%14.7%18.2%18.5%2.4%2.1%88.6K-5.2M-11.1K0.7953.614293371,506862
2017-05-11$47.12$45.0018.0%5.2%14.8%19.7%18.3%1.6%1.3%80.6K-5.3M-12.1K0.8754.723813321,587911
2017-05-12$47.56$46.0017.4%5.0%14.6%17.0%18.1%1.7%2.5%72.7K-5.7M-12.4K0.9356.423853571,645932
2017-05-15$47.60$46.0017.6%5.1%14.7%18.1%18.7%1.5%1.6%101.6K-5.7M-13.3K0.9646.783773611,685969
2017-05-16$49.20$46.0017.6%5.1%16.8%18.1%18.6%2.2%1.9%75.1K-6.7M-12.7K0.6549.765703701,7211,013
2017-05-17$48.08$46.0020.4%5.8%20.0%31.2%20.6%2.3%-0.4%114.3K-6.3M-14.6K0.7566.085293951,8281,024
2017-05-18$48.24$46.0020.3%5.8%19.3%30.5%21.0%2.0%0.6%124.2K-6.3M-16.0K0.8266.674883981,9001,079
2017-05-19$49.35$47.0018.4%5.3%20.3%21.6%20.0%2.6%1.2%87.5K-7.1M-15.1K0.7367.855413951,9261,089
2017-05-22$49.97$46.0019.4%5.6%20.3%26.3%20.5%1.8%-1.0%98.8K-6.0M-15.4K0.5371.266853651,663728
2017-05-23$49.07$48.0020.1%5.7%21.6%29.5%20.6%2.6%0.1%124.2K-6.1M-22.6K0.4867.947533612,102899
2017-05-24$48.75$48.0020.3%5.8%21.7%30.8%21.5%4.8%-0.0%120.6K-5.9M-25.2K0.3270.927882562,4131,044
2017-05-25$49.13$48.0020.8%6.0%21.6%32.9%22.0%0.1%-1.3%150.9K-6.7M-26.1K0.2670.611,0952812,5601,074
2017-05-26$49.08$48.0021.5%6.2%21.4%36.7%22.0%2.6%-0.7%164.3K-9.0M-28.2K0.1862.511,4932643,1351,110
2017-05-30$48.29$48.0023.3%6.7%22.5%45.0%25.8%3.8%-0.7%183.2K-12.0M-30.3K0.3157.929062794,0471,174
2017-05-31$47.65$48.0023.5%6.7%23.2%46.1%25.2%1.8%-1.8%185.6K-12.0M-31.5K0.4366.568393604,3121,236