KNOP Options History — March 2016

In March 2016, KNOP traded between $15.79 and $17.43. ATM implied volatility averaged 43.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 20.3% (HV 20d: 63.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-03-03: Highest Volume — 467 contracts
  • 2016-03-31: Largest IV spike — 45.8% change
  • 2016-03-01: Highest IV Rank — 24.9%
  • 2016-03-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.51$15.79$17.43$16.35$16.40
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.0%31.8%52.4%52.4%46.4%
Expected Move12.7%9.1%15.0%15.0%13.3%
HV 20d63.2%50.1%78.6%73.0%52.6%
HV 60d76.0%69.0%81.5%80.6%69.0%
IV Rank19.3%12.6%24.9%24.9%21.3%
IV Percentile50.5%19.4%82.5%82.5%61.9%
Term Structure1.8%-36.5%18.1%-18.1%-15.2%
VWIV48.1%35.4%62.8%56.3%53.4%
Skew 25d9.0%-2.6%26.8%12.8%13.4%
Skew 10d23.3%4.6%55.9%27.7%17.6%
Call IV 25d46.4%34.0%55.3%45.6%53.9%
Put IV 25d55.5%45.8%67.2%58.4%67.2%
Bid-Ask Spread %105.4391.59111.09107.11110.36
Gamma HHI0.390.290.570.360.35
Net GEX-9.7K-47.1K11.4K-15.9K5.6K
Net DEX-221.0K-559.2K70.5K-145.4K-189.4K
Net VEX-4.3K-5.3K-3.4K-5.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.190.560.240.56
Total Volume401.091322467322364
Total OI2,334.51,8872,6532,5891,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$16.35$15.0052.4%15.0%73.0%24.9%56.3%12.8%-18.1%-15.9K-145.4K-5.0K0.24107.11260621,0211,568
2016-03-02$16.64$15.0048.1%13.8%71.9%22.3%62.8%-2.6%-16.2%-10.9K-198.3K-4.9K0.19104.49326621,0211,572
2016-03-03$17.08$15.0035.9%12.2%72.1%15.1%45.6%2.2%9.3%-27.6K-467.2K-4.5K0.2894.843651021,0211,572
2016-03-04$16.10$15.0042.5%13.9%75.6%19.0%48.1%2.4%6.7%-12.0K70.5K-5.3K0.43108.753001309831,590
2016-03-07$17.12$15.0042.0%12.8%77.6%18.7%48.9%15.4%5.5%-23.4K-352.5K-4.8K0.3791.592981109731,620
2016-03-08$16.18$15.0040.9%14.8%78.6%18.1%48.5%4.2%-4.0%-29.5K-107.4K-5.0K0.37109.113011109741,628
2016-03-09$16.24$15.0050.7%14.5%71.0%23.8%47.3%6.4%2.9%-28.2K-90.9K-4.9K0.44109.483011339681,625
2016-03-10$15.79$15.0041.9%12.0%68.1%18.6%47.2%-1.5%10.5%-47.1K65.7K-4.9K0.42101.812691139681,625
2016-03-11$15.90$15.0049.5%14.2%68.2%23.1%50.5%-2.0%2.7%-40.0K-2.3K-4.8K0.44107.292691189431,625
2016-03-14$16.16$15.0043.6%12.5%65.9%19.6%48.5%14.4%13.3%-28.1K-115.8K-4.3K0.45110.182691229131,630
2016-03-15$16.70$15.0043.7%12.5%64.6%19.7%48.3%10.3%-2.0%-18.4K-40.1K-4.3K0.47109.672611229131,640
2016-03-16$17.15$15.0043.9%12.6%63.8%19.8%45.9%17.0%3.0%-5.5K-357.8K-4.1K0.44102.332791229151,640
2016-03-17$17.43$15.0038.1%10.9%63.7%16.4%42.3%17.1%12.4%5.9K-559.2K-3.7K0.4094.903241299541,640
2016-03-18$16.55$15.0041.4%11.9%59.7%18.4%41.6%8.5%1.4%11.4K-340.2K-4.4K0.37109.092861061,0031,650
2016-03-21$16.68$15.0043.9%12.6%52.8%19.8%43.9%3.8%-36.5%10.2K-443.2K-4.0K0.35105.103071061,007925
2016-03-22$16.89$15.0033.3%9.6%50.1%13.5%35.4%14.0%8.9%8.4K-425.3K-3.7K0.38102.48307116952935
2016-03-23$16.13$15.0040.8%11.7%52.5%18.0%43.3%15.1%18.1%5.2K-205.4K-4.0K0.40103.19288114952935
2016-03-24$16.06$15.0042.2%12.1%52.2%18.8%46.4%-1.2%14.1%6.2K-155.1K-4.0K0.42108.91288121952937
2016-03-28$16.20$15.0050.4%14.5%51.8%23.7%53.8%5.9%12.9%5.9K-132.5K-3.9K0.41110.74293121952947
2016-03-29$16.74$15.0041.5%11.9%53.0%18.4%49.9%16.5%-3.3%6.6K-272.0K-3.8K0.41111.09293121943947
2016-03-30$16.73$15.0031.8%9.1%52.5%12.6%50.3%26.8%12.6%8.4K-398.1K-3.4K0.53106.94219117943947
2016-03-31$16.40$15.0046.4%13.3%52.6%21.3%53.4%13.4%-15.2%5.6K-189.4K-3.8K0.56110.36234130943947