KWEB Options History — December 2019

In December 2019, KWEB traded between $45.82 and $49.48. ATM implied volatility averaged 24.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.5% (HV 20d: 17.8%). Max pain ranged from $44.74 to $47.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2019-12-02: Highest Volume — 7,081 contracts
  • 2019-12-11: Largest IV drop — 14.7% change
  • 2019-12-10: Highest IV Rank — 43.1%
  • 2019-12-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.82$45.82$49.48$46.52$48.74
Max Pain$45.92$44.74$47.74$46.00$47.74
ATM IV24.3%21.9%29.0%27.0%23.5%
Expected Move6.9%6.3%7.9%7.7%6.7%
HV 20d17.8%13.4%23.8%23.8%13.6%
HV 60d22.7%20.6%23.9%23.7%20.6%
IV Rank30.1%23.8%43.1%33.9%28.0%
IV Percentile16.0%4.4%48.4%32.9%10.3%
Term Structure0.3%-1.5%2.2%-0.8%0.5%
VWIV24.0%20.4%29.9%26.3%23.7%
Skew 25d2.5%0.9%4.1%2.6%1.4%
Skew 10d5.9%3.1%9.6%6.0%8.1%
Call IV 25d23.2%21.3%26.6%26.2%23.6%
Put IV 25d25.8%22.8%30.5%28.8%25.0%
Bid-Ask Spread %16.418.9035.2335.2310.77
Gamma HHI0.140.070.440.100.07
Net GEX4.0M1.1M12.8M1.9M1.9M
Net DEX-42.0M-74.6M-11.5M-23.7M-37.2M
Net VEX-447.6K-507.9K-399.3K-479.9K-400.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0415.350.040.63
Total Volume2,299.7142777,0817,081784
Total OI76,881.28670,06784,47673,24570,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$46.52$46.0027.0%7.7%23.8%33.9%26.3%2.6%-0.8%1.9M-23.7M-479.9K0.0435.236,80128035,93737,308
2019-12-03$46.03$46.0027.5%7.9%20.3%38.9%29.9%4.1%-1.0%1.4M-14.9M-482.5K0.4218.771,88278437,07537,517
2019-12-04$45.82$46.0027.6%7.9%20.1%39.4%28.1%3.5%-1.5%1.1M-11.5M-487.2K0.6024.112,9791,78937,54338,239
2019-12-05$46.61$44.7425.6%7.2%21.0%33.9%26.8%3.8%-0.1%2.1M-24.0M-507.9K0.2513.4088622338,72439,942
2019-12-06$47.07$44.7425.1%7.0%19.4%32.6%25.0%3.7%0.5%3.0M-33.8M-505.5K0.2613.222195839,26040,058
2019-12-09$46.61$44.7428.5%7.2%19.6%41.9%25.8%3.5%-0.1%2.3M-24.3M-487.1K0.1814.4674013639,06440,067
2019-12-10$46.62$44.7429.0%7.3%19.5%43.1%25.9%3.1%0.1%2.3M-23.4M-486.0K15.3513.10821,25939,57640,102
2019-12-11$47.03$44.7424.7%7.1%19.7%31.4%26.1%3.6%-0.1%2.6M-29.8M-480.2K0.1115.043714139,60641,307
2019-12-12$47.65$44.7423.8%6.8%19.4%28.8%24.4%3.8%0.4%3.9M-44.5M-475.0K2.7114.211,0662,89039,58141,308
2019-12-13$47.30$44.7422.9%6.6%18.9%26.5%22.1%2.1%1.1%3.8M-40.6M-462.4K0.0916.085915640,26140,983
2019-12-16$48.11$44.7423.1%6.6%19.4%26.9%23.0%1.6%0.4%6.1M-60.3M-440.5K0.0816.833,00724340,37741,014
2019-12-17$48.56$44.7422.6%6.5%19.1%25.5%22.6%2.4%0.4%7.7M-74.6M-439.0K7.4617.287055,25841,99541,101
2019-12-18$48.57$44.7423.0%6.6%19.0%26.7%23.3%1.9%0.3%8.4M-68.8M-424.1K0.8515.1535630140,48539,760
2019-12-19$48.58$44.7422.7%6.5%16.1%25.7%22.6%2.0%0.2%10.9M-65.6M-408.5K0.5323.763,8602,03140,26839,735
2019-12-20$48.69$47.7422.0%6.3%16.1%24.0%20.4%1.7%1.5%12.8M-59.6M-419.5K1.0618.5340042542,74141,735
2019-12-23$49.03$47.7421.9%6.3%15.6%23.8%21.8%1.9%0.8%2.5M-50.1M-407.4K0.2912.4469419932,06238,077
2019-12-24$49.11$47.7422.0%6.3%13.4%23.9%20.5%1.5%1.1%2.6M-51.0M-404.1K2.7015.6332387232,11538,195
2019-12-26$49.48$47.7422.4%6.4%13.5%25.1%21.0%0.9%0.8%2.9M-55.3M-401.0K0.1115.721,73418731,88239,018
2019-12-27$49.26$47.7422.0%6.3%13.6%24.0%21.6%2.0%2.2%2.5M-48.6M-402.3K0.3212.0352416731,16439,044
2019-12-30$48.86$47.7423.4%6.7%13.5%27.7%23.0%1.7%0.4%2.3M-40.5M-399.3K0.078.902,88920231,14339,071
2019-12-31$48.74$47.7423.5%6.7%13.6%28.0%23.7%1.4%0.5%1.9M-37.2M-400.0K0.6310.7748130330,83839,229