KNOP Options History — September 2014 In September 2014, KNOP traded between $24.97 and $28.20. ATM implied volatility averaged 23.6%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.1% (HV 20d: 18.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-09-03 : Highest Volume — 40 contracts2014-09-11 : Largest IV drop — 41.8% change2014-09-10 : Highest IV Rank — 13.1%2014-09-22 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $26.53 $24.97 $28.20 $28.20 $24.97 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 23.6% 19.3% 34.9% 19.4% 24.8% Expected Move 5.7% 4.3% 6.4% 5.2% 5.9% HV 20d 18.5% 16.4% 20.8% 19.8% 19.6% HV 60d 21.4% 18.7% 23.3% 23.3% 19.9% IV Rank 5.4% 2.4% 13.1% 2.5% 6.2% IV Percentile 19.2% 5.6% 57.9% 5.6% 25.8% Term Structure -0.4% -3.8% 6.2% 6.2% -3.7% Skew 25d 3.0% -6.4% 29.8% 18.8% -4.5% Skew 10d 6.2% -6.3% 48.4% 24.0% -5.3% Call IV 25d 24.8% 15.9% 35.2% 15.9% 35.2% Put IV 25d 27.8% 17.3% 56.7% 34.7% 30.7% Bid-Ask Spread % 128.75 102.98 137.48 127.49 137.48 Gamma HHI 0.84 0.63 0.99 0.99 0.63 Net GEX 14.0K 1.4K 35.8K 35.8K 1.4K Net DEX -62.6K -192.6K 11.4K -190.1K 11.4K Net VEX -683 -1.4K -273 -1.3K -273 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 4.048 0 40 0 0 Total OI 405.857 373 413 403 406
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 2014-09-02 $28.20 $25.00 19.4% 5.2% 19.8% 2.5% 0.0% 18.8% 6.2% 35.8K -190.1K -1.3K 0.00 127.49 0 0 377 26 2014-09-03 $28.12 $25.00 20.6% 5.3% 18.5% 3.4% 0.0% 12.6% 6.1% 34.0K -192.6K -1.4K 0.00 128.22 40 0 377 26 2014-09-04 $27.75 $25.00 22.8% 5.4% 18.3% 4.8% 0.0% 14.9% -0.2% 26.4K -121.9K -1.1K 0.00 127.77 30 0 347 26 2014-09-05 $27.78 $25.00 21.1% 4.3% 17.7% 3.7% 0.0% 1.8% 1.3% 28.4K -130.8K -1.1K 0.00 102.98 10 0 377 26 2014-09-08 $27.77 $25.00 26.4% 5.3% 17.7% 7.3% 0.0% 6.7% -1.2% 30.2K -143.3K -1.1K 0.00 125.97 0 0 387 26 2014-09-09 $27.94 $25.00 32.4% 5.3% 17.3% 11.4% 0.0% 4.2% -3.8% 34.0K -178.2K -1.3K 0.00 121.10 0 0 387 26 2014-09-10 $27.97 $25.00 34.9% 5.2% 16.4% 13.1% 0.0% 8.4% -0.8% 34.3K -164.1K -1.2K 0.00 127.45 0 0 385 26 2014-09-11 $27.53 $25.00 20.3% 5.3% 17.9% 3.2% 0.0% 3.4% -2.1% 25.2K -109.3K -970 0.00 126.78 0 0 385 26 2014-09-12 $26.44 $25.00 19.3% 6.0% 20.8% 2.4% 0.0% -6.4% -1.6% 4.8K -16.2K -462 0.00 132.59 0 0 385 26 2014-09-15 $26.44 $25.00 22.8% 5.9% 19.7% 4.9% 0.0% 0.5% -1.3% 5.5K -15.1K -455 0.00 128.21 0 0 385 26 2014-09-16 $26.33 $25.00 23.1% 6.3% 16.6% 5.0% 0.0% -0.6% -2.3% 4.8K -14.7K -419 0.00 131.55 0 0 385 26 2014-09-17 $26.31 $25.00 24.9% 6.2% 16.6% 6.3% 0.0% -1.7% -3.7% 5.5K -17.9K -466 0.00 134.77 0 0 385 26 2014-09-18 $26.11 $25.00 23.2% 6.2% 16.7% 5.1% 0.0% -4.0% -0.0% 3.2K -9.1K -403 0.00 132.53 0 0 385 26 2014-09-19 $26.36 $25.00 23.2% 6.1% 16.8% 5.1% 0.0% 0.6% -1.1% 4.7K -14.2K -400 0.00 132.57 0 0 385 26 2014-09-22 $25.79 $25.00 22.4% 6.4% 18.1% 4.5% 0.0% -5.2% 0.5% 4.0K -19.5K -433 0.00 124.80 0 0 385 16 2014-09-23 $25.04 $25.00 23.3% 6.0% 20.1% 5.2% 0.0% -2.0% 1.4% 2.8K -2.4K -339 0.00 132.49 0 0 385 16 2014-09-24 $25.11 $25.00 21.4% 5.9% 20.2% 3.9% 0.0% -6.1% 0.1% 2.7K -122 -330 0.00 130.74 0 5 385 16 2014-09-25 $25.08 $25.00 22.5% 5.8% 20.1% 4.6% 0.0% 29.8% 0.6% 1.9K 5.1K -343 0.00 132.07 0 0 385 21 2014-09-26 $25.08 $25.00 22.9% 6.3% 20.0% 4.9% 0.0% -2.1% 1.2% 1.6K 7.1K -319 0.00 133.64 0 0 385 21 2014-09-29 $25.06 $25.00 24.3% 6.2% 20.0% 5.9% 0.0% -5.6% -3.4% 2.1K 2.1K -347 0.00 132.53 0 0 385 21 2014-09-30 $24.97 $25.00 24.8% 5.9% 19.6% 6.2% 0.0% -4.5% -3.7% 1.4K 11.4K -273 0.00 137.48 0 0 385 21
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