KNOP Options History — July 2014 In July 2014, KNOP traded between $26.71 and $28.66. ATM implied volatility averaged 23.8%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 22.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-15 : Highest Volume — 45 contracts2014-07-28 : Largest IV spike — 24.2% change2014-07-09 : Highest IV Rank — 6.9%2014-07-30 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $28.20 $26.71 $28.66 $28.19 $26.71 Max Pain $25.91 $25.00 $30.00 $30.00 $30.00 ATM IV 23.8% 20.1% 27.8% 21.2% 27.4% Expected Move 6.7% 5.8% 7.9% 6.1% 7.8% HV 20d 22.4% 7.6% 31.9% 31.9% 18.1% HV 60d 24.7% 21.9% 26.7% 26.7% 23.5% IV Rank 4.2% 1.6% 6.9% 2.4% 6.7% IV Percentile 12.2% 2.4% 25.8% 4.0% 25.4% Term Structure -4.7% -12.3% 3.6% 2.9% -5.8% Skew 25d 2.3% -5.7% 13.5% 11.9% 5.4% Skew 10d 3.7% -4.5% 16.2% 15.3% 4.5% Call IV 25d 22.6% 18.5% 26.2% 20.0% 25.1% Put IV 25d 24.9% 19.0% 33.9% 32.0% 30.5% Bid-Ask Spread % 115.88 108.96 120.12 109.15 113.47 Gamma HHI 0.89 0.84 0.99 0.90 0.99 Net GEX 18.9K 10.7K 26.7K 13.6K 10.7K Net DEX -148.1K -216.6K -46.3K -94.9K -46.3K Net VEX -964 -1.2K -620 -802 -620 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 6.455 0 45 10 5 Total OI 270.818 222 301 222 279
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 2014-07-01 $28.19 $30.00 21.2% 6.1% 31.9% 2.4% 0.0% 11.9% 2.9% 13.6K -94.9K -802 0.00 109.15 10 0 186 36 2014-07-02 $28.36 $30.00 20.8% 6.0% 31.6% 2.2% 0.0% 13.5% 2.9% 15.0K -124.2K -858 0.00 108.96 25 0 195 36 2014-07-03 $28.10 $30.00 20.6% 5.9% 30.1% 2.0% 0.0% 9.9% 3.6% 14.5K -126.2K -963 0.00 110.94 0 0 220 36 2014-07-07 $28.10 $25.00 25.3% 6.1% 30.1% 5.3% 0.0% -1.0% -7.1% 15.7K -117.7K -878 0.00 118.56 0 0 220 36 2014-07-08 $28.03 $25.00 27.5% 7.0% 29.7% 6.7% 0.0% -5.5% -12.2% 15.3K -116.2K -882 0.00 120.05 0 0 220 36 2014-07-09 $28.21 $25.00 27.8% 6.9% 29.6% 6.9% 0.0% -2.8% -11.3% 16.4K -128.8K -917 0.00 118.83 0 0 220 36 2014-07-10 $28.08 $25.00 24.9% 7.1% 29.7% 5.0% 0.0% -4.3% -11.8% 15.6K -116.8K -872 0.00 118.56 0 0 220 36 2014-07-11 $27.98 $25.00 25.0% 7.2% 29.6% 5.0% 0.0% -5.7% -12.3% 14.9K -111.2K -857 0.00 119.31 0 0 220 36 2014-07-14 $28.22 $25.00 24.3% 7.0% 29.7% 4.6% 0.0% -3.4% -6.5% 15.7K -114.0K -844 0.00 115.63 0 0 220 36 2014-07-15 $28.35 $25.00 23.8% 6.8% 27.6% 4.2% 0.0% -2.2% -10.0% 17.2K -138.3K -878 0.00 114.05 45 0 220 36 2014-07-16 $28.42 $25.00 23.2% 6.6% 26.5% 3.8% 0.0% -1.7% -0.2% 20.2K -216.6K -1.2K 0.00 116.33 0 0 265 36 2014-07-17 $28.48 $25.00 20.6% 5.9% 24.3% 2.0% 0.0% 2.9% -1.2% 22.2K -183.9K -1.1K 0.00 118.28 0 0 265 36 2014-07-18 $28.41 $25.00 24.8% 7.1% 24.2% 4.9% 0.0% -2.5% -8.0% 21.9K -202.8K -1.1K 0.00 117.73 0 0 265 26 2014-07-21 $28.63 $25.00 21.3% 6.1% 23.6% 2.5% 0.0% 4.7% 1.3% 24.9K -199.0K -1.1K 0.00 117.44 10 0 250 16 2014-07-22 $28.60 $25.00 23.6% 6.8% 19.7% 4.0% 0.0% 3.5% -6.9% 23.5K -199.7K -1.1K 0.00 120.12 0 0 246 16 2014-07-23 $28.66 $25.00 20.6% 5.9% 8.2% 2.0% 0.0% 4.1% -1.8% 25.0K -187.4K -1.0K 0.00 118.50 37 0 246 16 2014-07-24 $28.52 $25.00 20.1% 5.8% 7.6% 1.6% 0.0% 6.0% -2.2% 26.7K -198.9K -1.2K 0.00 114.39 0 0 283 16 2014-07-25 $28.04 $25.00 21.2% 6.1% 9.8% 2.4% 0.0% 1.5% -2.4% 22.1K -159.2K -1.1K 0.00 113.83 0 0 283 16 2014-07-28 $28.18 $25.00 26.4% 7.6% 9.8% 6.0% 0.0% 6.0% -3.1% 22.9K -172.6K -1.1K 0.00 116.69 0 0 283 16 2014-07-29 $28.20 $25.00 25.0% 7.2% 9.8% 5.0% 0.0% 2.9% -3.4% 22.9K -165.5K -1.1K 0.00 113.14 0 0 283 16 2014-07-30 $27.88 $25.00 27.6% 7.9% 10.6% 6.8% 0.0% 7.6% -6.8% 19.7K -138.5K -913 0.00 115.30 10 0 283 16 2014-07-31 $26.71 $30.00 27.4% 7.8% 18.1% 6.7% 0.0% 5.4% -5.8% 10.7K -46.3K -620 0.00 113.47 5 0 263 16
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