KNOP Options History — January 2016

In January 2016, KNOP traded between $10.36 and $14.28. ATM implied volatility averaged 65.0%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 25.6% (HV 20d: 90.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2016-01-15: Highest Volume — 440 contracts
2016-01-13: Largest IV drop — 41.6% change
2016-01-12: Highest IV Rank — 53.8%
2016-01-19: Largest Expected Move — 24.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.47	$10.36	$14.28	$14.19	$13.82
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	65.0%	41.0%	105.8%	50.7%	51.1%
Expected Move	17.2%	11.7%	24.5%	12.7%	14.6%
HV 20d	90.5%	80.9%	100.2%	87.2%	82.2%
HV 60d	68.1%	59.9%	74.2%	60.0%	74.2%
IV Rank	28.2%	13.1%	53.8%	19.2%	19.4%
IV Percentile	91.3%	57.1%	98.8%	89.7%	85.7%
Term Structure	9.5%	-59.8%	72.4%	-4.2%	29.2%
VWIV	59.1%	49.3%	72.8%	55.3%	52.5%
Skew 25d	19.6%	-4.3%	52.5%	23.3%	2.1%
Skew 10d	28.9%	-1.4%	67.2%	38.5%	18.6%
Call IV 25d	53.0%	32.9%	71.6%	40.1%	50.0%
Put IV 25d	72.5%	52.2%	97.5%	63.4%	52.2%
Bid-Ask Spread %	108.96	93.66	118.53	107.98	117.03
Gamma HHI	0.39	0.24	0.74	0.35	0.35
Net GEX	5.5K	-468	17.0K	9.2K	7.4K
Net DEX	82.1K	-149.8K	300.2K	-97.3K	-121.6K
Net VEX	-1.1K	-1.7K	-531	-1.3K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.21	1.53	0.40	0.38
Total Volume	284.526	171	440	272	278
Total OI	1,323.895	827	1,774	1,623	1,057

Daily Data (19 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
2016-01-04	$14.19	$12.50	50.7%	12.7%	87.2%	19.2%	55.3%	23.3%	-4.2%	9.2K	-97.3K	-1.3K	0.40	107.98	194	78	1,309	314
2016-01-05	$14.28	$12.50	41.0%	14.5%	86.2%	13.1%	56.9%	31.2%	0.9%	9.5K	-149.8K	-1.5K	0.39	113.50	202	78	1,318	324
2016-01-06	$13.91	$12.50	51.1%	12.6%	85.9%	19.4%	57.2%	6.8%	-0.6%	10.0K	-103.1K	-1.4K	0.39	111.22	202	78	1,317	324
2016-01-07	$13.04	$12.50	52.8%	16.0%	89.0%	20.5%	57.9%	6.3%	-5.7%	15.3K	-4.6K	-1.2K	0.36	110.15	202	73	1,317	324
2016-01-08	$13.91	$12.50	61.3%	11.7%	91.0%	25.8%	51.2%	20.6%	2.5%	9.5K	-52.0K	-1.3K	0.33	115.73	221	73	1,317	324
2016-01-11	$12.92	$12.50	76.1%	16.0%	93.7%	35.2%	55.9%	7.3%	-5.7%	17.0K	9.8K	-1.1K	0.21	118.53	281	60	1,337	324
2016-01-12	$11.65	$12.50	105.8%	14.7%	100.2%	53.8%	55.2%	8.4%	-2.2%	9.0K	127.4K	-1.0K	0.24	116.97	285	67	1,361	322
2016-01-13	$10.90	$12.50	61.8%	17.7%	98.9%	26.2%	72.8%	-4.3%	-7.6%	801	271.6K	-531	0.24	110.55	284	69	1,389	323
2016-01-14	$11.20	$12.50	74.0%	21.2%	99.2%	33.9%	59.4%	14.3%	-15.2%	757	267.5K	-602	0.45	93.66	284	129	1,389	326
2016-01-15	$10.84	$12.50	77.6%	22.3%	98.0%	36.1%	58.7%	20.2%	-9.2%	-148	300.2K	-710	0.53	114.34	287	153	1,389	385
2016-01-19	$10.84	$12.50	85.5%	24.5%	92.8%	41.1%	61.5%	18.6%	0.0%	-468	236.4K	-766	1.26	100.37	102	129	500	327
2016-01-20	$10.36	$12.50	67.8%	19.5%	93.8%	30.0%	68.7%	44.3%	72.4%	327	231.0K	-768	1.53	101.65	87	133	544	332
2016-01-21	$10.98	$12.50	81.7%	23.4%	96.0%	38.7%	59.7%	52.5%	48.8%	-47	242.9K	-755	1.46	105.56	91	133	537	329
2016-01-22	$11.91	$12.50	47.8%	13.7%	100.0%	17.4%	49.3%	25.3%	42.4%	-65	194.8K	-1.1K	1.28	107.06	104	133	542	329
2016-01-25	$12.39	$12.50	52.1%	14.9%	80.9%	20.1%	52.8%	29.5%	63.1%	349	187.4K	-1.0K	0.88	111.64	151	133	556	329
2016-01-26	$13.02	$12.50	67.3%	19.3%	81.7%	29.6%	63.7%	27.8%	13.3%	3.2K	78.6K	-1.4K	0.37	104.63	202	75	611	329
2016-01-27	$13.27	$12.50	64.1%	18.4%	81.7%	27.7%	65.2%	28.8%	-59.8%	6.9K	-11.3K	-1.4K	0.74	108.23	98	73	727	329
2016-01-28	$13.48	$12.50	64.9%	18.6%	81.9%	28.2%	69.9%	8.6%	29.2%	6.4K	-48.7K	-1.6K	0.69	101.40	109	75	713	330
2016-01-29	$13.82	$12.50	51.1%	14.6%	82.2%	19.4%	52.5%	2.1%	0.0%	7.4K	-121.6K	-1.7K	0.38	117.03	201	77	721	336