KWEB Options History — January 2018

In January 2018, KWEB traded between $61.34 and $68.35. ATM implied volatility averaged 25.0%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 22.5%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-01-17: Highest Volume — 5,653 contracts
  • 2018-01-16: Largest IV spike — 7.8% change
  • 2018-01-30: Highest IV Rank — 97.6%
  • 2018-01-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.65$61.34$68.35$61.34$66.03
Max Pain$56.05$56.00$57.00$56.00$56.00
ATM IV25.0%21.3%30.1%23.6%28.3%
Expected Move7.2%6.6%8.6%6.8%8.1%
HV 20d22.5%18.2%26.7%26.7%18.8%
HV 60d22.8%21.6%23.6%23.3%23.0%
IV Rank64.0%39.6%97.6%54.6%85.5%
IV Percentile80.9%46.0%99.6%79.0%95.6%
Term Structure0.9%-1.2%3.3%0.2%-0.6%
VWIV25.8%23.3%30.5%23.8%28.5%
Skew 25d1.4%-0.4%2.6%1.5%1.6%
Skew 10d3.8%0.7%7.0%2.3%5.6%
Call IV 25d25.3%22.1%30.1%23.0%28.2%
Put IV 25d26.7%23.8%32.6%24.5%29.8%
Bid-Ask Spread %50.7031.9869.4931.9869.49
Gamma HHI0.220.130.530.210.22
Net GEX1.2M729.1K2.7M729.1K1.5M
Net DEX-57.9M-73.0M-45.2M-45.2M-63.8M
Net VEX-108.7K-154.2K-78.0K-97.5K-149.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.141.690.391.69
Total Volume2,391.7141,3105,6532,4683,566
Total OI20,895.95219,17624,18719,27124,133

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$61.34$56.0023.6%6.8%26.7%54.6%23.8%1.5%0.2%729.1K-45.2M-97.5K0.3931.981,77369511,7247,547
2018-01-03$61.74$57.0022.9%6.6%25.9%49.9%23.3%0.3%0.4%811.1K-46.3M-95.5K0.5442.051,22266411,7477,456
2018-01-04$62.27$56.0022.3%6.6%25.7%45.9%23.6%1.5%2.3%817.9K-48.2M-92.3K0.4747.031,30661311,6947,580
2018-01-05$63.35$56.0021.3%6.7%25.8%39.6%24.0%1.6%1.8%809.0K-52.6M-83.6K0.3742.261,41452111,5837,593
2018-01-08$64.13$56.0022.8%6.8%25.9%49.1%23.7%1.8%-0.4%900.5K-55.4M-78.0K0.4354.391,61269111,6767,565
2018-01-09$64.23$56.0021.7%6.6%25.9%42.0%24.1%2.1%1.3%928.5K-53.8M-80.3K0.5053.531,60080311,5397,695
2018-01-10$63.40$56.0023.1%6.6%26.3%51.5%23.8%1.5%2.8%949.0K-50.1M-87.6K0.5543.751,28471211,8347,797
2018-01-11$63.61$56.0022.9%6.6%24.2%50.0%24.0%1.8%3.3%1.0M-50.1M-84.8K0.5146.591,39971811,7177,750
2018-01-12$64.00$56.0022.9%6.6%23.2%50.0%23.5%1.7%2.8%1.1M-51.9M-79.0K0.5852.561,24071811,5327,766
2018-01-16$63.77$56.0024.7%7.1%22.5%61.8%25.6%1.1%1.7%976.4K-49.0M-80.6K0.5657.351,52585911,4377,861
2018-01-17$64.81$56.0025.7%7.4%22.7%68.7%26.1%0.8%1.1%963.5K-53.1M-78.3K0.1446.484,97667711,4267,974
2018-01-18$64.75$56.0025.1%7.2%20.1%64.7%25.7%0.9%2.3%1.8M-65.6M-131.8K0.5447.891,25067315,3438,070
2018-01-19$65.09$56.0024.7%7.1%19.4%61.7%25.3%1.9%2.4%2.7M-67.4M-132.6K0.7151.821,16682715,2738,108
2018-01-22$65.32$56.0025.8%7.4%19.1%69.3%26.1%1.8%1.1%1.3M-62.5M-124.4K0.8851.6369661414,0596,984
2018-01-23$65.92$56.0026.5%7.6%18.9%73.6%27.0%0.7%-0.7%1.3M-64.6M-126.1K0.5447.041,04756214,0347,150
2018-01-24$66.23$56.0026.9%7.7%18.6%76.3%27.2%-0.4%-0.5%1.3M-66.0M-123.5K1.0148.431,3631,37414,1277,213
2018-01-25$66.78$56.0026.7%7.6%18.2%74.7%27.5%1.6%0.2%1.2M-66.8M-132.5K0.9059.861,1581,03914,4307,719
2018-01-26$68.35$56.0028.1%8.1%19.1%84.1%28.8%1.2%-0.4%1.1M-73.0M-129.1K0.3956.831,97876314,5247,823
2018-01-29$67.21$56.0029.6%8.5%20.6%94.1%30.5%1.6%-1.2%1.3M-69.2M-141.7K0.4248.001,96081715,1288,017
2018-01-30$65.40$56.0030.1%8.6%23.9%97.6%30.4%2.6%0.0%1.4M-61.2M-154.2K0.6665.811,41993215,9828,205
2018-01-31$66.03$56.0028.3%8.1%18.8%85.5%28.5%1.6%-0.6%1.5M-63.8M-149.9K1.6969.491,3282,23815,7538,380