KWEB Options History — September 2017

In September 2017, KWEB traded between $55.81 and $59.21. ATM implied volatility averaged 23.7%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 21.1%). Max pain ranged from $44.00 to $56.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.69.

Notable Days

  • 2017-09-12: Highest Volume — 7,179 contracts
  • 2017-09-05: Largest IV spike — 20.9% change
  • 2017-09-05: Highest IV Rank — 74.1%
  • 2017-09-05: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.47$55.81$59.21$56.66$56.88
Max Pain$54.80$44.00$56.00$44.00$56.00
ATM IV23.7%21.6%28.0%23.1%22.9%
Expected Move6.8%6.2%8.1%6.6%6.6%
HV 20d21.1%18.5%25.0%25.0%21.5%
HV 60d20.6%19.8%21.7%21.4%21.6%
IV Rank50.9%38.1%74.1%45.8%47.5%
IV Percentile68.9%46.8%94.4%66.7%63.9%
Term Structure1.7%0.4%2.8%2.8%1.4%
VWIV27.7%22.0%37.5%24.8%23.2%
Skew 25d3.1%1.7%5.3%1.8%2.4%
Skew 10d6.1%3.5%10.5%3.5%5.6%
Call IV 25d23.3%21.1%26.6%23.7%22.5%
Put IV 25d26.4%23.7%32.0%25.5%24.9%
Bid-Ask Spread %42.2627.1058.9746.1458.97
Gamma HHI0.240.190.330.230.26
Net GEX-27.8K-544.6K567.0K-145.2K-247.5K
Net DEX-23.5M-31.7M-14.5M-18.0M-22.5M
Net VEX-94.6K-109.4K-81.8K-108.5K-95.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.692.019.467.459.46
Total Volume5,914.25,1687,1795,9075,168
Total OI20,089.2518,62421,03119,89120,807

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$56.66$44.0023.1%6.6%25.0%45.8%24.8%1.8%2.8%-145.2K-18.0M-108.5K7.4546.146995,2087,80912,082
2017-09-05$55.91$55.0028.0%8.1%23.7%74.1%37.4%5.3%0.4%-257.9K-14.5M-109.4K4.5627.931,2055,4947,89211,885
2017-09-06$56.21$55.0026.4%7.7%23.6%64.9%36.8%4.6%1.9%-128.1K-16.9M-106.2K6.7327.877665,1527,94311,988
2017-09-07$57.06$55.0025.9%7.5%24.1%62.3%37.0%4.1%1.6%83.6K-20.2M-100.1K2.9928.801,7785,3137,89912,052
2017-09-08$56.53$55.0025.7%7.6%20.0%60.6%37.5%4.4%1.7%-58.0K-18.7M-106.6K6.2727.108255,1768,13712,232
2017-09-11$57.64$55.0025.7%7.1%20.9%60.9%33.2%2.8%1.3%353.1K-26.2M-88.5K4.3133.781,0924,7058,25312,258
2017-09-12$58.31$55.0021.8%6.8%20.7%38.1%31.6%1.7%0.5%567.0K-29.0M-82.8K2.0132.812,3834,7968,16012,280
2017-09-13$58.66$55.0022.5%6.5%20.7%42.1%23.1%2.8%2.4%491.6K-31.4M-87.3K3.5036.181,3854,8418,56512,227
2017-09-14$58.70$55.0022.0%6.3%20.4%41.6%31.6%3.8%2.5%395.0K-31.4M-87.6K5.1036.699514,8528,71112,286
2017-09-15$58.59$55.0021.6%6.2%19.1%39.2%22.0%3.1%2.3%-78.9K-31.7M-87.9K2.7235.331,7924,8788,74212,289
2017-09-18$59.21$55.0021.6%6.2%19.2%39.5%22.3%2.5%2.1%58.7K-27.9M-83.2K5.4135.688634,6677,46611,158
2017-09-19$59.00$55.0022.6%6.5%18.5%45.6%22.8%2.5%1.8%80.9K-28.7M-81.8K5.8135.928004,6517,75511,386
2017-09-20$58.68$55.0021.8%6.3%18.7%40.9%23.0%2.6%1.7%102.6K-27.8M-88.4K8.3552.065644,7117,97511,441
2017-09-21$58.13$56.0021.7%6.2%18.8%40.0%22.6%2.5%2.2%59.7K-26.6M-88.2K6.8154.876954,7358,05311,513
2017-09-22$58.26$56.0022.1%6.3%18.5%42.7%23.3%3.1%2.0%28.7K-26.2M-88.3K6.2951.037224,5418,02811,554
2017-09-25$55.81$56.0025.9%7.4%23.5%66.0%31.0%3.6%0.6%-507.0K-15.1M-102.1K5.6455.819295,2367,95911,577
2017-09-26$56.14$56.0024.3%7.0%22.1%56.2%23.6%2.7%2.1%-544.6K-17.2M-100.1K5.6056.568824,9418,13812,108
2017-09-27$56.71$56.0023.6%6.8%22.2%52.0%23.3%2.2%1.6%-399.2K-20.1M-99.0K6.9755.787074,9318,31912,132
2017-09-28$56.39$56.0024.5%7.0%21.8%57.6%23.1%2.5%1.1%-410.5K-19.5M-100.6K7.7555.996004,6508,57712,149
2017-09-29$56.88$56.0022.9%6.6%21.5%47.5%23.2%2.4%1.4%-247.5K-22.5M-95.3K9.4658.974944,6748,64312,164