KWEB Options History — November 2020

In November 2020, KWEB traded between $71.99 and $77.77. ATM implied volatility averaged 37.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.0% (HV 20d: 36.1%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.93.

Notable Days

  • 2020-11-10: Highest Volume — 35,037 contracts
  • 2020-11-11: Largest IV drop — 20.7% change
  • 2020-11-03: Highest IV Rank — 48.0%
  • 2020-11-03: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.34$71.99$77.77$72.22$75.62
Max Pain$70.05$70.00$71.00$70.00$71.00
ATM IV37.2%29.8%51.8%49.5%32.5%
Expected Move10.4%8.5%14.9%14.2%9.3%
HV 20d36.1%22.2%41.3%23.0%40.9%
HV 60d29.3%24.7%31.3%24.8%30.2%
IV Rank25.1%13.5%48.0%44.3%17.8%
IV Percentile57.0%22.6%94.4%93.7%33.3%
Term Structure-1.3%-9.3%1.6%-7.4%0.7%
VWIV38.3%31.8%54.2%53.7%34.7%
Skew 25d6.0%4.2%9.0%8.3%5.8%
Skew 10d12.8%8.4%16.5%14.8%11.7%
Call IV 25d34.0%28.4%47.7%46.0%30.7%
Put IV 25d40.0%33.6%56.7%54.3%36.5%
Bid-Ask Spread %18.6211.7630.9430.9426.21
Gamma HHI0.100.060.300.070.09
Net GEX3.9M-4.2M13.6M3.2M3.4M
Net DEX-215.8M-310.1M-81.1M-149.5M-174.3M
Net VEX-1.1M-1.2M-962.0K-1.2M-970.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.1011.562.550.68
Total Volume9,093.751,54535,0373,1165,116
Total OI175,707.05121,631217,950153,194129,250

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$72.22$70.0049.5%14.2%23.0%44.3%53.7%8.3%-7.4%3.2M-149.5M-1.2M2.5530.948772,23971,88481,310
2020-11-03$71.99$70.0051.8%14.9%22.2%48.0%54.2%9.0%-9.3%3.0M-143.2M-1.2M11.5621.341,71619,83971,88481,310
2020-11-04$76.76$70.0041.3%11.8%31.2%31.5%44.1%4.7%-4.7%3.9M-276.5M-1.2M1.3826.177,36110,17773,125102,082
2020-11-05$77.21$70.0039.9%10.4%31.2%29.4%37.1%4.4%-1.2%5.1M-289.5M-1.2M2.8219.002,5037,06075,133103,951
2020-11-06$77.77$70.0036.7%9.7%30.7%24.4%34.1%4.8%-0.5%4.9M-310.1M-1.2M0.2215.125,1231,12275,511109,455
2020-11-09$76.05$70.0041.2%9.9%31.4%31.4%36.0%4.2%-0.9%3.7M-260.0M-1.1M1.5319.904,1216,28577,032112,762
2020-11-10$72.22$70.0045.2%10.6%36.7%37.7%36.4%5.8%-1.6%-4.2M-81.1M-1.2M2.2617.1810,74824,28976,219116,988
2020-11-11$73.36$70.0035.9%10.3%36.8%23.1%37.6%5.9%-1.1%-2.5M-133.8M-1.2M3.5124.352,5208,85676,908121,966
2020-11-12$74.76$70.0036.1%10.3%37.1%23.4%37.7%6.8%-1.1%72.7K-195.1M-1.2M0.7114.594,0842,91177,924126,262
2020-11-13$77.38$70.0035.7%10.2%38.7%22.9%37.6%6.3%-1.0%3.6M-294.4M-1.1M0.2612.373,9961,05577,294128,787
2020-11-16$76.83$70.0034.7%10.0%38.4%21.3%36.8%6.1%-0.6%5.5M-297.9M-1.0M0.1219.223,34340977,109129,245
2020-11-17$75.22$70.0035.3%10.1%39.1%22.2%38.9%6.2%-0.8%4.8M-233.9M-1.0M1.5219.392,6964,10377,118129,301
2020-11-18$73.23$70.0036.0%10.3%40.2%23.3%38.9%7.5%-1.0%-3.6M-136.6M-1.1M2.0819.963,1766,61276,490132,573
2020-11-19$75.05$70.0035.2%10.1%40.9%22.0%39.2%6.7%-0.8%13.6M-247.3M-1.0M0.4715.102,9341,37277,347138,352
2020-11-20$76.24$70.0033.0%9.5%41.1%18.6%34.3%6.7%0.4%12.4M-310.0M-1.0M0.1714.399,1241,59078,367139,583
2020-11-23$75.50$70.0032.1%9.2%41.3%17.2%34.7%5.8%1.0%4.5M-175.9M-1.0M0.4411.761,74576960,49061,141
2020-11-24$76.37$70.0030.8%8.8%40.6%15.2%34.4%5.4%1.4%5.1M-196.4M-992.5K1.0117.181,7521,76260,61861,717
2020-11-25$75.59$70.0029.8%8.5%40.6%13.5%31.8%5.1%1.6%5.0M-184.8M-1.0M0.1014.771,40014562,37362,188
2020-11-27$77.44$70.0031.0%8.9%40.7%15.5%34.5%4.5%1.3%5.6M-225.8M-962.0K5.1013.501,1385,80760,83462,258
2020-11-30$75.62$71.0032.5%9.3%40.9%17.8%34.7%5.8%0.7%3.4M-174.3M-970.9K0.6826.213,0492,06761,43867,812