KNOP Options History — August 2013 In August 2013, KNOP traded between $22.35 and $24.65. ATM implied volatility averaged 37.4%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.5% (HV 20d: 32.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-08-19 : Highest Volume — 20 contracts2013-08-29 : Largest IV spike — 86.6% change2013-08-29 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $23.61 $22.35 $24.65 $23.98 $24.05 Max Pain $22.73 $22.50 $25.00 $25.00 $22.50 ATM IV 37.4% 21.3% 58.5% 28.2% 21.3% Expected Move 8.7% 6.1% 15.5% 8.1% 6.1% HV 20d 32.9% 25.8% 38.9% 34.6% 27.9% HV 60d 28.1% 26.5% 28.9% 26.5% 28.3% Term Structure -2.1% -21.8% 40.1% -3.0% 11.4% VWIV 27.5% 19.5% 33.5% 25.2% 19.5% Skew 25d 0.4% -39.1% 15.4% 1.5% 10.9% Skew 10d 0.3% -11.7% 32.9% -4.0% -2.1% Call IV 25d 28.9% 15.1% 65.9% 29.8% 17.3% Put IV 25d 29.2% 18.5% 67.4% 31.3% 28.2% Bid-Ask Spread % 129.64 109.72 153.24 127.73 127.74 Gamma HHI 0.58 0.45 0.70 0.57 0.51 Net GEX -5.6K -7.2K -3.7K -5.9K -5.5K Net DEX 46.1K -24.4K 92.5K 52.8K 13.5K Net VEX -648 -751 -513 -597 -622 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.818 0 20 0 0 Total OI 169.636 144 207 146 207
Daily Data (22 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 2013-08-01 $23.98 $25.00 28.2% 8.1% 34.6% 0.0% 0.0% 1.5% -3.0% -5.9K 52.8K -597 0.00 127.73 0 0 18 128 2013-08-02 $23.86 $25.00 32.1% 9.2% 34.0% 0.0% 0.0% 1.7% -4.9% -6.7K 51.6K -575 0.00 127.90 0 0 18 128 2013-08-05 $23.27 $22.50 52.0% 9.3% 35.4% 0.0% 0.0% 4.7% -4.3% -6.1K 69.5K -626 0.00 143.35 0 5 18 128 2013-08-06 $23.00 $22.50 44.0% 8.4% 35.7% 0.0% 0.0% 1.3% -3.8% -6.4K 74.6K -621 0.00 141.30 0 0 18 127 2013-08-07 $23.42 $22.50 43.4% 7.1% 36.2% 0.0% 0.0% 0.2% -5.8% -7.0K 66.6K -588 0.00 138.34 0 0 18 127 2013-08-08 $23.00 $22.50 47.7% 8.8% 36.4% 0.0% 0.0% -0.6% -2.3% -4.9K 77.1K -635 0.00 131.00 0 0 18 127 2013-08-09 $22.35 $22.50 35.8% 7.8% 36.3% 0.0% 0.0% 5.9% -3.5% -6.9K 92.5K -619 0.00 133.54 0 0 18 127 2013-08-12 $23.18 $22.50 49.7% 6.2% 38.8% 0.0% 0.0% 2.5% 5.0% -6.9K 70.6K -595 0.00 126.51 10 0 18 126 2013-08-13 $22.92 $22.50 58.5% 7.7% 38.9% 0.0% 0.0% 0.7% -3.1% -5.5K 63.4K -668 0.00 129.87 0 0 28 126 2013-08-14 $23.21 $22.50 43.4% 6.6% 38.5% 0.0% 25.2% 8.0% 6.1% -6.2K 56.2K -645 0.00 112.45 0 5 28 126 2013-08-15 $23.60 $22.50 32.5% 9.3% 37.4% 0.0% 28.5% 2.3% -9.5% -5.6K 50.0K -660 0.00 127.17 0 10 28 130 2013-08-16 $23.80 $22.50 31.3% 9.0% 37.1% 0.0% 31.2% -12.5% -14.5% -6.8K 32.5K -592 0.00 121.40 10 0 28 140 2013-08-19 $23.46 $22.50 49.4% 14.2% 37.0% 0.0% 0.0% 15.4% -21.8% -3.7K 59.3K -729 0.00 153.24 0 20 38 138 2013-08-20 $23.65 $22.50 23.7% 6.8% 30.3% 0.0% 0.0% 3.5% -4.5% -7.2K 36.5K -692 0.00 129.41 0 0 38 148 2013-08-21 $23.56 $22.50 30.8% 8.8% 27.0% 0.0% 27.3% 1.8% -2.1% -6.1K 51.8K -750 0.00 109.72 10 0 38 148 2013-08-22 $24.02 $22.50 28.6% 8.2% 28.0% 0.0% 0.0% -3.9% 40.1% -4.0K 30.0K -751 0.00 129.70 0 0 48 148 2013-08-23 $24.06 $22.50 28.4% 8.1% 27.6% 0.0% 33.5% 3.5% -6.9% -4.4K 16.5K -692 0.00 120.95 0 1 48 148 2013-08-26 $24.11 $22.50 23.8% 6.8% 26.1% 0.0% 0.0% 6.0% 9.6% -4.8K 17.5K -663 0.00 135.60 0 0 48 149 2013-08-27 $24.05 $22.50 35.0% 10.0% 25.8% 0.0% 0.0% 1.6% -10.2% -4.1K 20.5K -707 0.00 122.08 0 0 48 149 2013-08-28 $24.65 $22.50 29.0% 8.3% 27.3% 0.0% 0.0% -7.6% -6.8% -4.3K -24.4K -513 0.00 113.10 0 1 48 149 2013-08-29 $24.21 $22.50 54.0% 15.5% 27.8% 0.0% 19.5% -39.1% -12.0% -4.3K 36.2K -717 0.00 150.04 0 12 48 150 2013-08-30 $24.05 $22.50 21.3% 6.1% 27.9% 0.0% 0.0% 10.9% 11.4% -5.5K 13.5K -622 0.00 127.74 0 0 46 161
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