KWEB Options History — March 2018

In March 2018, KWEB traded between $60.16 and $67.50. ATM implied volatility averaged 30.4%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.5% (HV 20d: 29.8%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-03-14: Highest Volume — 5,326 contracts
  • 2018-03-22: Largest IV spike — 29.7% change
  • 2018-03-13: Highest IV Rank — 84.5%
  • 2018-03-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.77$60.16$67.50$62.95$61.24
Max Pain$66.52$64.00$68.00$65.00$68.00
ATM IV30.4%23.2%36.6%33.3%29.0%
Expected Move8.3%6.7%9.7%9.6%8.3%
HV 20d29.8%21.8%36.9%36.9%35.5%
HV 60d28.9%27.1%32.4%28.4%31.2%
IV Rank59.8%31.3%84.5%71.6%54.5%
IV Percentile88.7%55.2%98.8%98.4%85.3%
Term Structure0.2%-2.7%2.7%-1.1%0.6%
VWIV29.3%19.6%35.2%35.2%28.8%
Skew 25d4.2%1.9%6.7%4.0%4.9%
Skew 10d8.6%-14.5%17.3%12.6%9.9%
Call IV 25d27.6%23.7%31.9%31.9%26.1%
Put IV 25d31.8%26.9%35.9%35.9%31.0%
Bid-Ask Spread %37.6518.6071.5267.7536.36
Gamma HHI0.200.100.320.270.13
Net GEX1.6M1.0M2.4M1.9M1.1M
Net DEX-45.6M-69.8M-17.3M-43.7M-22.6M
Net VEX-141.8K-178.9K-114.7K-178.4K-122.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.161.390.951.26
Total Volume2,195.191,1565,3261,1562,049
Total OI17,952.33314,82320,54719,80117,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$62.95$65.0033.3%9.6%36.9%71.6%35.2%4.0%-1.1%1.9M-43.7M-178.4K0.9567.7559256416,0613,740
2018-03-02$63.99$65.0033.9%9.7%36.7%74.0%34.0%2.0%-1.3%1.9M-48.3M-178.9K0.7371.5281059215,9963,829
2018-03-05$64.08$65.0032.4%8.4%34.9%67.7%31.4%5.9%1.2%2.0M-49.2M-171.5K0.6518.6092059615,8843,866
2018-03-06$64.65$64.0031.6%8.4%32.7%64.9%31.0%4.7%0.4%2.1M-53.1M-168.4K0.8919.7067159615,9753,876
2018-03-07$65.44$64.0032.7%8.6%32.7%69.0%32.2%4.3%1.1%2.1M-58.8M-168.3K0.8122.4570557316,0683,897
2018-03-08$65.69$64.0035.2%8.4%31.7%78.9%32.6%1.9%-1.2%2.1M-57.5M-169.0K0.8369.2568956915,9573,936
2018-03-09$67.12$64.0027.3%7.7%26.3%47.5%28.8%4.2%0.5%2.2M-67.9M-156.8K0.8920.3173365115,9323,959
2018-03-12$67.39$64.0031.6%7.8%26.1%64.5%27.4%3.3%0.7%2.1M-69.8M-146.7K0.9325.4696590215,8483,955
2018-03-13$65.87$66.0036.6%7.9%27.2%84.5%28.4%4.5%0.4%2.3M-59.8M-157.0K0.9922.901,1381,12516,1764,262
2018-03-14$66.42$68.0028.3%8.1%26.1%51.6%29.0%4.4%0.7%2.4M-63.0M-156.9K0.1634.354,58274416,2354,312
2018-03-15$67.09$68.0026.9%7.7%22.1%46.2%26.7%3.2%0.7%1.5M-53.0M-114.7K1.3932.911,1521,60512,7054,346
2018-03-16$67.09$68.0025.7%7.4%21.8%41.2%26.3%2.3%1.6%1.0M-52.6M-116.7K0.8135.091,8281,48712,8274,789
2018-03-19$66.06$68.0027.7%7.9%22.5%49.3%27.1%3.2%-0.5%1.1M-40.8M-121.8K1.2436.899321,15611,1193,704
2018-03-20$67.50$68.0027.3%7.8%23.6%47.4%28.0%5.2%0.1%1.1M-45.7M-120.2K1.1229.729401,05311,1973,747
2018-03-21$67.15$68.0023.2%6.7%23.7%31.3%19.6%6.7%2.7%1.1M-45.2M-117.4K1.2749.4573493411,3153,785
2018-03-22$63.16$68.0030.1%8.6%32.4%58.7%28.8%4.0%-0.3%1.1M-29.9M-119.2K0.8246.142,0671,70511,3713,831
2018-03-23$62.12$68.0031.6%9.1%31.2%64.9%30.6%4.4%-0.2%1.1M-25.3M-124.4K1.0732.501,1341,21711,5244,185
2018-03-26$63.83$68.0028.6%8.2%32.9%52.9%28.0%4.6%0.6%1.1M-31.4M-123.9K0.6528.601,7881,16311,6254,359
2018-03-27$61.23$68.0032.7%9.4%34.4%69.0%30.1%6.4%-2.7%1.1M-22.1M-124.3K1.1746.281,0031,17812,2924,542
2018-03-28$60.16$68.0032.0%9.2%34.9%66.2%31.7%4.8%-0.2%1.0M-17.3M-120.3K1.3344.439691,28812,3194,639
2018-03-29$61.24$68.0029.0%8.3%35.5%54.5%28.8%4.9%0.6%1.1M-22.6M-122.9K1.2636.369051,14412,3384,676