KWEB Options History — December 2017

In December 2017, KWEB traded between $54.83 and $59.02. ATM implied volatility averaged 24.7%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.3% (HV 20d: 24.3%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2017-12-15: Highest Volume — 5,462 contracts
  • 2017-12-13: Largest IV drop — 19.8% change
  • 2017-12-01: Highest IV Rank — 94.6%
  • 2017-12-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.14$54.83$59.02$55.74$58.62
Max Pain$56.15$56.00$58.00$56.00$56.00
ATM IV24.7%21.5%29.7%29.7%21.6%
Expected Move6.8%6.2%8.5%8.5%6.2%
HV 20d24.3%21.2%27.4%23.0%23.1%
HV 60d21.4%20.4%23.3%20.9%21.3%
IV Rank61.7%40.5%94.6%94.6%41.4%
IV Percentile74.0%47.2%99.2%99.2%48.8%
Term Structure1.3%-2.4%2.7%-2.4%2.1%
VWIV23.8%21.3%28.2%28.2%21.3%
Skew 25d3.4%1.6%5.2%5.2%2.5%
Skew 10d5.9%3.9%8.3%8.3%5.1%
Call IV 25d23.0%20.8%28.4%28.4%21.3%
Put IV 25d26.3%23.2%33.5%33.5%23.9%
Bid-Ask Spread %32.6622.1242.0142.0136.73
Gamma HHI0.200.120.260.120.23
Net GEX785.1K479.6K1.5M528.1K539.0K
Net DEX-26.0M-32.5M-16.4M-17.7M-30.8M
Net VEX-115.6K-134.1K-100.9K-109.5K-116.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.222.630.280.47
Total Volume1,940.21,0665,4623,4091,152
Total OI18,650.5516,07719,36316,07719,359

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$55.74$56.0029.7%8.5%23.0%94.6%28.2%5.2%-2.4%528.1K-17.7M-109.5K0.2842.012,67373611,0755,002
2017-12-04$55.00$58.0029.1%7.6%23.1%90.8%26.3%4.0%1.2%516.8K-16.9M-108.0K0.2926.441,90355411,6835,130
2017-12-05$54.95$57.0026.8%7.4%21.3%75.9%25.4%3.9%0.8%539.2K-16.7M-107.2K0.3925.751,45456612,0045,234
2017-12-06$54.83$56.0029.3%7.7%21.2%92.4%25.8%4.4%0.2%575.9K-16.4M-110.2K0.2228.272,58056512,2045,254
2017-12-07$55.40$56.0028.7%7.5%21.4%88.3%25.5%4.0%0.4%986.8K-20.5M-111.8K0.3922.121,37753113,2375,262
2017-12-08$55.76$56.0026.1%7.0%21.7%71.2%25.0%4.3%0.9%1.1M-22.4M-113.2K0.3528.431,38648913,4665,290
2017-12-11$56.99$56.0026.8%6.8%23.1%75.4%23.4%3.6%0.7%1.4M-31.1M-110.3K0.2725.421,76047913,5645,324
2017-12-12$55.75$56.0029.3%7.0%23.7%91.8%24.5%4.3%1.3%1.2M-21.3M-107.7K0.5726.621,14565813,4735,316
2017-12-13$57.16$56.0023.5%6.7%25.0%53.6%23.5%3.3%1.9%1.5M-32.5M-105.7K0.5524.871,19866313,5175,444
2017-12-14$56.42$56.0022.5%6.4%25.1%47.1%22.5%3.4%1.4%1.5M-24.1M-100.9K0.5636.911,12162513,5455,423
2017-12-15$56.92$56.0023.1%6.6%23.6%51.3%23.2%1.6%2.0%1.1M-24.4M-102.7K2.6338.831,5053,95713,6785,524
2017-12-18$58.96$56.0022.6%6.5%27.1%48.2%23.9%3.3%2.1%479.6K-31.5M-129.4K0.4532.5592741611,5197,434
2017-12-19$58.38$56.0022.7%6.5%27.1%48.9%23.0%3.8%2.2%526.3K-28.6M-133.0K0.4236.7493739611,7057,476
2017-12-20$58.17$56.0022.1%6.3%26.8%45.0%23.0%2.5%2.1%485.8K-27.8M-134.1K0.3541.361,01635111,7917,502
2017-12-21$59.02$56.0021.7%6.2%27.4%41.9%21.5%3.3%2.4%567.4K-32.2M-130.0K0.4838.6678937811,7777,494
2017-12-22$58.86$56.0021.5%6.2%27.2%40.5%22.2%2.5%2.7%564.3K-32.2M-123.7K0.6335.0572145411,8067,465
2017-12-26$58.56$56.0022.7%6.5%26.4%48.4%23.9%2.1%1.5%522.9K-30.4M-121.5K0.5635.4173441211,7927,526
2017-12-27$58.80$56.0022.0%6.3%26.3%43.9%23.0%2.6%2.3%559.1K-31.6M-119.0K0.5335.0474039011,7977,566
2017-12-28$58.60$56.0022.0%6.3%23.3%43.8%21.8%2.6%1.0%555.3K-30.8M-118.3K0.5036.0171035611,7897,564
2017-12-29$58.62$56.0021.6%6.2%23.1%41.4%21.3%2.5%2.1%539.0K-30.8M-116.1K0.4736.7378336911,7957,564