KWEB Options History — March 2020

In March 2020, KWEB traded between $40.24 and $50.61. ATM implied volatility averaged 55.2%, placing in the 74.3% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 11.1% (HV 20d: 44.0%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2020-03-05: Highest Volume — 24,894 contracts
  • 2020-03-09: Largest IV spike — 32.7% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.40$40.24$50.61$49.58$45.18
Max Pain$49.86$48.00$51.00$51.00$48.00
ATM IV55.2%32.1%85.1%38.7%46.6%
Expected Move15.6%9.2%24.4%11.1%13.4%
HV 20d44.0%25.7%60.1%30.3%59.5%
HV 60d34.8%26.7%42.4%26.8%40.7%
IV Rank74.3%46.4%100.0%68.7%46.4%
IV Percentile97.1%83.7%100.0%96.4%93.7%
Term Structure-5.2%-10.4%-0.9%-4.1%-4.1%
VWIV51.7%29.9%76.1%34.9%44.8%
Skew 25d17.2%7.7%29.5%9.3%14.8%
Skew 10d30.5%18.0%43.3%20.5%32.1%
Call IV 25d46.0%28.0%69.0%35.1%40.9%
Put IV 25d63.2%36.1%98.5%44.4%55.7%
Bid-Ask Spread %31.6713.3258.0814.3119.81
Gamma HHI0.110.060.500.100.06
Net GEX304.0K-13.4M10.4M6.4M561.3K
Net DEX72.6M-74.5M205.4M-32.1M41.0M
Net VEX-849.0K-1.1M-631.7K-1.1M-657.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.098.860.280.31
Total Volume5,224.04554024,8948,176736
Total OI162,304.364103,495196,779166,639109,263

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$49.58$51.0038.7%11.1%30.3%68.7%34.9%9.3%-4.1%6.4M-32.1M-1.1M0.2814.316,3941,782100,39566,244
2020-03-03$49.43$51.0040.0%11.5%28.0%72.3%38.5%10.6%-6.1%6.5M-18.7M-1.1M0.1416.444,849658106,42767,179
2020-03-04$50.32$51.0032.1%9.2%25.8%50.9%36.7%8.1%-2.5%9.3M-47.4M-1.1M0.3016.113,4491,037105,51067,053
2020-03-05$50.61$51.0036.0%9.3%25.7%61.4%29.9%7.7%-0.9%10.4M-74.5M-1.1M3.2215.525,89618,998106,97866,706
2020-03-06$48.88$51.0041.5%10.7%27.8%76.3%35.3%11.6%-1.5%2.7M28.8M-1.1M0.3725.386,1942,314111,24682,484
2020-03-09$47.24$50.0055.0%13.8%29.9%100.0%47.9%19.5%-6.5%-487.1K89.3M-1.0M1.1313.32799900110,63283,906
2020-03-10$48.52$50.0046.0%11.7%31.6%78.3%44.0%13.9%-1.4%1.3M44.2M-1.1M1.3215.024,0405,336110,51784,274
2020-03-11$47.15$50.0046.2%13.2%32.2%78.9%48.5%15.6%-2.4%-1.0M89.4M-997.8K3.3435.991,0713,574113,43783,342
2020-03-12$43.73$50.0061.0%17.5%38.9%100.0%57.9%19.2%-4.4%-2.0M145.3M-891.9K3.1644.163,73111,786112,89981,642
2020-03-13$44.37$50.0062.3%17.9%39.8%100.0%55.1%21.0%-6.8%-2.4M143.3M-876.4K4.7952.125012,400111,65781,392
2020-03-16$41.39$50.0077.7%22.3%45.3%100.0%64.3%25.2%-8.5%-2.9M185.9M-734.6K0.3158.083,2521,024111,64681,243
2020-03-17$42.82$50.0069.2%19.8%48.1%86.8%60.6%22.4%-6.1%-3.9M170.1M-751.9K8.8645.528727,722111,37880,537
2020-03-18$40.24$50.0085.1%24.4%50.6%100.0%76.1%29.5%-8.9%-3.2M196.4M-691.2K0.6355.06554351111,59982,315
2020-03-19$41.45$50.0079.8%22.9%52.9%92.6%70.8%25.3%-10.4%-5.0M188.4M-709.3K2.1446.81396848111,55782,253
2020-03-20$41.69$50.0064.3%18.4%53.2%71.0%58.9%19.2%-3.8%-13.4M205.4M-668.0K0.1441.922,317313111,68484,878
2020-03-23$41.65$50.0064.6%18.5%52.9%71.4%64.5%20.7%-5.0%-11.5K60.1M-633.4K0.1520.021,44121860,51242,983
2020-03-24$44.36$50.0055.2%15.8%58.8%58.3%56.5%16.0%-6.1%340.1K44.8M-677.7K0.0939.325,36846960,53543,110
2020-03-25$45.33$50.0053.8%15.4%59.2%56.3%54.2%16.7%-6.2%1.2M26.0M-741.3K0.1732.5070012264,05543,273
2020-03-26$46.05$48.0049.4%14.1%59.4%50.2%51.1%14.3%-4.7%1.4M21.9M-737.9K0.2226.234429864,46043,299
2020-03-27$44.50$48.0057.3%16.4%60.1%61.3%56.4%18.4%-7.9%733.3K38.6M-693.2K0.1440.755798264,63743,313
2020-03-30$44.39$48.0051.9%14.9%58.9%53.7%50.8%19.7%-5.8%183.1K50.3M-631.7K0.2022.261,10021664,89543,351
2020-03-31$45.18$48.0046.6%13.4%59.5%46.4%44.8%14.8%-4.1%561.3K41.0M-657.8K0.3119.8156017665,75943,504