KNOP Options History — January 2014 In January 2014, KNOP traded between $25.88 and $27.57. ATM implied volatility averaged 44.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 14.2% (HV 20d: 29.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-01-23 : Highest Volume — 20 contracts2014-01-14 : Largest IV spike — 84.2% change2014-01-14 : Highest IV Rank — 60.6%2014-01-03 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $26.45 $25.88 $27.57 $27.57 $26.80 Max Pain $24.55 $22.50 $25.00 $22.50 $25.00 ATM IV 44.0% 24.1% 90.7% 40.7% 33.0% Expected Move 9.1% 6.9% 15.5% 11.7% 9.5% HV 20d 29.8% 18.7% 35.1% 34.7% 18.8% HV 60d 26.5% 25.7% 27.6% 26.4% 26.0% IV Rank 21.2% 4.5% 60.6% 18.4% 11.9% IV Percentile 64.4% 17.0% 97.8% 76.0% 54.9% Term Structure -7.3% -43.5% 6.0% -13.0% -4.6% VWIV 28.0% 26.8% 29.3% 26.8% 29.3% Skew 25d -0.2% -11.3% 11.1% 0.9% 2.9% Skew 10d 2.7% -2.9% 10.2% 4.4% 7.0% Call IV 25d 28.7% 17.8% 43.5% 21.4% 29.2% Put IV 25d 28.5% 18.7% 36.0% 22.3% 32.1% Bid-Ask Spread % 123.58 109.55 139.50 127.50 129.86 Gamma HHI 0.52 0.43 0.65 0.50 0.51 Net GEX 212 -1.2K 3.5K -647 262 Net DEX -15.0K -71.0K -1.1K -6.0K -16.2K Net VEX -145 -243 -98 -138 -98 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 3.048 0 20 0 10 Total OI 78.19 26 99 98 46
Daily Data (21 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 2014-01-02 $27.57 $22.50 40.7% 11.7% 34.7% 18.4% 0.0% 0.9% -13.0% -647 -6.0K -138 0.00 127.50 0 0 9 89 2014-01-03 $27.11 $22.50 54.0% 15.5% 35.1% 29.7% 0.0% -7.6% -43.5% -875 -5.8K -135 0.00 139.50 0 0 9 89 2014-01-06 $27.50 $0.00 45.9% 8.3% 33.7% 22.8% 0.0% 10.3% -6.4% -1.2K -2.2K -144 0.00 118.52 1 0 9 89 2014-01-07 $27.25 $0.00 55.6% 7.7% 33.2% 31.0% 0.0% -8.5% -10.5% -386 -12.2K -116 0.00 122.75 0 0 10 89 2014-01-08 $27.22 $0.00 64.1% 9.1% 32.8% 38.1% 0.0% 11.1% -5.9% -647 -7.6K -135 0.00 124.85 1 0 10 89 2014-01-09 $26.39 $0.00 71.2% 9.4% 34.1% 44.1% 0.0% -7.4% -9.7% -1.2K -1.5K -140 0.00 130.68 0 0 9 89 2014-01-10 $26.00 $0.00 53.0% 8.1% 34.5% 28.8% 0.0% -11.3% -9.1% -775 -3.0K -132 0.00 127.22 0 0 9 89 2014-01-13 $25.88 $0.00 49.3% 8.4% 34.5% 25.7% 0.0% -0.5% -7.2% 68 -2.8K -121 0.00 119.15 0 0 9 89 2014-01-14 $26.29 $0.00 90.7% 8.9% 34.7% 60.6% 0.0% 2.6% -2.7% -659 -3.5K -125 0.00 122.43 0 0 9 89 2014-01-15 $26.06 $0.00 66.3% 7.4% 34.7% 40.0% 0.0% 2.2% 6.0% -111 -5.4K -120 0.00 119.89 0 0 9 89 2014-01-16 $26.32 $0.00 30.0% 8.6% 34.9% 9.4% 0.0% 1.6% -7.2% 42 -6.7K -118 0.00 122.01 0 0 9 89 2014-01-17 $26.14 $0.00 27.2% 7.8% 34.9% 7.1% 26.8% -1.0% -4.5% 87 -6.1K -113 0.00 118.40 2 0 9 89 2014-01-21 $26.13 $25.00 30.3% 8.7% 34.8% 9.7% 0.0% -1.3% -8.6% 340 -9.3K -118 0.00 120.97 0 0 11 15 2014-01-22 $26.08 $25.00 24.1% 6.9% 28.5% 4.5% 0.0% -4.6% -4.3% 319 -9.0K -122 0.00 123.83 0 0 11 15 2014-01-23 $25.93 $25.00 32.8% 9.4% 27.4% 11.8% 0.0% -0.2% -3.1% 208 -8.6K -121 0.00 124.64 0 20 11 15 2014-01-24 $26.02 $25.00 30.1% 8.6% 27.4% 9.5% 27.9% 3.1% -2.7% -731 -1.1K -168 0.00 109.55 20 0 11 35 2014-01-27 $26.12 $25.00 31.7% 9.1% 20.6% 10.8% 29.3% 6.4% 0.2% 1.4K -35.4K -207 0.00 118.58 10 0 31 35 2014-01-28 $26.02 $25.00 30.3% 8.7% 19.7% 9.7% 0.0% 0.2% 3.0% 3.5K -48.6K -243 0.00 121.84 0 0 41 35 2014-01-29 $26.07 $25.00 32.4% 9.3% 18.7% 11.5% 0.0% -7.8% -10.5% 3.1K -53.8K -227 0.00 125.55 0 0 41 35 2014-01-30 $26.45 $25.00 32.0% 9.2% 19.0% 11.1% 0.0% 4.1% -9.7% 2.4K -71.0K -194 0.00 127.49 0 0 41 35 2014-01-31 $26.80 $25.00 33.0% 9.5% 18.8% 11.9% 0.0% 2.9% -4.6% 262 -16.2K -98 0.00 129.86 10 0 11 35
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