KWEB Options History — October 2017

In October 2017, KWEB traded between $55.58 and $60.40. ATM implied volatility averaged 22.4%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.1% (HV 20d: 20.3%). Max pain ranged from $48.00 to $56.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2017-10-16: Highest Volume — 6,653 contracts
  • 2017-10-03: Largest IV spike — 10.4% change
  • 2017-10-03: Highest IV Rank — 64.7%
  • 2017-10-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.06$55.58$60.40$57.32$56.47
Max Pain$50.09$48.00$56.00$56.00$54.00
ATM IV22.4%20.3%25.6%23.2%22.8%
Expected Move6.5%5.8%7.4%6.7%6.5%
HV 20d20.3%17.4%23.5%21.4%19.0%
HV 60d21.4%20.8%22.1%21.6%21.2%
IV Rank44.4%31.0%64.7%49.6%46.9%
IV Percentile57.0%30.2%86.9%68.3%64.3%
Term Structure1.8%-1.7%3.8%1.7%1.3%
VWIV22.9%19.0%25.5%23.1%22.9%
Skew 25d2.1%0.6%3.3%2.3%1.6%
Skew 10d4.7%2.4%7.0%5.1%2.4%
Call IV 25d22.2%19.8%24.5%22.8%22.3%
Put IV 25d24.2%21.8%27.0%25.1%23.9%
Bid-Ask Spread %61.2150.3869.9061.8169.90
Gamma HHI0.220.150.290.220.24
Net GEX575.5K-84.4K1.4M-84.4K160.1K
Net DEX-29.9M-43.2M-15.5M-24.8M-20.6M
Net VEX-81.0K-92.0K-70.0K-92.0K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.878.498.490.91
Total Volume4,763.8181,7206,6535,2402,392
Total OI19,959.04513,36723,45520,93415,688

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$57.32$56.0023.2%6.7%21.4%49.6%23.1%2.3%1.7%-84.4K-24.8M-92.0K8.4961.815524,6888,73712,197
2017-10-03$58.26$56.0025.6%7.4%21.4%64.7%24.0%2.0%-1.7%81.3K-29.2M-87.7K7.0855.296534,6258,81412,218
2017-10-04$58.04$56.0023.7%6.8%21.5%52.3%24.1%0.9%0.5%90.0K-28.8M-89.9K6.7060.526954,6579,01612,273
2017-10-05$58.20$48.0024.0%7.1%20.9%54.3%25.5%2.2%1.4%253.3K-30.7M-86.5K3.6352.961,2964,7119,16612,403
2017-10-06$58.27$48.0023.5%7.0%20.6%51.6%25.4%2.7%0.9%374.9K-30.7M-89.5K3.5651.561,3184,6899,69612,577
2017-10-09$58.36$48.0023.9%6.9%19.4%53.5%24.8%2.4%1.9%646.8K-32.5M-84.0K3.6550.381,2754,6569,78912,683
2017-10-10$59.02$48.0022.1%6.6%19.4%42.5%24.4%2.6%2.8%986.7K-35.6M-79.2K2.9254.771,6324,7599,76312,742
2017-10-11$58.95$48.0023.0%6.6%19.3%48.1%23.6%2.2%2.4%821.6K-34.9M-83.6K2.8055.621,6484,6179,97312,886
2017-10-12$58.43$48.0022.4%6.4%19.6%44.6%24.3%1.6%3.1%805.1K-32.9M-83.0K3.0856.751,5834,87310,00212,908
2017-10-13$59.25$48.0021.8%6.3%20.2%40.7%22.8%1.1%2.4%1.0M-36.8M-79.0K3.2556.451,4244,6349,95213,134
2017-10-16$60.40$48.0021.3%6.1%21.0%37.4%21.7%0.6%3.6%1.2M-43.2M-70.2K2.2465.122,0544,5999,88413,169
2017-10-17$59.50$48.0021.1%6.0%21.7%35.9%21.0%2.2%2.8%1.1M-38.2M-73.5K3.1759.151,4494,5879,82113,241
2017-10-18$60.08$48.0020.3%5.8%21.8%31.3%19.0%2.0%2.3%1.4M-41.6M-70.0K4.2258.951,1124,6969,82613,263
2017-10-19$58.59$48.0020.8%6.0%23.5%34.6%21.0%1.0%2.7%807.4K-32.6M-75.2K3.0466.841,5224,6299,90713,359
2017-10-20$58.44$48.0020.3%5.8%23.5%31.0%21.0%2.1%3.8%778.4K-33.5M-75.4K4.6063.751,0184,68410,08613,369
2017-10-23$58.06$48.0021.0%6.0%17.4%35.3%21.1%2.9%1.1%801.4K-29.5M-75.3K1.0765.818459018,9604,407
2017-10-24$57.94$48.0020.6%5.9%17.4%33.2%20.9%2.9%1.6%753.6K-28.6M-75.9K1.1167.818179038,9974,557
2017-10-25$56.70$48.0022.7%6.5%18.9%46.5%23.5%2.9%0.9%627.1K-23.6M-77.6K2.0066.331,1252,2499,0174,639
2017-10-26$55.84$53.0022.3%6.4%19.6%43.7%22.8%2.1%1.1%20.1K-17.3M-83.6K0.8767.629798559,1616,059
2017-10-27$55.64$53.0022.3%6.4%19.3%43.7%22.5%1.8%0.9%-32.9K-16.1M-82.3K1.1069.859171,0119,2106,075
2017-10-30$55.58$54.0024.0%6.9%19.0%54.6%24.4%3.3%1.1%-31.9K-15.5M-84.4K0.8869.281,3141,1619,2806,195
2017-10-31$56.47$54.0022.8%6.5%19.0%46.9%22.9%1.6%1.3%160.1K-20.6M-84.9K0.9169.901,2511,1419,5516,137