KNOP Options History — September 2016

In September 2016, KNOP traded between $18.54 and $20.93. ATM implied volatility averaged 27.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 5.7% (HV 20d: 32.7%). 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 18 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-09-28: Highest Volume — 781 contracts
  • 2016-09-09: Largest IV spike — 154.6% change
  • 2016-09-09: Highest IV Rank — 22.7%
  • 2016-09-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.52$18.54$20.93$18.97$20.93
Max Pain$19.52$17.50$20.00$20.00$20.00
ATM IV27.0%19.1%48.7%23.2%29.4%
Expected Move7.0%5.8%8.4%6.7%8.4%
HV 20d32.7%24.7%39.7%25.6%39.4%
HV 60d30.5%28.2%31.8%29.9%31.1%
IV Rank9.8%5.1%22.7%7.6%11.2%
IV Percentile13.3%0.4%75.8%1.2%15.9%
Term Structure3.1%-4.2%10.4%3.3%2.2%
VWIV26.0%20.1%35.1%35.1%29.1%
Skew 25d7.0%-0.4%16.4%16.4%8.5%
Skew 10d28.6%-1.2%68.7%19.4%68.7%
Call IV 25d23.2%17.6%26.7%21.0%23.0%
Put IV 25d30.1%24.3%37.4%37.4%31.5%
Bid-Ask Spread %96.4177.68108.80108.3079.71
Gamma HHI0.850.750.960.820.75
Net GEX120.6K83.5K206.4K83.5K159.5K
Net DEX-1.2M-2.7M-235.7K-611.5K-2.7M
Net VEX-5.3K-6.4K-3.9K-4.9K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.221.090.410.78
Total Volume465.524318781338530
Total OI2,458.1432,0362,9512,0362,949

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$18.97$20.0023.2%6.7%25.6%7.6%35.1%16.4%3.3%83.5K-611.5K-4.9K0.41108.30239991,533503
2016-09-02$19.10$20.0022.9%6.6%25.6%7.4%26.6%9.3%8.5%89.8K-739.6K-5.1K0.38108.80259991,563514
2016-09-06$19.28$17.5024.2%7.3%24.7%8.1%32.9%6.6%0.6%95.9K-940.7K-5.5K0.4590.73219991,623514
2016-09-07$19.83$17.5022.0%6.8%25.1%6.8%24.7%8.0%0.8%132.9K-1.3M-5.5K0.28101.44350991,643514
2016-09-08$19.83$17.5019.1%7.0%25.2%5.1%28.6%10.3%1.4%144.3K-1.5M-5.9K0.45103.222201001,808514
2016-09-09$18.76$17.5048.7%6.2%32.1%22.7%23.5%4.4%4.4%111.4K-724.1K-5.0K0.9794.332202131,824511
2016-09-12$19.33$20.0040.6%7.9%32.3%17.8%27.1%8.0%-4.2%99.4K-913.0K-5.9K0.9799.182202131,824655
2016-09-13$18.95$20.0047.8%6.8%32.6%22.1%24.7%7.0%2.7%91.3K-618.3K-5.4K0.9795.342202131,824655
2016-09-14$18.82$20.0024.9%7.2%32.1%8.6%27.5%2.9%0.9%87.8K-484.3K-5.0K1.09105.702202391,824655
2016-09-15$19.38$20.0025.2%7.2%33.6%8.7%27.0%7.2%4.3%112.8K-909.0K-5.8K0.9396.032352191,834680
2016-09-16$19.08$20.0024.3%7.0%34.1%8.2%24.4%7.6%2.9%96.8K-642.8K-5.2K0.91103.432422191,834686
2016-09-19$18.54$20.0024.7%7.1%34.9%8.5%24.3%1.2%-3.0%84.9K-321.3K-4.3K0.76101.582411841,778648
2016-09-20$18.90$20.0021.8%6.3%35.1%6.7%22.5%7.8%4.6%85.1K-235.7K-3.9K0.6994.852661841,778653
2016-09-21$19.14$20.0025.2%7.2%34.1%8.7%24.5%4.3%1.2%101.9K-588.6K-4.8K0.6996.872661841,778653
2016-09-22$19.41$20.0023.9%6.9%33.4%8.0%23.0%5.6%-0.7%118.3K-845.0K-5.2K0.6296.412891801,778658
2016-09-23$19.41$20.0020.1%5.8%33.2%5.7%20.1%8.9%7.3%144.7K-908.4K-5.0K0.6295.992891801,805659
2016-09-26$20.44$20.0020.7%5.9%37.4%6.1%20.6%5.7%10.4%166.6K-2.3M-5.1K0.6480.213392161,805664
2016-09-27$20.20$20.0027.6%7.9%37.9%10.2%27.6%-0.4%5.7%150.7K-1.8M-6.0K0.2277.685411171,931688
2016-09-28$20.91$20.0022.7%6.5%39.3%7.2%25.5%8.4%7.4%206.4K-2.7M-5.6K0.4397.025472342,196714
2016-09-29$20.71$20.0027.8%8.0%39.7%10.3%27.6%8.4%4.8%167.7K-2.5M-6.4K0.7997.742982352,237714
2016-09-30$20.93$20.0029.4%8.4%39.4%11.2%29.1%8.5%2.2%159.5K-2.7M-6.0K0.7879.712982322,237712