KNOP Options History — September 2015

In September 2015, KNOP traded between $14.49 and $19.24. ATM implied volatility averaged 45.2%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 5.3% (HV 20d: 50.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2015-09-02: Highest Volume — 442 contracts
  • 2015-09-29: Largest IV spike — 56.1% change
  • 2015-09-29: Highest IV Rank — 44.8%
  • 2015-09-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.69$14.49$19.24$18.14$14.76
Max Pain$19.52$17.50$20.00$20.00$17.50
ATM IV45.2%35.1%55.9%48.6%47.1%
Expected Move12.9%10.1%16.0%13.9%13.5%
HV 20d50.5%38.7%67.4%67.4%54.6%
HV 60d59.1%57.8%62.6%57.8%62.6%
IV Rank31.8%19.4%44.8%35.9%34.0%
IV Percentile83.1%56.7%97.2%92.5%87.7%
Term Structure0.4%-8.1%14.5%-0.8%1.3%
VWIV44.7%35.8%63.7%52.4%49.4%
Skew 25d3.5%-18.2%16.1%1.9%4.3%
Skew 10d10.1%-32.8%35.7%3.2%5.2%
Call IV 25d45.5%34.3%70.4%51.5%50.1%
Put IV 25d49.0%40.2%56.9%53.3%54.4%
Bid-Ask Spread %97.1982.75116.26105.07107.60
Gamma HHI0.700.380.820.820.41
Net GEX10.9K4.9K17.7K12.5K4.9K
Net DEX-78.8K-305.5K272.3K-120.1K272.3K
Net VEX-2.0K-2.4K-1.2K-2.2K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.000.510.240.41
Total Volume314.0950442434408
Total OI1,045.0489491,2539841,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$18.14$20.0048.6%13.9%67.4%35.9%52.4%1.9%-0.8%12.5K-120.1K-2.2K0.24105.0734985787197
2015-09-02$18.34$20.0049.6%14.2%64.1%37.1%43.9%8.2%-3.0%11.8K-161.8K-2.3K0.27116.2634795791197
2015-09-03$18.66$20.0051.9%13.3%58.3%39.8%43.2%12.6%0.0%14.4K-199.6K-2.3K0.2790.2534695793192
2015-09-04$18.64$20.0047.8%13.3%57.4%34.9%39.0%5.8%0.0%14.3K-184.3K-2.2K0.2795.7434795794192
2015-09-08$19.24$20.0039.8%11.8%57.7%25.1%0.0%13.2%-8.1%17.7K-305.5K-2.4K0.0097.5320788192
2015-09-09$18.99$20.0035.9%10.3%51.1%20.5%35.8%10.6%-1.2%15.7K-267.4K-2.3K0.4397.8120588796192
2015-09-10$18.62$20.0045.5%13.0%49.8%32.1%42.7%6.4%0.7%14.4K-200.4K-2.2K0.4397.8420688796190
2015-09-11$17.97$20.0045.2%13.0%52.0%31.7%42.9%-0.8%-6.0%11.4K-119.0K-1.9K0.46112.4820796797190
2015-09-14$17.23$20.0043.9%12.6%51.0%30.2%45.5%-12.8%3.3%8.0K-29.0K-1.8K0.4291.1522493799196
2015-09-15$17.60$20.0043.4%12.5%51.1%29.6%0.0%3.1%3.0%9.4K-69.7K-1.9K0.0090.0000802207
2015-09-16$17.88$20.0047.1%13.5%48.9%34.0%41.5%0.1%-2.4%9.5K-91.2K-1.9K0.4693.32224103810207
2015-09-17$17.85$20.0048.0%13.8%46.2%35.2%43.6%2.7%-4.1%8.0K-67.8K-1.9K0.4497.28234103810222
2015-09-18$18.15$20.0045.7%13.1%46.2%32.4%43.2%11.1%1.9%10.8K-156.8K-2.0K0.38100.36274103820222
2015-09-21$18.80$20.0035.1%10.1%44.4%19.4%36.1%11.4%8.6%12.7K-208.8K-2.2K0.5195.0317488758191
2015-09-22$18.49$20.0044.3%12.7%39.6%30.7%41.8%5.6%7.2%11.6K-152.2K-2.1K0.5197.6917489783223
2015-09-23$17.52$20.0049.1%14.1%44.0%36.5%48.3%-11.3%-1.8%8.6K-1.5K-1.9K0.4882.7519393783254
2015-09-24$17.20$20.0044.1%12.6%43.5%30.4%42.0%16.1%1.9%9.5K9.8K-2.0K0.3692.3925693834287
2015-09-25$16.90$17.5046.4%13.3%38.7%33.2%46.3%9.3%-2.6%10.2K31.6K-2.0K0.3992.0723693884292
2015-09-28$16.06$17.5035.8%10.3%41.3%20.4%48.1%-5.0%14.5%9.1K115.5K-1.7K0.4690.70237108914292
2015-09-29$14.49$17.5055.9%16.0%53.5%44.8%63.7%-18.2%-3.9%5.3K251.1K-1.2K0.4097.5724798915304
2015-09-30$14.76$17.5047.1%13.5%54.6%34.0%49.4%4.3%1.3%4.9K272.3K-1.2K0.41107.60289119935318