KWEB Options History — December 2020

In December 2020, KWEB traded between $72.20 and $77.56. ATM implied volatility averaged 31.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.2% (HV 20d: 28.6%). Max pain ranged from $63.74 to $74.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2020-12-24: Highest Volume — 19,272 contracts
  • 2020-12-24: Largest IV spike — 19.9% change
  • 2020-12-28: Highest IV Rank — 26.4%
  • 2020-12-28: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.85$72.20$77.56$74.60$76.57
Max Pain$68.89$63.74$74.00$71.00$74.00
ATM IV31.8%27.8%38.0%33.1%35.6%
Expected Move9.2%8.0%10.9%9.5%10.2%
HV 20d28.6%21.2%41.3%41.3%30.0%
HV 60d29.2%28.1%31.7%30.3%31.6%
IV Rank16.8%10.4%26.4%18.7%22.6%
IV Percentile29.9%13.5%69.4%36.1%54.4%
Term Structure-0.6%-4.0%0.9%-0.3%-2.5%
VWIV33.0%27.9%42.2%33.5%34.7%
Skew 25d4.8%3.5%7.4%4.9%5.2%
Skew 10d10.9%8.1%16.3%11.2%10.9%
Call IV 25d30.3%26.7%35.7%31.7%33.7%
Put IV 25d35.1%30.2%42.2%36.6%38.9%
Bid-Ask Spread %25.6913.9140.1121.7813.91
Gamma HHI0.120.080.270.090.10
Net GEX4.4M-3.7M14.8M2.2M-486.6K
Net DEX-156.6M-267.9M14.1M-143.7M-75.0M
Net VEX-902.2K-996.6K-834.8K-987.9K-948.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.047.530.700.04
Total Volume5,1161,34319,2723,5703,324
Total OI128,572.04594,416146,548129,488127,422

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$74.60$71.0033.1%9.5%41.3%18.7%33.5%4.9%-0.3%2.2M-143.7M-987.9K0.7021.782,0971,47361,02068,468
2020-12-02$74.16$71.0033.4%9.6%41.3%19.2%36.0%4.9%-0.6%1.5M-130.9M-996.6K2.8619.584,07411,65161,57169,492
2020-12-03$75.12$63.7433.3%9.5%34.5%19.0%34.3%4.6%-0.1%2.0M-160.1M-995.4K2.1227.011,0172,15563,03574,595
2020-12-04$75.23$65.0031.4%9.2%34.4%16.1%34.1%4.6%0.4%3.7M-173.2M-962.3K1.8128.931,7433,15763,82771,253
2020-12-07$75.76$65.0031.6%9.3%34.4%16.3%33.0%4.1%-0.1%4.1M-194.1M-923.6K0.8230.7873960464,39473,863
2020-12-08$76.94$65.0029.5%8.9%33.9%13.2%31.7%3.9%0.1%6.1M-237.2M-860.6K2.6423.341,2533,30864,12274,234
2020-12-09$75.71$65.0030.5%8.7%28.6%14.7%31.5%4.6%0.2%3.9M-196.1M-904.3K0.7417.941,3541,00364,16676,577
2020-12-10$77.25$65.0030.4%8.7%28.9%14.6%31.4%4.0%0.3%6.4M-236.7M-887.4K0.0416.204,56818563,97676,918
2020-12-11$76.36$65.0030.7%8.8%28.7%15.1%31.9%5.1%-0.1%6.1M-213.6M-948.9K0.5624.921,18066466,37077,485
2020-12-14$75.90$65.0030.4%8.7%25.9%14.5%31.0%5.0%-0.1%5.5M-207.2M-885.2K1.0829.221,4751,59166,06077,741
2020-12-15$75.48$68.7430.1%8.6%25.8%14.2%29.9%4.9%-0.0%5.2M-206.4M-839.8K0.0531.842,40811366,21478,114
2020-12-16$76.51$70.0029.6%8.5%25.1%13.3%31.0%4.1%0.2%10.1M-238.7M-844.9K0.4932.401,54275666,05978,145
2020-12-17$77.38$70.0028.9%8.3%23.1%12.2%29.1%4.0%0.5%13.7M-261.8M-842.1K0.3424.182,49084366,11380,113
2020-12-18$77.56$70.0027.8%8.0%21.7%10.4%27.9%3.5%0.9%14.8M-267.9M-837.8K0.0426.178,28630366,38880,160
2020-12-21$77.07$70.0030.1%8.6%21.2%14.1%31.2%4.6%-0.6%5.1M-119.8M-847.7K1.1231.7874583743,97450,442
2020-12-22$75.58$70.0030.0%8.6%22.1%14.0%29.5%5.0%-0.4%4.6M-95.4M-834.8K0.2920.451,51143444,22150,659
2020-12-23$76.72$70.0028.9%8.3%22.3%12.2%28.1%4.6%0.4%5.0M-109.4M-840.2K0.4225.371,15748543,69250,884
2020-12-24$74.22$70.0034.6%9.9%25.1%21.2%36.7%6.2%-1.8%3.4M-71.0M-835.6K7.5328.512,26017,01243,93651,301
2020-12-28$72.20$74.0038.0%10.9%24.9%26.4%42.2%7.4%-4.0%-3.7M14.1M-905.8K2.9431.342,7087,95444,13570,159
2020-12-29$74.91$74.0037.8%10.8%27.5%26.1%41.7%5.8%-3.8%-2.4M-34.0M-949.8K3.3340.111,6815,59443,56377,215
2020-12-30$77.51$74.0034.8%10.0%29.6%21.5%35.9%5.6%-2.2%-181.2K-87.0M-969.1K0.3519.353,5811,23744,11682,393
2020-12-31$76.57$74.0035.6%10.2%30.0%22.6%34.7%5.2%-2.5%-486.6K-75.0M-948.6K0.0413.913,19013444,75982,663