KWEB Options History — January 2020

In January 2020, KWEB traded between $48.03 and $54.57. ATM implied volatility averaged 26.1%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 26.2%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2020-01-30: Highest Volume — 61,984 contracts
  • 2020-01-31: Largest IV spike — 22.6% change
  • 2020-01-31: Highest IV Rank — 60.7%
  • 2020-01-31: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.60$48.03$54.57$51.66$48.03
Max Pain$49.36$45.00$51.00$47.74$51.00
ATM IV26.1%21.1%35.4%23.6%35.4%
Expected Move7.5%6.6%10.1%6.8%10.1%
HV 20d26.2%22.6%33.3%23.3%25.4%
HV 60d23.3%22.3%24.5%23.4%23.6%
IV Rank35.1%21.4%60.7%28.2%60.7%
IV Percentile33.4%4.4%94.8%11.1%94.8%
Term Structure0.3%-4.1%2.2%-0.2%-4.1%
VWIV26.6%22.9%35.3%23.7%35.3%
Skew 25d3.1%0.5%7.4%0.5%7.4%
Skew 10d7.3%4.4%15.8%5.4%15.8%
Call IV 25d25.1%22.3%32.6%24.5%32.6%
Put IV 25d28.2%24.3%40.0%24.9%40.0%
Bid-Ask Spread %13.969.4418.0110.5717.00
Gamma HHI0.130.080.200.080.10
Net GEX5.0M-4.2M12.4M2.7M-1.4M
Net DEX-90.9M-204.5M44.6M-83.3M43.6M
Net VEX-608.7K-1.1M-371.7K-371.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.012.570.051.02
Total Volume16,045.1431,28561,98419,23016,065
Total OI109,784.57170,284199,08870,284199,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$51.66$47.7423.6%6.8%23.3%28.2%23.7%0.5%-0.2%2.7M-83.3M-371.7K0.0510.5718,32490630,91339,371
2020-01-03$51.27$49.7424.2%6.9%23.5%30.0%24.5%1.3%0.6%7.8M-101.8M-436.9K0.2414.125,0831,20445,16640,244
2020-01-06$51.34$45.0025.3%7.1%23.2%32.9%25.4%2.8%1.3%8.2M-101.1M-432.9K0.0818.012,94123145,43041,241
2020-01-07$52.00$45.0023.9%6.8%23.3%29.1%24.0%2.7%2.1%9.0M-119.1M-427.3K0.0516.522,86613545,29941,284
2020-01-08$52.43$45.0022.8%6.9%22.6%26.2%23.0%2.4%1.5%9.5M-134.9M-439.5K0.0116.4016,31116446,93241,333
2020-01-09$52.84$45.0022.4%6.6%22.6%25.0%23.6%2.1%1.7%11.8M-160.0M-463.5K0.3213.391,39344653,31241,426
2020-01-10$53.01$45.0021.1%6.7%22.6%21.4%23.9%1.8%2.2%12.4M-169.3M-453.3K0.8512.2011,5119,78253,35941,586
2020-01-13$54.57$51.0025.5%7.0%23.9%33.6%24.0%2.4%0.4%6.6M-204.5M-495.2K0.119.4425,4012,87656,08550,205
2020-01-14$53.80$51.0025.6%6.9%24.5%33.8%25.1%2.4%1.3%9.9M-188.4M-570.8K0.8812.013,6493,20863,80050,070
2020-01-15$53.75$51.0024.0%6.9%24.3%29.5%24.3%2.4%1.2%9.4M-183.6M-583.9K0.1712.548,5631,48964,19052,969
2020-01-16$53.85$51.0023.3%6.7%24.3%27.4%23.9%2.9%1.5%8.3M-185.8M-633.4K0.4812.3386841766,88154,388
2020-01-17$53.86$51.0023.0%6.6%24.3%26.8%22.9%1.7%1.9%6.5M-177.9M-622.0K0.1512.3116,5942,53465,16054,509
2020-01-21$52.36$51.0025.9%7.4%27.0%34.6%25.8%2.1%0.1%4.8M-87.1M-654.0K1.0215.805,3355,42455,67736,374
2020-01-22$51.94$51.0025.0%7.2%27.4%32.2%25.3%2.1%0.9%4.6M-79.8M-638.4K1.6714.232,1783,63155,73636,054
2020-01-23$51.15$51.0025.7%7.4%28.1%33.9%25.9%2.3%0.4%2.5M-49.1M-632.5K1.1014.2213,63814,95055,56339,051
2020-01-24$49.50$51.0028.7%8.2%30.7%42.4%30.0%3.9%-0.9%1.3M-12.4M-650.0K2.3714.195,86213,86764,83944,103
2020-01-27$48.41$51.0034.4%9.9%31.6%58.0%34.5%5.7%-3.1%-1.6M32.2M-697.7K2.5714.5010,85227,84361,69557,304
2020-01-28$49.30$51.0031.0%8.9%32.3%48.6%32.0%5.3%-1.8%-1.6M9.8M-812.7K1.9215.353,2376,22666,12567,973
2020-01-29$49.75$51.0028.0%8.0%32.3%40.2%29.5%5.2%-0.6%-1.8M-1.6M-831.4K1.8113.673,1905,77066,64770,198
2020-01-30$48.68$51.0028.9%8.3%33.3%42.8%32.7%5.9%-0.7%-4.2M44.6M-839.3K0.3714.2745,33516,64968,46775,429
2020-01-31$48.03$51.0035.4%10.1%25.4%60.7%35.3%7.4%-4.1%-1.4M43.6M-1.1M1.0217.007,9628,103109,03590,053