FXI Options History — May 2016

In May 2016, FXI traded between $31.19 and $33.72. ATM implied volatility averaged 25.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.3% (HV 20d: 21.0%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-05-03: Highest Volume — 412,024 contracts
  • 2016-05-10: Largest IV drop — 9.7% change
  • 2016-05-18: Highest IV Rank — 17.6%
  • 2016-05-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.15$31.19$33.72$33.49$33.72
Max Pain$33.55$33.00$36.00$36.00$33.00
ATM IV25.4%23.2%27.3%26.3%25.0%
Expected Move7.3%6.3%8.1%7.7%7.2%
HV 20d21.0%17.8%24.1%24.0%23.8%
HV 60d23.9%22.6%25.2%24.7%22.6%
IV Rank11.1%3.7%17.6%14.4%9.6%
IV Percentile18.1%1.6%42.1%27.8%11.1%
Term Structure0.3%-0.8%1.7%0.3%-0.8%
VWIV26.7%22.6%29.8%27.4%24.9%
Skew 25d4.3%3.4%5.7%3.4%4.0%
Skew 10d8.1%6.5%10.9%7.2%10.9%
Call IV 25d23.8%21.2%26.1%25.2%22.7%
Put IV 25d28.0%25.7%30.2%28.6%26.7%
Bid-Ask Spread %2.932.633.662.933.60
Gamma HHI0.130.090.270.090.10
Net GEX-65.5M-140.8M3.6M-32.1M3.6M
Net DEX1.92B701.9M2.78B1.24B701.9M
Net VEX-11.8M-12.4M-11.2M-12.4M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.711.881.240.88
Total Volume254,661.238112,399412,024342,454112,399
Total OI3,006,803.7142,588,2273,494,4052,775,2282,660,682

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$33.49$36.0026.3%7.7%24.0%14.4%27.4%3.4%0.3%-32.1M1.24B-12.4M1.242.93152,624189,8301,076,7241,698,504
2016-05-03$32.67$35.0027.1%8.1%24.1%16.9%28.3%4.1%0.2%-46.5M1.68B-12.3M0.772.82233,376178,6481,148,4031,743,998
2016-05-04$32.28$35.5027.0%8.0%23.4%16.6%29.0%3.9%0.2%-61.3M1.90B-12.2M1.162.73116,409135,2501,151,3291,777,589
2016-05-05$32.31$33.0026.3%7.7%22.3%14.2%27.8%4.2%0.1%-60.2M1.86B-12.0M0.842.79132,571111,0361,153,4161,759,268
2016-05-06$32.14$33.0025.7%7.5%21.8%12.2%26.4%4.1%0.9%-67.1M2.03B-11.9M0.712.68147,813104,7601,162,8781,780,630
2016-05-09$31.63$33.0026.8%7.6%21.7%16.2%28.7%4.5%-0.2%-78.2M2.24B-11.2M1.303.02150,007194,7851,142,5101,781,652
2016-05-10$32.33$33.0024.2%7.2%22.8%7.1%27.5%3.6%0.8%-62.6M1.93B-11.7M0.922.64203,367187,9281,173,4441,850,123
2016-05-11$31.85$34.0023.9%7.0%17.9%5.9%26.7%3.6%0.6%-77.1M2.27B-11.9M1.242.68182,519226,9701,250,5161,909,166
2016-05-12$31.77$33.0023.8%6.9%17.8%5.6%26.8%3.7%0.3%-88.6M2.41B-12.0M0.892.63146,025130,3981,274,4602,019,184
2016-05-13$31.19$34.0025.9%7.6%18.1%12.9%27.4%4.0%0.9%-111.9M2.78B-11.7M1.402.65130,134181,7011,287,9402,046,247
2016-05-16$31.81$34.0024.6%7.1%19.7%8.6%26.5%4.8%0.7%-99.2M2.42B-11.9M1.522.80118,100179,9361,256,0902,061,353
2016-05-17$31.75$33.0025.0%7.2%18.9%9.7%29.8%4.2%1.7%-103.9M2.45B-11.6M1.513.6696,705145,6231,274,3532,090,764
2016-05-18$31.40$33.0027.3%7.8%18.9%17.6%28.2%5.3%-0.5%-115.9M2.66B-11.6M1.003.07111,465112,0131,300,6732,109,586
2016-05-19$31.19$33.0026.7%7.6%18.9%15.7%28.3%4.0%1.3%-140.8M2.76B-11.3M1.882.9684,210158,3841,315,9202,129,835
2016-05-20$31.64$33.0025.2%7.0%20.1%10.5%26.4%3.9%1.7%-57.4M2.48B-12.0M1.202.74100,121120,1971,320,2742,174,131
2016-05-23$31.54$33.0025.8%7.2%19.9%12.5%26.8%5.7%-0.3%-60.9M1.67B-11.7M0.833.0573,01260,867914,6821,673,545
2016-05-24$32.16$33.0025.1%6.9%21.4%10.0%24.9%5.1%-0.5%-42.3M1.39B-11.8M0.963.0684,67580,895941,9461,678,917
2016-05-25$32.73$33.0024.2%6.6%22.2%7.0%24.3%4.6%-0.4%-28.2M1.13B-11.9M1.223.07108,463132,461932,1221,699,224
2016-05-26$32.67$33.0023.8%6.4%22.0%5.6%22.7%4.5%-0.5%-24.7M1.18B-12.0M0.793.0065,20751,233988,1541,709,697
2016-05-27$32.85$34.0023.2%6.3%21.8%3.7%22.6%4.5%-0.3%-20.5M1.11B-11.8M0.733.0167,00348,7661,001,5751,721,374
2016-05-31$33.72$33.0025.0%7.2%23.8%9.6%24.9%4.0%-0.8%3.6M701.9M-11.7M0.883.6059,68952,710984,9511,675,731