KWEB Options History — September 2019

In September 2019, KWEB traded between $40.88 and $44.82. ATM implied volatility averaged 26.4%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.0% (HV 20d: 22.4%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2019-09-27: Highest Volume — 8,769 contracts
  • 2019-09-27: Largest IV spike — 27.0% change
  • 2019-09-27: Highest IV Rank — 46.9%
  • 2019-09-27: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$40.88$44.82$42.07$41.28
Max Pain$43.45$41.00$45.00$41.00$45.00
ATM IV26.4%23.4%32.2%31.8%30.0%
Expected Move7.6%6.7%9.2%9.1%8.6%
HV 20d22.4%16.8%26.7%25.9%24.8%
HV 60d25.8%24.3%26.9%26.9%26.2%
IV Rank32.5%25.0%46.9%45.8%41.4%
IV Percentile16.1%4.8%51.6%45.2%36.1%
Term Structure0.6%-1.8%1.9%-1.0%-1.2%
VWIV27.5%23.7%34.1%31.4%30.3%
Skew 25d4.1%2.1%7.8%7.8%2.7%
Skew 10d9.8%5.0%17.1%14.1%8.0%
Call IV 25d24.6%21.9%29.8%28.2%29.0%
Put IV 25d28.7%25.2%36.0%36.0%31.8%
Bid-Ask Spread %17.3013.0420.7613.0416.52
Gamma HHI0.140.110.320.140.12
Net GEX2.3M122.0K6.7M1.5M122.0K
Net DEX-36.4M-73.3M21.0M-26.9M17.9M
Net VEX-478.0K-509.3K-364.7K-417.1K-478.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0426.990.353.82
Total Volume2,261.41398,7692795,087
Total OI77,815.971,91784,22373,40879,967

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$42.07$41.0031.8%9.1%25.9%45.8%31.4%7.8%-1.0%1.5M-26.9M-417.1K0.3513.042067338,12635,282
2019-09-04$42.42$41.0030.0%8.6%25.8%41.4%34.1%5.3%-0.8%1.7M-29.2M-500.7K0.5414.691,01754838,25435,336
2019-09-05$43.43$42.0027.4%8.0%26.7%34.9%28.0%5.3%0.2%2.3M-40.2M-364.7K0.1219.751,86122138,76835,202
2019-09-06$43.58$42.0025.9%7.5%26.0%31.3%28.8%4.0%0.6%2.5M-50.7M-509.3K0.1414.351,68123340,03635,317
2019-09-09$43.80$42.0026.2%7.3%25.4%31.9%27.9%5.3%1.9%2.7M-53.8M-509.2K0.3320.7649816241,06635,427
2019-09-10$43.48$42.0026.3%7.4%25.1%32.3%28.6%4.9%1.1%2.7M-47.9M-503.7K0.1018.495545541,33335,450
2019-09-11$44.42$42.0024.8%7.1%24.5%28.6%28.8%4.2%1.1%3.0M-67.0M-491.4K5.4218.966723,64541,32035,471
2019-09-12$44.59$43.0023.4%6.7%22.2%25.2%23.7%3.6%1.4%2.8M-73.3M-414.0K0.4417.861,21053641,61339,900
2019-09-13$44.82$43.0023.4%6.7%22.1%25.0%24.2%3.3%1.2%2.7M-69.6M-490.1K0.2415.162866840,98239,731
2019-09-16$44.19$43.0025.4%7.3%21.7%29.9%27.1%4.1%0.7%2.8M-59.1M-480.3K1.3618.608461,15140,88639,796
2019-09-17$44.38$43.0025.1%7.2%19.0%29.4%25.1%3.2%1.4%2.7M-61.2M-487.4K0.4415.471,04045841,09740,817
2019-09-18$44.31$45.0025.2%7.2%19.0%29.4%24.1%3.0%1.0%2.6M-50.4M-501.6K0.0420.501,8556841,60441,221
2019-09-19$44.41$45.0024.3%7.0%19.0%27.2%24.9%2.1%1.7%3.6M-53.8M-491.9K26.9918.491373,69741,81241,244
2019-09-20$43.98$45.0024.4%7.0%18.2%27.5%24.8%3.3%1.1%6.7M-39.9M-493.8K1.6518.4335658641,42642,797
2019-09-23$43.45$45.0024.5%7.0%16.8%27.8%24.3%3.6%1.1%1.2M-21.0M-478.9K0.2117.001,12723737,13734,780
2019-09-24$42.17$45.0026.3%7.5%20.0%32.3%27.8%2.9%0.7%737.2K1.2M-481.7K0.5017.662,3911,18937,79135,146
2019-09-25$42.84$45.0025.8%7.4%20.7%31.1%29.2%4.5%0.8%1.3M-11.7M-488.0K0.6915.021,5161,05339,64935,542
2019-09-26$42.60$45.0025.4%7.3%20.7%29.9%25.7%3.3%0.9%1.4M-11.3M-504.8K0.6717.17835641,66135,841
2019-09-27$40.88$45.0032.2%9.2%24.5%46.9%31.5%4.9%-1.8%403.8K21.0M-473.3K2.1518.072,7805,98941,62835,862
2019-09-30$41.28$45.0030.0%8.6%24.8%41.4%30.3%2.7%-1.2%122.0K17.9M-478.2K3.8216.521,0554,03241,12638,841