KXI Options History — December 2014

In December 2014, KXI traded between $44.26 and $46.32. ATM implied volatility averaged 16.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 7.5% (HV 20d: 8.8%). Max pain ranged from $45.00 to $45.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2014-12-17: Highest Volume — 154 contracts
  • 2014-12-18: Largest IV spike — 172.1% change
  • 2014-12-19: Highest IV Rank — 100.0%
  • 2014-12-29: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.37$44.26$46.32$46.31$44.80
Max Pain$45.27$45.00$45.50$45.50$45.00
ATM IV16.3%6.8%56.8%9.2%14.9%
Expected Move3.7%2.7%5.4%3.0%4.3%
HV 20d8.8%6.1%10.9%6.5%10.9%
HV 60d11.2%11.0%11.7%11.1%11.4%
IV Rank22.3%3.4%100.0%8.4%18.9%
IV Percentile70.3%5.2%100.0%40.9%91.7%
Term Structure0.3%-1.8%2.7%-1.0%-0.3%
VWIV12.5%10.3%18.4%11.3%18.4%
Skew 25d2.4%-1.0%6.5%-0.2%2.4%
Skew 10d3.4%-1.0%8.2%-1.0%4.4%
Call IV 25d9.4%6.9%15.3%11.5%15.3%
Put IV 25d11.9%7.2%17.7%11.2%17.7%
Bid-Ask Spread %93.3937.61180.7246.35175.59
Gamma HHI0.350.260.630.290.35
Net GEX6.9K-32.4K25.6K10.2K-3.4K
Net DEX-176.4K-440.4K171.5K-419.6K4.2K
Net VEX-556-712-439-626-439
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.691.502.501.571.50
Total Volume78.36401541080
Total OI174.2735829622058

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$46.31$45.509.2%3.0%6.5%8.4%11.3%-0.2%-1.0%10.2K-419.6K-6261.5746.35N/AN/A426612496
2014-12-02$46.32$45.508.2%2.9%6.1%6.3%11.0%0.5%0.7%8.6K-440.4K-5651.5743.75N/AN/A426612496
2014-12-03$45.93$45.507.0%2.7%7.1%3.9%10.3%0.7%1.0%13.1K-401.7K-6021.5748.69N/AN/A426612496
2014-12-04$45.95$45.507.4%2.7%6.8%4.7%0.0%-1.0%1.3%15.9K-390.1K-6230.0046.15N/AN/A0012496
2014-12-05$45.99$45.506.8%2.7%6.8%3.4%10.4%3.0%2.7%14.0K-410.9K-5691.6251.65N/AN/A426812496
2014-12-08$45.80$45.508.3%2.9%7.0%6.6%11.0%2.3%1.4%17.3K-369.7K-5931.6243.48N/AN/A426812498
2014-12-09$45.55$45.508.7%3.0%7.2%7.3%10.8%3.8%0.2%20.3K-345.9K-5861.6237.61N/AN/A426812498
2014-12-10$45.19$45.5011.9%3.4%7.6%14.0%11.7%6.5%-1.8%18.9K-280.8K-6491.6243.72N/AN/A426812498
2014-12-11$45.23$45.5012.1%3.5%7.5%14.5%12.2%6.3%-1.6%19.4K-291.9K-6231.6242.61N/AN/A426812498
2014-12-12$44.65$45.5012.8%3.7%8.4%15.9%12.6%2.4%-0.3%20.7K-203.0K-6241.6243.12N/AN/A426812498
2014-12-15$44.26$45.5014.0%3.5%8.8%18.5%11.5%0.0%0.0%25.1K-163.3K-4821.7652.84N/AN/A427412498
2014-12-16$44.27$45.5017.0%3.8%8.6%24.8%12.3%0.0%0.0%14.4K-64.7K-5481.7650.47N/AN/A4274124108
2014-12-17$44.56$45.0018.3%3.4%8.7%27.4%11.4%0.0%0.0%25.6K-179.6K-5622.5049.39N/AN/A44110132116
2014-12-18$45.31$45.0049.7%4.1%10.7%93.2%14.6%0.0%0.0%-15.7K-139.4K-7122.50163.08N/AN/A44110132164
2014-12-19$45.12$45.0056.8%3.9%10.6%100.0%0.0%0.0%0.0%-32.4K171.5K-6090.00180.72N/AN/A0056164
2014-12-22$45.37$45.0014.3%4.1%10.7%17.7%13.7%0.0%0.0%-3.3K9.0K-4861.50177.75N/AN/A16242236
2014-12-23$45.52$45.0014.0%4.0%10.8%17.0%13.7%0.0%0.0%-3.3K8.5K-4821.50175.28N/AN/A16242236
2014-12-24$45.65$45.0014.1%4.1%10.8%17.4%13.9%0.0%0.0%-3.3K6.0K-4811.50174.24N/AN/A16242236
2014-12-26$45.70$45.0017.7%5.1%10.8%24.2%15.3%0.0%0.0%-3.2K860-4571.50123.01N/AN/A16242236
2014-12-29$45.45$45.0018.9%5.4%10.5%26.5%18.4%0.0%0.0%-2.9K8.6K-4591.50115.18N/AN/A16242236
2014-12-30$45.16$45.0015.9%4.6%10.6%20.8%0.0%0.0%0.0%-3.3K11.2K-4600.00169.85N/AN/A002236
2014-12-31$44.80$45.0014.9%4.3%10.9%18.9%0.0%0.0%0.0%-3.4K4.2K-4390.00175.59N/AN/A002236