KNOP Options History — December 2015

In December 2015, KNOP traded between $10.93 and $15.83. ATM implied volatility averaged 57.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 8.6% (HV 20d: 66.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2015-12-24: Highest Volume — 411 contracts
  • 2015-12-22: Largest IV spike — 56.0% change
  • 2015-12-30: Highest IV Rank — 62.5%
  • 2015-12-30: Largest Expected Move — 34.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.29$10.93$15.83$15.73$13.57
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV57.4%32.1%119.6%32.1%98.0%
Expected Move15.9%9.2%34.3%9.2%28.1%
HV 20d66.0%50.1%87.9%50.1%87.9%
HV 60d58.0%53.0%65.9%53.5%59.2%
IV Rank23.4%7.5%62.5%7.5%49.0%
IV Percentile83.3%29.0%99.2%29.0%98.4%
Term Structure-7.2%-143.8%48.6%8.3%-40.4%
VWIV52.2%33.4%93.1%33.4%69.0%
Skew 25d6.2%-54.7%56.0%3.2%-5.9%
Skew 10d11.8%-54.7%98.4%25.0%46.3%
Call IV 25d47.6%26.1%72.1%26.1%64.3%
Put IV 25d53.8%17.4%100.5%29.2%58.4%
Bid-Ask Spread %124.8692.73161.87112.10154.77
Gamma HHI0.300.230.380.300.23
Net GEX7.5K2.4K15.0K14.2K2.4K
Net DEX-23.2K-279.3K204.4K-176.9K-185.7K
Net VEX-1.4K-2.1K-771-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.000.670.000.30
Total Volume296.09144114318
Total OI1,484.0451,4121,6251,4121,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$15.73$15.0032.1%9.2%50.1%7.5%33.4%3.2%8.3%14.2K-176.9K-1.9K0.00112.10401,184228
2015-12-02$15.83$15.0045.0%12.9%50.2%15.6%41.2%20.4%1.8%15.0K-225.0K-2.1K0.37105.94259971,195228
2015-12-03$14.86$12.5049.4%11.3%54.6%18.4%39.4%-9.9%5.0%11.2K-121.7K-1.8K0.37105.75259971,197228
2015-12-04$14.30$12.5046.3%12.8%55.9%16.4%44.0%11.5%-1.8%11.2K-52.6K-1.5K0.38104.32253971,197228
2015-12-07$13.85$12.5054.0%10.7%56.4%21.3%0.0%-9.8%-18.9%9.2K-21.7K-1.1K0.00127.530501,189228
2015-12-08$13.80$12.5051.9%11.9%56.4%20.0%39.9%6.3%-4.6%7.8K30.7K-1.4K0.60110.512131271,197239
2015-12-09$14.35$12.5041.6%11.9%56.3%13.5%42.4%10.5%3.1%10.2K-26.2K-1.6K0.6492.732131361,207249
2015-12-10$13.80$12.5044.9%12.9%57.7%15.6%42.3%1.7%-7.1%8.5K-1.8K-1.6K0.67112.172041361,208250
2015-12-11$13.66$12.5046.8%13.4%54.3%16.8%41.9%1.1%8.7%7.0K38.8K-1.5K0.61111.942231361,208250
2015-12-14$12.59$12.5056.1%16.1%56.7%22.6%55.9%4.6%-5.2%5.4K131.3K-1.0K0.38106.43192731,218250
2015-12-15$12.21$12.5047.8%13.7%56.9%17.4%52.1%10.3%5.8%5.3K136.9K-1.1K0.39115.52192741,228272
2015-12-16$12.76$12.5050.3%14.4%60.1%19.0%48.3%8.9%1.6%5.6K131.5K-1.2K0.39114.70192741,228275
2015-12-17$11.63$12.5047.1%13.5%66.9%17.0%54.7%-2.4%-2.4%3.8K189.1K-8070.29115.40219641,228274
2015-12-18$11.42$12.5049.8%14.3%66.6%18.6%59.7%-1.6%-0.6%3.1K204.4K-7710.23114.24246561,233282
2015-12-21$11.12$12.5056.4%16.2%66.8%22.8%55.9%0.0%0.0%3.1K199.9K-7990.21109.13246511,150276
2015-12-22$10.93$12.5087.9%25.2%61.6%42.6%93.1%-54.7%-35.7%3.4K-121.2K-1.5K0.22153.64244541,165276
2015-12-23$12.92$12.5043.1%12.4%86.7%14.4%40.7%48.6%28.4%6.9K22.8K-1.5K0.24157.63287701,165281
2015-12-24$13.42$12.5042.3%12.1%87.1%13.9%41.1%-0.7%34.4%10.4K-73.1K-1.6K0.19152.57344671,201294
2015-12-28$13.13$12.5060.7%17.4%87.1%25.5%0.0%31.8%-36.7%2.5K-279.3K-1.6K0.29161.87244711,305299
2015-12-29$13.19$12.5091.8%26.3%87.3%45.0%87.7%56.0%48.6%9.4K-73.9K-1.8K0.30146.37242721,301305
2015-12-30$13.35$12.50119.6%34.3%87.6%62.5%61.7%-5.9%-143.8%10.0K-236.8K-1.9K0.30161.58245731,303305
2015-12-31$13.57$12.5098.0%28.1%87.9%49.0%69.0%0.0%-40.4%2.4K-185.7K-1.5K0.30154.77245731,309316