KWEB Options History — November 2017

In November 2017, KWEB traded between $56.72 and $61.23. ATM implied volatility averaged 23.7%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.7% (HV 20d: 20.0%). Max pain ranged from $49.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-11-01: Highest Volume — 3,665 contracts
  • 2017-11-27: Largest IV spike — 7.7% change
  • 2017-11-29: Highest IV Rank — 78.9%
  • 2017-11-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.84$56.72$61.23$57.07$56.72
Max Pain$53.43$49.00$56.00$54.00$56.00
ATM IV23.7%20.5%27.3%22.2%27.1%
Expected Move6.9%6.4%7.8%6.4%7.8%
HV 20d20.0%17.1%22.4%19.4%22.2%
HV 60d20.1%19.5%21.3%21.3%20.8%
IV Rank54.7%32.4%78.9%43.4%77.3%
IV Percentile74.0%34.5%96.4%59.1%96.0%
Term Structure0.6%-1.2%2.3%2.3%-0.8%
VWIV24.8%22.4%27.8%22.4%27.8%
Skew 25d2.1%-0.2%3.1%1.3%2.3%
Skew 10d4.9%0.2%7.8%1.0%5.8%
Call IV 25d23.6%21.6%27.4%22.5%27.4%
Put IV 25d25.7%23.8%29.7%23.8%29.7%
Bid-Ask Spread %30.5221.5575.2875.2826.35
Gamma HHI0.190.120.640.220.13
Net GEX715.4K211.3K2.0M311.1K563.0K
Net DEX-35.0M-47.3M-21.6M-24.5M-21.6M
Net VEX-95.0K-108.7K-85.7K-88.3K-108.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.371.210.400.66
Total Volume2,290.5241,3213,6653,6651,806
Total OI16,649.42912,61319,55916,30415,794

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$57.07$54.0022.2%6.4%19.4%43.4%22.4%1.3%2.3%311.1K-24.5M-88.3K0.4075.282,6161,0499,9246,380
2017-11-02$56.91$54.0021.1%6.7%19.4%36.4%24.6%3.1%1.3%211.3K-26.1M-96.1K0.5921.551,9381,15010,5106,431
2017-11-03$57.35$54.0020.5%6.6%19.6%32.4%24.5%2.7%0.5%346.6K-29.4M-96.6K0.8723.531,1661,01110,7086,474
2017-11-06$58.65$54.0021.4%6.4%21.3%37.9%23.8%2.0%2.1%683.1K-36.7M-93.4K0.7125.071,28090510,9386,471
2017-11-07$58.69$54.0021.9%6.5%20.9%43.7%23.7%1.8%2.0%699.9K-36.7M-92.0K0.9528.5097992710,8836,472
2017-11-08$59.15$54.0022.8%6.5%21.1%49.0%26.2%2.1%1.6%889.2K-39.7M-90.0K0.6026.791,54593010,9126,497
2017-11-09$58.90$49.0023.2%6.6%20.9%51.7%25.5%2.8%2.0%860.4K-39.8M-93.1K1.0727.991,5811,68811,3146,507
2017-11-10$58.22$53.0023.7%6.8%20.7%55.4%25.7%2.4%0.6%464.6K-36.8M-98.1K0.8123.901,16594811,6567,271
2017-11-13$58.90$52.0023.5%6.7%19.8%53.7%23.0%2.3%0.9%896.7K-41.5M-94.1K0.6330.241,6621,04011,7607,276
2017-11-14$57.92$52.0023.3%6.7%20.0%52.8%23.8%2.4%1.5%456.7K-36.0M-96.0K1.2127.251,0991,33311,9797,300
2017-11-15$58.44$52.0024.6%7.1%20.0%61.5%25.3%3.1%1.4%630.9K-38.2M-99.7K1.0424.871,0901,12912,1057,454
2017-11-16$59.85$52.0023.5%6.7%19.8%54.0%23.9%2.9%0.8%1.5M-47.3M-93.4K0.6528.071,6751,08512,0237,465
2017-11-17$60.07$52.0023.7%6.8%19.8%55.0%23.6%3.0%1.6%2.0M-46.8M-93.2K0.4833.192,0991,00811,8077,573
2017-11-20$60.56$52.0022.7%6.5%19.7%48.5%22.8%2.8%-0.3%600.6K-35.1M-85.7K0.3731.321,3945108,8283,785
2017-11-21$61.11$53.0024.2%6.9%19.8%58.3%24.7%0.9%-0.8%672.9K-38.2M-89.4K0.5224.739785049,3993,964
2017-11-22$61.23$54.0025.0%7.2%17.6%63.7%25.1%-0.2%-0.3%658.0K-38.6M-90.2K0.7037.627765459,4944,077
2017-11-24$60.53$55.0024.1%6.9%17.1%57.5%24.3%0.5%-0.1%625.6K-36.1M-92.0K0.4841.121,1335439,5654,228
2017-11-27$59.38$55.0025.9%7.4%18.8%69.7%26.3%1.5%-1.0%680.2K-32.6M-98.5K0.4632.661,13852210,1134,321
2017-11-28$58.98$55.0025.6%7.3%19.1%67.5%26.6%2.4%-1.0%698.2K-31.2M-101.6K0.4226.901,31355410,3934,415
2017-11-29$57.04$56.0027.3%7.8%22.4%78.9%27.5%2.5%-1.2%575.5K-22.8M-105.2K0.4423.991,58770010,6374,535
2017-11-30$56.72$56.0027.1%7.8%22.2%77.3%27.8%2.3%-0.8%563.0K-21.6M-108.7K0.6626.351,08572110,9444,850