KWEB Options History — September 2020

In September 2020, KWEB traded between $66.03 and $72.67. ATM implied volatility averaged 35.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.0% (HV 20d: 30.5%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2020-09-04: Highest Volume — 13,619 contracts
  • 2020-09-09: Largest IV drop — 17.3% change
  • 2020-09-08: Highest IV Rank — 35.8%
  • 2020-09-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.25$66.03$72.67$72.67$68.16
Max Pain$69.81$67.00$71.00$67.00$70.00
ATM IV35.5%32.1%44.0%35.9%33.9%
Expected Move10.1%9.2%11.3%10.3%9.7%
HV 20d30.5%27.5%32.8%29.6%27.8%
HV 60d30.6%29.4%31.2%29.4%29.8%
IV Rank22.5%17.1%35.8%23.2%20.0%
IV Percentile60.1%44.0%90.5%66.7%50.4%
Term Structure2.6%-0.7%4.1%-0.3%3.6%
VWIV36.4%32.9%39.3%37.1%37.2%
Skew 25d4.2%2.1%5.9%2.1%3.4%
Skew 10d8.5%6.0%12.1%6.0%6.9%
Call IV 25d33.9%30.5%37.6%35.8%32.9%
Put IV 25d38.0%34.5%43.5%38.0%36.3%
Bid-Ask Spread %15.568.3229.3623.2016.35
Gamma HHI0.080.050.220.070.06
Net GEX-474.9K-3.8M2.8M2.6M-92.2K
Net DEX-47.0M-122.4M-2.5M-121.5M-43.5M
Net VEX-752.3K-888.1K-696.2K-765.4K-697.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.046.240.160.93
Total Volume3,846.42950613,6193,8669,548
Total OI101,407.33389,986114,14295,66395,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$72.67$67.0035.9%10.3%29.6%23.2%37.1%2.1%-0.3%2.6M-121.5M-765.4K0.1623.203,32154540,15855,505
2020-09-02$72.60$67.0036.8%10.5%28.9%24.5%39.1%2.1%-0.7%2.8M-122.4M-800.8K4.6014.271,9048,75741,69955,907
2020-09-03$69.64$71.0042.5%11.3%32.6%33.5%39.3%5.9%1.5%-984.1K-49.3M-888.1K0.2016.272,83656141,47164,480
2020-09-04$69.83$71.0039.7%10.9%27.5%29.1%38.5%5.6%3.3%-972.0K-56.2M-855.0K5.3017.352,16111,45842,47164,493
2020-09-08$66.76$70.0044.0%11.3%31.9%35.8%37.9%5.8%1.6%-1.2M-19.4M-835.0K1.9313.772,8105,41443,18661,834
2020-09-09$67.45$70.0036.4%10.4%32.0%23.9%36.1%4.5%2.9%-990.6K-31.8M-817.3K0.9215.581,3401,23944,33962,929
2020-09-10$66.03$70.0036.1%10.4%32.6%23.5%37.1%4.8%3.0%-2.5M-2.5M-785.0K0.2416.121,39032744,73263,853
2020-09-11$66.75$70.0034.9%10.0%32.7%21.6%36.3%5.1%3.1%-2.2M-17.1M-795.3K0.6525.7097263344,70264,027
2020-09-14$68.49$70.0033.8%9.7%32.8%19.9%34.0%3.5%3.5%-850.9K-55.7M-747.3K0.4311.2859825544,83164,460
2020-09-15$69.08$70.0032.6%9.3%31.4%17.9%33.4%3.3%3.5%236.3K-69.6M-728.1K0.3913.991,29950845,00964,512
2020-09-16$69.16$70.0032.1%9.2%30.9%17.1%32.9%3.1%4.1%949.8K-75.3M-713.6K0.4017.6196438245,84764,749
2020-09-17$68.56$70.0032.2%9.2%30.9%17.4%35.4%4.1%4.0%-423.7K-61.7M-721.0K6.2429.366594,11146,07264,759
2020-09-18$68.33$70.0032.1%9.2%30.8%17.1%34.0%4.2%3.7%-3.8M-52.1M-696.2K0.4414.362,6311,15745,75468,388
2020-09-21$67.87$70.0034.5%9.9%30.9%21.0%37.2%4.3%2.8%-6.7K-40.0M-703.7K0.2611.391,93649736,02453,962
2020-09-22$67.72$70.0033.8%9.7%30.3%19.9%37.8%4.6%3.0%-54.3K-37.0M-714.9K0.3011.4555216436,36654,224
2020-09-23$67.32$70.0035.5%10.2%29.5%22.5%35.8%4.6%2.3%-148.6K-33.4M-715.6K0.1712.8664910836,57354,330
2020-09-24$66.51$70.0035.5%10.2%29.5%22.6%37.0%4.5%2.1%-507.9K-22.2M-709.3K0.2212.091,48932336,59254,414
2020-09-25$66.40$70.0035.5%10.2%29.5%22.5%39.0%4.8%2.4%-556.7K-21.4M-706.5K1.508.321,9442,92237,34454,653
2020-09-28$67.10$70.0034.2%9.8%29.6%20.5%34.2%3.8%2.5%-555.7K-29.1M-705.0K0.1916.401,60430137,96256,772
2020-09-29$66.83$70.0033.7%9.7%29.0%19.7%34.6%3.6%2.7%-691.1K-26.3M-698.2K0.049.014881838,04356,986
2020-09-30$68.16$70.0033.9%9.7%27.8%20.0%37.2%3.4%3.6%-92.2K-43.5M-697.3K0.9316.354,9534,59538,15156,991