KNOP Options History — July 2016

In July 2016, KNOP traded between $18.08 and $19.69. ATM implied volatility averaged 33.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.2% (HV 20d: 31.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.55.

Notable Days

2016-07-29: Highest Volume — 1,035 contracts
2016-07-06: Largest IV spike — 57.5% change
2016-07-06: Highest IV Rank — 22.5%
2016-07-18: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.83	$18.08	$19.69	$19.03	$19.69
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	33.1%	20.1%	48.4%	30.7%	26.4%
Expected Move	8.9%	5.7%	11.0%	8.8%	7.6%
HV 20d	31.9%	24.3%	37.7%	35.9%	24.6%
HV 60d	34.3%	31.6%	37.4%	36.6%	31.6%
IV Rank	13.4%	5.7%	22.5%	12.0%	9.4%
IV Percentile	17.0%	0.4%	69.8%	2.4%	2.4%
Term Structure	1.3%	-9.3%	13.3%	3.3%	5.7%
VWIV	37.9%	28.0%	47.9%	35.1%	46.6%
Skew 25d	14.1%	4.9%	25.7%	19.4%	21.4%
Skew 10d	21.8%	6.1%	59.9%	59.9%	19.7%
Call IV 25d	28.3%	15.4%	38.0%	31.4%	29.4%
Put IV 25d	42.4%	37.3%	50.8%	50.8%	50.8%
Bid-Ask Spread %	103.55	98.29	109.16	107.63	103.12
Gamma HHI	0.71	0.55	0.98	0.98	0.83
Net GEX	24.6K	10.7K	61.4K	33.5K	61.4K
Net DEX	-649.1K	-1.1M	-303.3K	-772.2K	-1.1M
Net VEX	-3.9K	-6.3K	-3.0K	-4.0K	-6.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.09	0.98	0.65	0.11
Total Volume	362.05	173	1,035	278	1,035
Total OI	1,847.35	1,077	2,301	2,238	2,000

Daily Data (20 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
2016-07-01	$19.03	$17.50	30.7%	8.8%	35.9%	12.0%	35.1%	19.4%	3.3%	33.5K	-772.2K	-4.0K	0.65	107.63	169	109	1,089	1,149
2016-07-05	$18.32	$17.50	30.7%	10.8%	37.7%	12.0%	37.9%	4.9%	-2.8%	20.3K	-541.8K	-3.9K	0.65	99.31	169	109	1,089	1,149
2016-07-06	$18.41	$17.50	48.4%	9.9%	37.2%	22.5%	34.2%	7.9%	-0.1%	23.8K	-562.8K	-3.4K	0.89	103.93	122	109	1,090	1,149
2016-07-07	$18.36	$17.50	47.7%	10.7%	36.8%	22.1%	37.6%	7.4%	0.3%	21.2K	-652.9K	-3.4K	0.90	105.15	121	109	1,077	1,149
2016-07-08	$18.08	$17.50	33.5%	9.7%	35.9%	13.6%	34.4%	7.1%	2.4%	21.9K	-569.7K	-3.3K	0.90	98.42	121	109	1,077	1,149
2016-07-11	$18.33	$17.50	42.8%	10.3%	35.8%	19.2%	31.6%	24.0%	6.5%	14.6K	-711.8K	-3.2K	0.98	102.87	106	104	1,077	1,149
2016-07-12	$18.76	$17.50	48.2%	8.8%	33.6%	22.3%	38.3%	10.8%	-2.8%	15.6K	-752.1K	-3.2K	0.78	109.16	142	111	1,093	1,154
2016-07-13	$18.74	$17.50	36.0%	10.3%	32.4%	15.1%	36.2%	7.5%	-1.8%	14.0K	-729.2K	-3.1K	0.78	105.50	142	111	1,138	1,154
2016-07-14	$18.44	$17.50	37.6%	10.8%	31.8%	16.1%	37.2%	5.2%	-9.3%	15.8K	-733.0K	-3.2K	0.63	103.76	177	111	1,142	1,154
2016-07-15	$18.48	$17.50	34.9%	10.0%	31.7%	14.5%	34.7%	15.0%	-3.5%	10.7K	-686.5K	-3.0K	0.67	102.54	134	90	1,147	1,154
2016-07-18	$18.69	$17.50	38.3%	11.0%	31.8%	16.5%	33.0%	21.9%	-2.0%	11.0K	-303.3K	-3.2K	0.55	104.69	125	69	678	399
2016-07-19	$18.80	$17.50	25.2%	7.2%	31.6%	8.7%	30.9%	17.0%	13.3%	12.5K	-399.8K	-3.5K	0.49	105.23	116	57	752	417
2016-07-20	$19.00	$17.50	23.6%	6.8%	31.0%	7.8%	28.0%	20.6%	9.4%	15.7K	-479.9K	-3.6K	0.49	107.30	116	57	773	423
2016-07-21	$18.94	$17.50	29.7%	8.5%	30.6%	11.4%	40.4%	5.8%	-0.6%	14.1K	-485.0K	-3.6K	0.31	98.29	186	57	773	423
2016-07-22	$19.32	$17.50	29.9%	8.6%	31.3%	11.5%	36.9%	12.7%	1.6%	21.5K	-517.0K	-3.9K	0.39	106.65	179	69	853	423
2016-07-25	$19.17	$17.50	27.0%	7.7%	30.8%	9.8%	46.5%	12.9%	-0.8%	21.9K	-500.5K	-3.8K	0.58	101.48	119	69	856	438
2016-07-26	$19.29	$17.50	26.2%	7.5%	28.7%	9.3%	47.9%	11.8%	-2.6%	24.9K	-536.0K	-3.9K	0.09	101.17	757	69	866	439
2016-07-27	$19.35	$17.50	20.1%	5.7%	24.6%	5.7%	44.8%	25.7%	7.0%	58.4K	-1.0M	-6.1K	0.10	103.82	757	74	1,511	439
2016-07-28	$19.42	$17.50	25.6%	7.3%	24.3%	9.0%	45.3%	22.9%	3.2%	60.0K	-941.8K	-5.8K	0.14	101.03	752	103	1,511	444
2016-07-29	$19.69	$17.50	26.4%	7.6%	24.6%	9.4%	46.6%	21.4%	5.7%	61.4K	-1.1M	-6.3K	0.11	103.12	932	103	1,517	483