KWEB Options History — July 2017

In July 2017, KWEB traded between $47.57 and $54.29. ATM implied volatility averaged 20.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.8% (HV 20d: 17.9%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2017-07-13: Highest Volume — 2,036 contracts
2017-07-14: Largest IV drop — 9.7% change
2017-07-06: Highest IV Rank — 55.8%
2017-07-12: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.84	$47.57	$54.29	$47.86	$54.29
Max Pain	$41.45	$40.00	$47.00	$47.00	$40.00
ATM IV	20.7%	17.3%	24.2%	22.6%	19.4%
Expected Move	5.9%	5.0%	6.7%	6.5%	5.6%
HV 20d	17.9%	15.7%	20.8%	20.8%	16.0%
HV 60d	19.9%	19.4%	20.3%	19.6%	20.3%
IV Rank	36.8%	18.6%	55.8%	46.9%	29.8%
IV Percentile	42.6%	7.5%	81.7%	64.3%	24.6%
Term Structure	1.0%	-0.6%	3.9%	-0.1%	-0.1%
VWIV	21.7%	18.1%	27.4%	23.1%	19.1%
Skew 25d	2.6%	1.1%	4.7%	4.7%	2.9%
Skew 10d	6.5%	2.6%	9.9%	9.9%	6.2%
Call IV 25d	20.2%	17.2%	23.1%	22.0%	18.6%
Put IV 25d	22.8%	18.7%	26.7%	26.7%	21.5%
Bid-Ask Spread %	59.02	45.03	68.80	54.91	56.80
Gamma HHI	0.28	0.13	0.52	0.41	0.13
Net GEX	76.6K	-915.5K	599.4K	-748.4K	566.2K
Net DEX	-16.5M	-22.9M	-5.9M	-6.1M	-22.5M
Net VEX	-44.3K	-56.4K	-36.3K	-56.4K	-39.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.31	0.79	0.66	0.54
Total Volume	1,177.9	795	2,036	1,040	1,644
Total OI	11,659.15	6,825	14,327	13,155	7,466

Daily Data (20 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
2017-07-03	$47.86	$47.00	22.6%	6.5%	20.8%	46.9%	23.1%	4.7%	-0.1%	-748.4K	-6.1M	-56.4K	0.66	54.91	627	413	5,226	7,929
2017-07-05	$47.98	$47.00	22.1%	6.3%	20.8%	44.5%	24.1%	2.4%	0.4%	-830.6K	-7.6M	-53.2K	0.56	62.35	605	338	5,215	7,954
2017-07-06	$47.57	$43.00	24.2%	6.4%	20.0%	55.8%	23.8%	2.8%	1.1%	-915.5K	-6.1M	-54.3K	0.61	56.06	565	342	5,290	7,959
2017-07-07	$47.74	$43.00	23.2%	6.5%	19.6%	50.5%	24.2%	3.2%	0.1%	-873.4K	-5.9M	-55.9K	0.79	45.03	445	350	5,326	7,995
2017-07-10	$48.62	$43.00	21.8%	6.3%	17.8%	42.9%	23.3%	4.5%	0.5%	-666.0K	-9.2M	-51.5K	0.74	48.95	458	337	5,299	8,027
2017-07-11	$49.07	$43.00	23.5%	6.5%	18.0%	52.0%	23.2%	3.2%	-0.6%	-466.9K	-12.7M	-46.8K	0.65	52.93	500	326	5,284	8,054
2017-07-12	$50.15	$43.00	23.4%	6.7%	19.4%	51.2%	27.4%	3.6%	-0.3%	-160.5K	-15.0M	-45.0K	0.37	63.53	986	366	5,268	8,052
2017-07-13	$50.22	$40.00	22.9%	6.6%	18.7%	48.5%	23.4%	3.3%	-0.4%	-82.9K	-16.3M	-43.5K	0.31	59.46	1,552	484	5,399	8,096
2017-07-14	$50.96	$40.00	20.6%	5.9%	18.2%	36.4%	22.7%	2.3%	2.9%	229.9K	-19.6M	-42.9K	0.53	58.65	858	451	5,727	8,007
2017-07-17	$50.52	$40.00	21.3%	6.1%	18.7%	39.8%	21.7%	2.8%	0.4%	558.1K	-19.8M	-41.4K	0.61	53.29	759	460	5,851	8,023
2017-07-18	$51.33	$40.00	20.9%	6.0%	17.1%	38.0%	21.5%	1.2%	2.0%	598.7K	-21.2M	-41.5K	0.58	61.58	725	417	5,909	8,088
2017-07-19	$52.02	$40.00	20.3%	5.8%	17.1%	34.8%	21.1%	2.0%	2.2%	511.5K	-22.9M	-40.0K	0.45	59.23	948	425	5,901	8,132
2017-07-20	$51.85	$40.00	19.4%	5.6%	16.8%	30.1%	20.5%	1.6%	2.2%	592.8K	-22.5M	-41.3K	0.50	58.62	786	395	6,050	8,218
2017-07-21	$51.86	$40.00	18.9%	5.4%	16.7%	27.1%	20.3%	1.7%	3.9%	599.4K	-22.9M	-39.9K	0.51	58.57	762	390	6,102	8,225
2017-07-24	$52.47	$40.00	18.9%	5.4%	16.9%	26.9%	19.2%	2.3%	0.5%	473.0K	-18.6M	-38.3K	0.49	68.80	718	353	5,014	1,811
2017-07-25	$52.60	$40.00	17.3%	5.0%	16.8%	18.7%	19.8%	2.5%	1.0%	537.7K	-19.2M	-40.6K	0.65	65.44	597	386	5,236	1,816
2017-07-26	$53.19	$40.00	17.3%	5.0%	15.7%	18.6%	18.1%	1.6%	1.4%	538.4K	-20.6M	-38.3K	0.69	68.31	612	420	5,287	1,817
2017-07-27	$52.61	$40.00	17.8%	5.1%	16.7%	21.4%	18.6%	1.1%	1.4%	567.0K	-19.4M	-39.0K	0.52	64.85	828	434	5,306	1,785
2017-07-28	$53.82	$40.00	17.9%	5.1%	16.1%	21.5%	19.0%	2.8%	1.3%	502.5K	-21.4M	-36.3K	0.49	62.97	1,007	489	5,243	1,796
2017-07-31	$54.29	$40.00	19.4%	5.6%	16.0%	29.8%	19.1%	2.9%	-0.1%	566.2K	-22.5M	-39.1K	0.54	56.80	1,069	575	5,566	1,900