KWEB Options History — September 2023

In September 2023, KWEB traded between $26.55 and $29.66. ATM implied volatility averaged 36.1%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.8% (HV 20d: 31.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2023-09-01: Highest Volume — 273,612 contracts
2023-09-25: Largest IV spike — 4.3% change
2023-09-05: Highest IV Rank — 11.4%
2023-09-05: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.71	$26.55	$29.66	$29.66	$27.38
Max Pain	$28.50	$28.00	$29.00	$28.00	$28.00
ATM IV	36.1%	32.8%	40.0%	39.7%	35.2%
Expected Move	10.4%	9.4%	11.5%	11.5%	10.0%
HV 20d	31.4%	28.3%	35.4%	32.3%	28.9%
HV 60d	39.1%	37.6%	40.9%	39.7%	37.6%
IV Rank	5.1%	0.0%	11.4%	10.9%	5.6%
IV Percentile	6.4%	0.0%	25.0%	21.0%	2.4%
Term Structure	0.3%	-0.2%	0.8%	-0.1%	0.3%
VWIV	37.0%	33.6%	41.2%	41.2%	35.5%
Skew 25d	0.1%	-1.6%	1.0%	-1.6%	0.4%
Skew 10d	0.3%	-2.1%	1.9%	-2.1%	1.2%
Call IV 25d	36.7%	33.2%	41.9%	41.9%	35.3%
Put IV 25d	36.8%	33.6%	40.5%	40.3%	35.8%
Bid-Ask Spread %	6.65	1.79	28.39	2.72	2.72
Gamma HHI	0.08	0.07	0.12	0.09	0.12
Net GEX	14.7M	-2.5M	48.6M	48.6M	22.3M
Net DEX	-202.6M	-848.7M	49.9M	-848.7M	-156.5M
Net VEX	-4.3M	-5.6M	-3.7M	-5.6M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.10	2.33	0.16	0.73
Total Volume	72,150.85	21,818	273,612	273,612	97,741
Total OI	1,504,476.7	1,249,958	1,700,108	1,639,504	1,451,866

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-09-01	$29.66	$28.00	39.7%	11.5%	32.3%	10.9%	41.2%	-1.6%	-0.1%	48.6M	-848.7M	-5.6M	0.16	2.72	236,107	37,505	1,237,598	401,906
2023-09-05	$28.98	$29.00	40.0%	11.5%	32.9%	11.4%	41.0%	-1.0%	0.0%	36.6M	-555.7M	-5.1M	0.10	28.39	90,769	8,971	1,184,457	406,715
2023-09-06	$28.93	$29.00	39.5%	11.4%	32.2%	10.4%	40.3%	-0.8%	-0.0%	40.6M	-573.0M	-5.1M	0.79	2.59	20,358	15,996	1,225,329	410,534
2023-09-07	$27.70	$29.00	39.7%	11.3%	35.4%	10.7%	40.4%	0.1%	-0.2%	18.0M	-206.0M	-4.6M	0.54	3.05	74,408	40,475	1,216,569	423,186
2023-09-08	$27.48	$29.00	38.0%	11.2%	35.0%	6.6%	39.3%	0.0%	0.8%	12.1M	-115.6M	-4.3M	0.62	1.79	37,787	23,611	1,206,983	433,649
2023-09-11	$27.98	$29.00	37.3%	10.8%	32.8%	4.8%	38.3%	-0.1%	0.1%	19.3M	-246.0M	-4.4M	0.95	2.79	21,846	20,768	1,189,306	427,207
2023-09-12	$27.98	$29.00	36.8%	10.7%	32.8%	3.6%	37.9%	0.1%	0.4%	17.7M	-212.5M	-4.4M	0.63	2.10	19,239	12,052	1,196,917	440,741
2023-09-13	$27.74	$29.00	36.0%	10.5%	32.0%	1.7%	37.3%	-0.0%	0.7%	11.5M	-142.7M	-4.2M	2.33	2.65	20,053	46,771	1,203,882	449,279
2023-09-14	$27.95	$29.00	35.8%	10.4%	31.6%	1.2%	37.2%	0.1%	0.4%	12.2M	-166.9M	-4.3M	0.65	2.74	33,504	21,615	1,213,597	467,893
2023-09-15	$27.66	$29.00	34.5%	10.0%	31.7%	0.0%	35.6%	0.0%	0.6%	6.1M	-93.2M	-4.1M	0.52	16.93	44,363	22,868	1,223,148	476,960
2023-09-18	$27.66	$29.00	33.1%	9.5%	29.0%	0.0%	33.6%	0.4%	0.5%	9.1M	-131.2M	-4.0M	0.53	3.18	44,506	23,418	870,047	379,911
2023-09-19	$27.55	$28.00	32.8%	9.4%	29.0%	0.0%	33.8%	0.3%	0.3%	8.9M	-117.1M	-4.0M	0.27	2.40	19,300	5,130	886,673	382,701
2023-09-20	$27.16	$28.00	33.0%	9.5%	29.6%	0.4%	33.6%	0.1%	0.3%	4.0M	-49.5M	-3.9M	0.30	15.12	34,794	10,513	895,582	383,158
2023-09-21	$26.55	$28.00	33.6%	9.6%	29.5%	1.8%	33.9%	1.0%	-0.0%	-2.5M	49.9M	-3.7M	0.10	15.34	149,589	15,577	921,606	386,977
2023-09-22	$27.52	$28.00	33.8%	9.7%	32.4%	2.2%	34.5%	0.4%	-0.1%	7.1M	-158.7M	-4.1M	0.69	2.56	38,208	26,384	1,041,789	393,011
2023-09-25	$27.24	$28.00	35.2%	10.2%	32.5%	5.6%	35.8%	0.9%	0.4%	7.1M	-105.8M	-4.1M	0.26	5.83	22,014	5,829	999,289	394,861
2023-09-26	$26.95	$28.00	36.3%	10.4%	31.1%	8.1%	37.3%	1.0%	0.4%	5.1M	-66.4M	-4.0M	0.93	2.42	11,779	10,920	1,015,706	396,426
2023-09-27	$27.06	$28.00	36.2%	10.3%	28.4%	7.8%	36.8%	0.9%	0.3%	5.3M	-81.6M	-4.0M	0.39	15.35	15,675	6,143	1,023,044	398,466
2023-09-28	$27.01	$28.00	36.3%	10.4%	28.3%	8.2%	37.3%	0.5%	0.2%	5.1M	-75.9M	-4.0M	0.80	2.43	31,285	25,146	1,034,839	397,726
2023-09-29	$27.38	$28.00	35.2%	10.0%	28.9%	5.6%	35.5%	0.4%	0.3%	22.3M	-156.5M	-4.1M	0.73	2.72	56,648	41,093	1,055,050	396,816