KNOP Options History — March 2015

In March 2015, KNOP traded between $20.70 and $25.04. ATM implied volatility averaged 32.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.3% (HV 20d: 34.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2015-03-05: Highest Volume — 389 contracts
  • 2015-03-20: Largest IV spike — 266.7% change
  • 2015-03-20: Highest IV Rank — 58.5%
  • 2015-03-20: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.66$20.70$25.04$22.27$24.47
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV32.2%20.2%101.4%29.4%28.7%
Expected Move8.8%5.8%29.1%8.4%8.2%
HV 20d34.5%26.4%39.4%33.8%39.4%
HV 60d51.1%44.6%54.8%54.8%44.6%
IV Rank11.3%3.0%58.5%9.4%8.9%
IV Percentile41.8%7.1%97.2%40.9%40.5%
Term Structure0.4%-48.7%13.6%2.1%-0.7%
VWIV32.3%25.1%55.6%35.6%30.2%
Skew 25d3.7%-8.3%14.6%2.5%-2.8%
Skew 10d7.2%-7.4%21.8%5.1%-7.4%
Call IV 25d30.7%16.0%77.6%34.2%37.8%
Put IV 25d34.4%27.2%69.3%36.8%35.0%
Bid-Ask Spread %123.19111.20167.02129.78124.75
Gamma HHI0.470.280.850.850.39
Net GEX10.7K55419.0K8.9K14.1K
Net DEX113.9K-181.2K302.6K191.4K-130.6K
Net VEX-1.2K-1.8K-708-761-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.004.400.732.75
Total Volume119.9550389307225
Total OI529.864459575476551

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$22.27$22.5029.4%8.4%33.8%9.4%35.6%2.5%2.1%8.9K191.4K-7610.73129.78177130317159
2015-03-03$22.42$22.5031.1%8.9%33.8%10.5%36.3%2.3%-3.1%9.4K171.2K-8720.73129.06177130330159
2015-03-04$21.72$22.5035.2%10.1%34.0%13.3%55.6%-7.9%-4.2%7.5K209.6K-7081.03116.25177183330159
2015-03-05$22.38$22.5034.0%8.6%35.7%12.5%31.1%13.2%1.5%8.0K217.6K-1.2K0.89122.13206183330212
2015-03-06$21.80$22.5038.7%7.7%35.3%15.7%30.5%3.4%2.0%4.7K239.1K-1.1K0.89121.44206183262212
2015-03-09$21.34$22.5035.5%6.6%33.3%13.5%0.0%4.3%9.7%554298.6K-8340.00117.7600247212
2015-03-10$21.64$22.5036.7%9.1%30.9%14.3%34.5%-0.1%-3.3%3.4K252.2K-9750.00113.051000247212
2015-03-11$21.49$22.5020.2%5.8%26.4%3.0%0.0%10.4%13.6%11.2K250.0K-1.0K0.00119.68014347212
2015-03-12$21.81$22.5026.1%7.5%26.6%7.1%0.0%0.9%-1.0%11.4K210.1K-1.2K0.00119.4000347225
2015-03-13$21.22$22.5029.4%8.4%26.4%9.3%31.2%2.4%9.5%8.1K256.2K-1.1K0.00119.8202347225
2015-03-16$20.70$22.5031.9%9.1%27.3%11.0%0.0%5.4%5.0%5.4K302.6K-8930.00121.0300347225
2015-03-17$21.98$22.5026.3%7.5%36.0%7.2%0.0%1.4%-3.5%12.7K202.0K-1.2K0.00124.4500347225
2015-03-18$22.62$22.5026.4%7.6%37.7%7.3%0.0%5.1%4.3%15.7K147.2K-1.3K0.00122.4630347225
2015-03-19$22.79$22.5027.7%7.9%36.8%8.2%0.0%8.3%5.2%15.3K110.5K-1.3K0.00121.1300350225
2015-03-20$22.67$22.50101.4%29.1%36.7%58.5%0.0%-8.3%-48.7%4.1K-1.9K-1.8K0.00167.02100350225
2015-03-23$23.20$22.5028.7%8.2%37.3%8.9%0.0%6.8%1.2%15.5K44.0K-1.4K0.00122.1100287225
2015-03-24$23.87$22.5021.0%6.0%38.1%3.6%25.1%10.9%7.3%17.4K-30.7K-1.3K0.00119.05015287225
2015-03-25$24.05$22.5022.0%6.3%38.0%4.3%28.0%14.6%5.1%16.3K-46.4K-1.4K0.00117.04025287231
2015-03-26$24.30$22.5023.4%6.7%37.8%5.2%25.3%13.8%6.9%19.0K-54.4K-1.4K1.65111.2097160302235
2015-03-27$25.04$22.5026.1%7.5%38.7%7.1%27.6%-0.8%0.1%13.5K-181.2K-1.4K4.40132.24522287235
2015-03-30$24.73$22.5028.7%8.2%39.0%8.9%28.7%-5.4%-1.1%12.4K-152.0K-1.5K3.75119.4144165304244
2015-03-31$24.47$22.5028.7%8.2%39.4%8.9%30.2%-2.8%-0.7%14.1K-130.6K-1.4K2.75124.7560165307244