KWEB Options History — August 2017

In August 2017, KWEB traded between $53.20 and $56.90. ATM implied volatility averaged 24.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.9% (HV 20d: 22.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.99.

Notable Days

  • 2017-08-28: Highest Volume — 9,728 contracts
  • 2017-08-10: Largest IV spike — 21.4% change
  • 2017-08-11: Highest IV Rank — 81.2%
  • 2017-08-11: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.22$53.20$56.90$54.31$56.18
Max Pain$43.65$40.00$44.00$40.00$44.00
ATM IV24.2%19.8%29.2%19.8%24.5%
Expected Move6.9%5.7%8.4%5.7%7.0%
HV 20d22.3%15.9%25.5%15.9%25.0%
HV 60d20.9%20.3%21.6%20.3%21.5%
IV Rank53.4%32.2%81.2%32.2%53.5%
IV Percentile73.7%30.2%96.4%30.2%82.1%
Term Structure1.1%-1.2%2.9%1.3%1.0%
VWIV25.0%20.0%29.6%20.4%25.6%
Skew 25d4.0%1.3%7.3%1.7%2.9%
Skew 10d9.1%1.6%15.0%4.9%8.4%
Call IV 25d23.1%19.3%27.3%19.3%24.7%
Put IV 25d27.2%21.0%33.7%21.0%27.6%
Bid-Ask Spread %41.9433.5567.3267.3239.91
Gamma HHI0.170.110.280.180.24
Net GEX408.1K-606.3K791.0K791.0K-281.8K
Net DEX-20.7M-26.8M-6.5M-23.7M-15.4M
Net VEX-67.5K-122.5K-42.4K-42.4K-110.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.2913.610.2911.08
Total Volume3,664.3041,7099,7282,1579,506
Total OI11,633.0437,86119,8177,86119,817

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$54.31$40.0019.8%5.7%15.9%32.2%20.4%1.7%1.3%791.0K-23.7M-42.4K0.2967.321,6714866,0801,781
2017-08-02$53.20$40.0020.1%5.8%18.5%33.8%20.0%3.2%0.6%788.9K-22.3M-44.6K0.5151.481,7468876,3441,811
2017-08-03$53.70$44.0020.5%6.1%17.8%35.7%23.4%2.6%1.7%668.7K-23.1M-46.9K1.3543.049101,2306,4662,254
2017-08-04$54.18$44.0020.6%6.1%17.8%36.4%22.0%2.5%1.7%488.4K-23.2M-47.3K1.0641.509279876,4762,717
2017-08-07$55.69$44.0020.6%5.9%18.9%36.5%22.5%3.3%2.9%426.3K-26.5M-46.8K0.9339.041,0419706,5492,903
2017-08-08$56.13$44.0021.9%6.4%18.9%43.2%23.3%3.0%2.1%363.8K-26.8M-47.3K0.5037.931,8529256,4883,044
2017-08-09$56.32$44.0023.4%6.7%18.1%51.2%24.2%3.8%2.4%628.2K-26.0M-52.8K0.5841.441,0806296,6943,142
2017-08-10$54.26$44.0028.4%8.1%23.7%76.4%27.9%6.0%-0.6%466.2K-20.5M-56.0K1.0843.041,1301,2266,7223,175
2017-08-11$54.33$44.0029.2%8.4%23.3%81.2%29.2%7.3%-0.1%486.8K-19.6M-61.5K1.1533.551,1131,2786,7843,481
2017-08-14$55.16$44.0025.0%7.2%23.3%56.9%23.6%5.6%1.3%653.0K-22.7M-57.8K1.1038.321,5551,7146,9383,648
2017-08-15$55.07$44.0024.2%6.9%22.9%52.1%25.3%4.5%2.8%699.0K-21.3M-68.6K1.0445.881,7591,8317,5424,544
2017-08-16$55.76$44.0023.0%6.6%22.9%45.1%25.0%4.7%2.9%748.1K-23.8M-65.7K1.2838.761,3221,6927,3184,797
2017-08-17$54.81$44.0026.3%7.5%23.9%64.0%28.8%5.9%1.1%689.2K-21.8M-68.6K1.5938.461,0521,6737,5384,695
2017-08-18$55.28$44.0026.1%7.5%24.0%63.2%26.8%4.5%1.5%343.4K-23.6M-68.0K1.5238.571,1281,7127,5924,837
2017-08-21$56.30$44.0024.0%6.9%24.4%50.9%24.3%4.9%1.0%359.8K-19.4M-68.0K1.8838.596911,2976,2504,080
2017-08-22$56.33$44.0024.1%6.9%24.4%51.1%24.4%4.2%0.8%382.7K-19.7M-67.8K1.9037.036941,3186,3544,180
2017-08-23$56.90$44.0022.1%6.3%24.4%39.7%24.7%4.2%2.1%432.5K-21.7M-68.8K2.0238.426671,3476,5414,184
2017-08-24$56.43$44.0023.2%6.6%24.2%45.9%22.7%3.0%1.0%436.0K-20.5M-70.7K1.0739.611,2721,3596,5744,198
2017-08-25$55.43$44.0026.7%7.6%24.2%66.4%26.5%4.0%-0.5%492.8K-19.2M-77.1K1.5834.738191,2947,2674,404
2017-08-28$54.24$44.0027.7%8.0%25.4%72.8%27.4%5.0%-1.2%389.0K-16.2M-76.7K9.1740.389578,7717,5034,520
2017-08-29$54.58$44.0028.1%8.0%25.5%74.6%29.6%5.0%-0.2%-606.3K-6.5M-122.5K12.5660.586948,7147,60312,023
2017-08-30$55.42$44.0026.5%7.6%24.8%65.6%27.6%1.3%0.1%-459.3K-11.9M-116.2K13.6137.036408,7137,62812,074
2017-08-31$56.18$44.0024.5%7.0%25.0%53.5%25.6%2.9%1.0%-281.8K-15.4M-110.7K11.0839.917878,7197,71812,099