KWEB Options History — September 2021

In September 2021, KWEB traded between $46.20 and $54.85. ATM implied volatility averaged 46.4%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 6.9% (HV 20d: 53.4%). Max pain ranged from $46.00 to $53.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-09-01: Highest Volume — 199,932 contracts
  • 2021-09-20: Largest IV spike — 18.2% change
  • 2021-09-20: Highest IV Rank — 66.3%
  • 2021-09-20: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.66$46.20$54.85$53.48$47.41
Max Pain$49.86$46.00$53.00$46.00$48.00
ATM IV46.4%43.1%53.3%45.9%48.5%
Expected Move13.4%12.3%15.5%13.7%14.3%
HV 20d53.4%40.3%60.0%58.7%40.3%
HV 60d56.5%54.9%57.9%55.0%57.4%
IV Rank49.1%40.8%66.3%47.8%54.4%
IV Percentile86.4%78.6%98.0%87.3%89.3%
Term Structure-0.3%-1.1%0.8%-0.2%-0.5%
VWIV47.7%44.0%54.4%48.7%49.3%
Skew 25d4.7%2.9%6.7%2.9%5.6%
Skew 10d9.6%4.8%15.7%6.0%12.5%
Call IV 25d45.4%42.6%51.4%45.9%46.6%
Put IV 25d50.1%46.3%57.4%48.8%52.3%
Bid-Ask Spread %11.694.6223.4920.5210.62
Gamma HHI0.070.060.090.090.07
Net GEX12.7M-2.3M35.8M25.9M6.7M
Net DEX-250.6M-886.1M94.5M-728.0M-8.0M
Net VEX-5.7M-6.8M-5.1M-6.0M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.152.060.170.43
Total Volume54,777.23822,813199,932199,93230,061
Total OI870,714.952781,4451,005,954802,889843,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$53.48$46.0045.9%13.7%58.7%47.8%48.7%2.9%-0.2%25.9M-728.0M-6.0M0.1720.52171,01328,919514,555288,334
2021-09-02$52.86$51.0045.4%12.8%58.0%46.6%45.1%3.2%-0.2%27.3M-674.4M-6.1M0.785.9135,28327,528521,458291,491
2021-09-03$52.58$52.0045.0%12.6%57.8%45.5%45.1%3.5%-0.3%26.5M-660.3M-6.5M0.5519.7619,14510,585585,186302,586
2021-09-07$54.85$53.0043.5%12.3%58.2%41.7%44.0%3.4%-0.7%35.8M-886.1M-6.8M0.1514.71107,77715,642580,559302,337
2021-09-08$52.89$53.0043.1%12.3%60.0%40.8%45.8%4.0%-0.5%27.4M-636.1M-6.4M1.6912.9916,17727,291586,069307,727
2021-09-09$52.60$53.0044.0%12.4%60.0%42.9%44.6%4.3%-0.5%21.9M-533.0M-6.1M0.3823.4941,89615,831575,155314,621
2021-09-10$51.75$53.0044.7%12.7%59.3%44.7%44.4%3.6%-0.4%13.7M-402.6M-6.0M0.2221.3638,4458,280577,757337,920
2021-09-13$50.80$51.0044.6%12.8%59.0%44.6%46.7%3.7%-0.2%12.7M-331.3M-5.9M0.6510.1115,54510,105589,635333,621
2021-09-14$49.28$51.0045.6%13.0%58.3%46.9%49.3%4.6%-0.8%7.3M-163.1M-5.7M0.729.0029,18320,891624,025337,125
2021-09-15$48.53$51.0045.2%13.0%57.2%46.1%48.7%4.8%0.4%2.6M-61.1M-5.5M2.0611.5930,05261,973630,863340,798
2021-09-16$48.50$51.0045.8%13.1%56.8%47.5%47.4%3.4%0.4%-2.3M-31.6M-5.4M0.779.3538,04829,108623,394359,901
2021-09-17$48.93$50.0045.1%12.9%53.4%45.8%46.2%4.1%0.0%5.2M-115.1M-5.6M0.477.4341,87119,850639,622366,332
2021-09-20$46.20$48.0053.3%15.5%57.9%66.3%54.4%6.0%-1.1%4.0M82.7M-5.1M0.584.6225,16414,490520,053261,392
2021-09-21$47.07$48.0049.9%14.5%57.1%57.8%50.5%6.3%-0.9%5.1M26.3M-5.3M0.337.3619,7666,426530,023270,896
2021-09-22$48.59$48.0047.5%13.8%44.0%51.8%48.4%5.3%-0.6%9.9M-117.0M-5.6M0.3212.2631,3319,955540,954277,081
2021-09-23$48.50$48.0045.7%13.1%43.5%47.3%46.5%5.2%-0.4%10.5M-106.1M-5.5M0.807.1715,25612,263544,100277,394
2021-09-24$46.91$48.0046.9%13.4%44.8%50.2%47.8%5.5%0.8%6.4M44.8M-5.2M1.006.9019,52619,610560,859281,166
2021-09-27$48.08$48.0046.6%13.6%45.7%49.6%47.7%5.5%-0.2%11.0M-76.3M-5.4M0.478.9621,20110,015531,056270,704
2021-09-28$46.93$48.0049.7%14.6%46.1%57.2%51.8%6.7%-0.8%6.5M18.4M-5.3M1.718.4611,82820,179536,931276,127
2021-09-29$46.22$48.0049.0%14.3%44.3%55.6%50.1%6.2%-0.2%3.3M94.5M-5.2M0.4112.9516,1486,665548,523282,774
2021-09-30$47.41$48.0048.5%14.3%40.3%54.4%49.3%5.6%-0.5%6.7M-8.0M-5.3M0.4310.6221,0698,992552,174291,736