KWEB Options History — June 2017

In June 2017, KWEB traded between $47.05 and $50.12. ATM implied volatility averaged 23.3%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.0% (HV 20d: 22.2%). Max pain ranged from $38.00 to $48.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2017-06-14: Highest Volume — 7,236 contracts
  • 2017-06-12: Largest IV spike — 30.5% change
  • 2017-06-12: Highest IV Rank — 79.6%
  • 2017-06-29: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.52$47.05$50.12$48.24$47.92
Max Pain$43.82$38.00$48.00$48.00$47.00
ATM IV23.3%21.1%30.5%23.3%21.8%
Expected Move6.4%6.0%7.1%6.7%6.2%
HV 20d22.2%20.6%25.1%23.1%21.0%
HV 60d18.8%17.8%19.6%18.4%19.6%
IV Rank46.1%35.2%79.6%45.0%42.5%
IV Percentile64.6%45.6%95.6%67.5%56.7%
Term Structure-0.5%-2.2%0.9%-1.3%0.9%
VWIV23.3%20.1%30.9%20.1%22.1%
Skew 25d2.9%0.4%4.9%2.4%2.6%
Skew 10d7.2%1.9%14.4%10.5%5.3%
Call IV 25d22.0%20.3%24.1%23.1%21.4%
Put IV 25d24.8%23.1%26.6%25.4%24.0%
Bid-Ask Spread %53.0239.6673.0064.4662.87
Gamma HHI0.290.140.470.140.47
Net GEX-217.5K-873.9K346.7K171.6K-783.3K
Net DEX-11.3M-17.6M-3.1M-12.8M-7.1M
Net VEX-48.0K-65.9K-31.1K-31.6K-56.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.349.220.460.67
Total Volume1,524.2278917,2361,0831,001
Total OI10,013.2275,66213,3305,66213,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$48.24$48.0023.3%6.7%23.1%45.0%20.1%2.4%-1.3%171.6K-12.8M-31.6K0.4664.467443394,3421,320
2017-06-02$48.30$48.0024.0%6.9%23.0%48.3%24.7%1.7%-2.2%176.3K-13.3M-32.2K0.4573.007653434,4631,370
2017-06-05$48.70$38.0024.0%6.5%23.0%48.3%23.5%3.0%-0.9%181.0K-14.1M-31.1K0.3850.668143104,5561,394
2017-06-06$48.86$38.0023.5%6.3%22.7%46.0%23.0%2.8%-0.2%206.8K-14.8M-32.2K0.3447.101,0593644,6881,419
2017-06-07$49.63$38.0023.2%6.2%22.1%44.7%23.2%2.2%-1.0%310.9K-16.7M-35.4K0.3554.091,0103505,0871,490
2017-06-08$50.12$38.0022.6%6.1%22.1%41.8%22.5%2.8%-0.1%346.7K-17.6M-35.3K0.5351.577754115,1881,497
2017-06-09$48.59$38.0023.4%6.2%25.1%45.5%21.3%4.9%0.3%261.4K-14.9M-37.7K0.6051.998855315,2511,597
2017-06-12$48.35$38.0030.5%6.9%25.0%79.6%23.3%3.5%-1.4%212.2K-13.8M-38.2K0.6848.117194905,1991,684
2017-06-13$48.24$38.0029.6%6.5%25.1%75.1%22.1%4.5%0.6%217.1K-13.5M-38.1K0.9044.956245595,2641,702
2017-06-14$47.65$38.0021.7%6.2%22.3%37.6%25.3%4.3%0.1%193.3K-12.4M-37.7K9.2252.417086,5285,2871,855
2017-06-15$47.05$47.0022.5%6.5%21.3%42.3%30.9%4.0%-0.0%-873.9K-3.3M-63.4K3.8451.349223,5405,3367,869
2017-06-16$47.25$47.0022.8%6.5%21.3%43.3%23.1%4.3%-1.6%-747.7K-3.1M-65.9K0.8139.666595375,3897,941
2017-06-19$48.59$47.0021.1%6.0%22.1%35.2%22.0%2.8%-0.4%-584.8K-8.9M-61.1K0.6552.515823784,9827,517
2017-06-20$48.29$47.0023.1%6.6%21.6%45.0%23.8%3.1%-0.4%-539.6K-8.1M-63.4K0.8250.555094195,1137,583
2017-06-21$49.01$47.0022.2%6.4%21.5%40.7%24.2%4.5%-0.5%-440.6K-10.1M-62.7K0.7351.585153765,2357,673
2017-06-22$48.93$47.0022.0%6.3%21.4%39.4%22.8%1.4%-0.3%-458.6K-11.6M-57.0K0.7456.525714255,2457,697
2017-06-23$49.27$47.0021.6%6.2%21.3%37.4%22.3%1.5%0.3%-425.6K-12.5M-55.9K0.7065.845874085,3207,729
2017-06-26$49.16$47.0021.3%6.1%21.3%36.1%22.3%1.3%-0.1%-391.2K-12.1M-54.3K0.9146.444764355,1877,731
2017-06-27$48.48$47.0021.4%6.1%21.1%36.6%21.9%2.2%-0.6%-568.5K-10.0M-55.5K0.7546.805484135,1887,750
2017-06-28$48.76$47.0022.1%6.3%20.6%44.2%23.0%0.4%-0.4%-547.6K-10.4M-54.5K0.7556.415444065,2177,804
2017-06-29$47.96$47.0024.7%7.1%21.0%58.6%24.3%2.8%-1.9%-700.3K-7.2M-56.9K0.7247.645553995,2387,812
2017-06-30$47.92$47.0021.8%6.2%21.0%42.5%22.1%2.6%0.9%-783.3K-7.1M-56.5K0.6762.876004015,1997,883