KWEB Options History — September 2018

In September 2018, KWEB traded between $46.06 and $49.79. ATM implied volatility averaged 30.8%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.2% (HV 20d: 34.0%). Max pain ranged from $47.00 to $52.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2018-09-13: Highest Volume — 15,103 contracts
  • 2018-09-24: Largest IV spike — 11.3% change
  • 2018-09-10: Highest IV Rank — 74.5%
  • 2018-09-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.22$46.06$49.79$49.79$48.86
Max Pain$48.32$47.00$52.00$52.00$48.00
ATM IV30.8%28.0%34.8%30.8%29.1%
Expected Move8.7%8.0%9.3%8.8%8.3%
HV 20d34.0%32.3%35.9%33.0%32.3%
HV 60d29.6%28.1%30.4%28.1%29.9%
IV Rank56.8%44.2%74.5%56.3%48.8%
IV Percentile84.7%70.6%96.8%87.7%73.8%
Term Structure-0.9%-2.0%0.4%-1.7%-1.0%
VWIV30.7%27.8%33.1%33.1%31.9%
Skew 25d3.2%1.9%5.0%3.4%2.4%
Skew 10d6.3%2.7%9.5%5.9%5.2%
Call IV 25d29.3%27.6%31.5%29.8%28.4%
Put IV 25d32.5%29.5%34.9%33.2%30.8%
Bid-Ask Spread %23.4615.5434.4820.3315.78
Gamma HHI0.180.140.260.220.14
Net GEX1.7M-1.1M5.0M-267.1K4.6M
Net DEX-10.8M-61.2M33.9M1.9M-44.4M
Net VEX-271.7K-375.2K-169.7K-215.1K-375.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.201.360.610.40
Total Volume7,883.9473,47815,1033,5593,478
Total OI61,287.05339,29985,17939,29966,425

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$49.79$52.0030.8%8.8%33.0%56.3%33.1%3.4%-1.7%-267.1K1.9M-215.1K0.6120.332,2061,35322,85516,444
2018-09-05$47.76$52.0032.4%9.3%34.8%63.7%33.1%3.4%-0.8%-549.7K24.5M-181.8K1.2022.972,8793,44423,69716,489
2018-09-06$47.76$50.0031.5%8.8%34.7%59.8%29.9%4.0%-0.4%-614.1K22.4M-189.8K0.2924.345,0461,46824,63516,764
2018-09-07$47.55$50.0031.8%8.7%34.7%60.9%30.3%3.9%0.0%-104.3K19.2M-207.1K0.6423.982,9521,89128,27516,984
2018-09-10$46.06$48.0034.8%9.1%35.9%74.5%30.5%5.0%-0.8%-16.2K33.9M-169.7K0.8825.437,1936,35529,62517,131
2018-09-11$46.15$48.0034.4%9.1%35.6%72.5%31.1%3.6%-1.4%12.6K27.8M-207.7K0.9626.283,2673,14334,84419,702
2018-09-12$47.01$48.0031.0%8.9%32.9%57.4%30.9%3.7%-1.0%436.5K14.6M-231.3K1.0924.415,6286,10736,62020,086
2018-09-13$48.67$47.0030.1%8.6%33.2%53.6%29.8%3.8%-0.6%1.7M-21.5M-280.9K0.2034.4812,5642,53940,08222,039
2018-09-14$48.03$47.0029.7%8.5%32.9%51.6%30.4%3.1%-0.1%1.3M-6.9M-283.5K0.9333.722,4512,28447,74825,554
2018-09-17$46.90$47.0030.4%8.7%33.2%54.7%31.2%3.0%-0.3%-1.1M20.9M-243.3K0.8031.342,6642,13148,04526,714
2018-09-18$47.15$47.0030.3%8.7%32.4%54.4%30.1%2.6%-1.0%-1.1M16.8M-249.9K1.3623.492,7823,77549,21827,992
2018-09-19$48.73$47.0029.4%8.4%34.6%50.5%30.2%2.9%-0.9%1.9M-22.5M-284.6K0.4621.135,1942,37050,71427,170
2018-09-20$49.55$47.0029.3%8.4%35.0%49.9%29.8%2.8%-1.4%5.0M-50.0M-310.1K0.8221.655,8414,77253,20328,498
2018-09-21$49.71$48.0028.0%8.0%34.3%44.2%27.8%1.9%0.4%4.1M-39.2M-326.4K0.3421.425,9352,04454,00331,176
2018-09-24$48.46$48.0031.2%8.9%35.2%58.4%31.2%3.7%-1.0%3.6M-38.8M-312.0K0.7318.318,3086,09439,98213,531
2018-09-25$48.88$48.0030.2%8.6%33.6%53.7%31.2%3.3%-0.8%4.2M-45.2M-355.6K0.6121.214,0452,47344,43417,171
2018-09-26$49.70$48.0031.2%8.9%34.3%58.3%30.4%2.3%-2.0%4.7M-61.2M-367.9K0.2919.915,8321,68744,58717,759
2018-09-27$49.37$48.0030.4%8.7%34.3%54.9%31.1%2.4%-1.4%5.0M-57.5M-371.1K1.0815.543,6543,94646,46517,793
2018-09-28$48.86$48.0029.1%8.3%32.3%48.8%31.9%2.4%-1.0%4.6M-44.4M-375.2K0.4015.782,48499446,87719,548