FXI Options History — October 2016

In October 2016, FXI traded between $36.81 and $39.03. ATM implied volatility averaged 21.7%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.5% (HV 20d: 20.2%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2016-10-13: Highest Volume — 182,608 contracts
  • 2016-10-11: Largest IV spike — 7.4% change
  • 2016-10-13: Highest IV Rank — 26.1%
  • 2016-10-31: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$36.81$39.03$38.04$36.88
Max Pain$37.14$37.00$38.00$38.00$37.00
ATM IV21.7%20.0%24.1%20.1%22.6%
Expected Move6.3%5.5%7.1%5.5%7.1%
HV 20d20.2%17.6%22.3%21.6%18.1%
HV 60d18.2%17.4%18.8%17.4%18.6%
IV Rank15.7%8.6%26.1%9.0%19.9%
IV Percentile21.2%9.5%36.9%10.3%29.0%
Term Structure0.3%-0.7%2.4%1.8%-0.2%
VWIV22.9%19.8%25.8%20.0%24.2%
Skew 25d2.7%1.6%3.6%3.2%3.2%
Skew 10d5.5%4.2%7.3%6.6%5.8%
Call IV 25d21.1%19.3%23.3%19.3%21.7%
Put IV 25d23.8%21.9%26.8%22.5%24.9%
Bid-Ask Spread %3.492.537.133.314.80
Gamma HHI0.090.070.110.080.10
Net GEX-18.6M-81.9M46.6M-3.6M-31.8M
Net DEX122.4M-740.0M770.6M-77.4M687.8M
Net VEX-11.3M-11.7M-10.7M-11.5M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.733.421.160.94
Total Volume106,958.1961,126182,60888,48094,699
Total OI2,642,208.5242,430,4762,926,5212,510,1332,436,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$38.04$38.0020.1%5.5%21.6%9.0%20.0%3.2%1.8%-3.6M-77.4M-11.5M1.163.3140,99847,482986,0521,524,081
2016-10-04$37.80$38.0020.3%5.6%21.0%9.9%19.8%2.8%1.6%-10.5M47.5M-11.7M2.123.0319,59641,5301,004,3181,531,093
2016-10-05$38.57$38.0020.7%5.9%22.3%11.7%21.6%2.3%2.0%18.7M-431.0M-11.7M1.583.2333,21352,5141,006,0951,536,898
2016-10-06$38.78$37.0020.6%6.4%22.2%11.1%25.8%1.6%2.1%30.8M-583.3M-11.5M2.102.5419,80541,5711,017,3471,555,301
2016-10-07$38.50$37.0021.2%6.5%21.3%13.6%24.9%1.6%2.4%23.1M-386.9M-11.5M0.962.5654,77152,4471,019,7851,561,317
2016-10-10$39.03$37.0022.3%6.5%21.8%18.3%23.5%1.8%-0.1%46.6M-740.0M-11.2M1.733.0645,42878,5211,026,0441,569,220
2016-10-11$37.98$37.0023.9%6.8%21.1%25.4%24.6%3.0%-0.4%-20.4M61.0M-11.6M0.832.6678,51064,9721,042,4181,625,496
2016-10-12$37.85$37.0022.9%6.5%21.1%20.8%23.2%2.6%-0.1%-27.6M124.7M-11.4M2.522.5329,74175,0161,087,6031,629,006
2016-10-13$37.26$37.0024.1%6.9%20.9%26.1%24.8%3.6%-0.2%-60.8M589.4M-11.6M2.552.9651,384131,2241,099,3591,652,336
2016-10-14$37.61$37.0022.9%6.5%21.1%21.1%24.5%3.3%-0.3%-81.9M372.7M-11.7M3.422.6438,461131,3661,119,7801,722,335
2016-10-17$37.27$37.0022.8%6.5%21.3%20.6%24.0%3.5%-0.5%-73.9M617.4M-11.5M1.952.8835,49769,0531,094,7761,737,715
2016-10-18$37.83$37.0022.4%6.4%22.0%18.9%22.6%2.5%-0.4%-31.0M158.5M-11.6M1.483.0441,42961,4261,100,7321,750,636
2016-10-19$37.95$37.0022.0%6.3%20.2%17.0%22.6%2.8%-0.7%-18.6M56.8M-11.4M2.023.2428,07156,8251,123,2551,778,481
2016-10-20$37.87$37.0021.1%6.1%20.1%13.2%23.4%2.7%-0.4%-31.7M150.2M-11.3M2.382.7425,91861,5601,127,6951,784,860
2016-10-21$37.85$37.0020.3%5.8%19.4%9.9%20.7%2.5%-0.1%-36.0M215.2M-11.4M1.893.8227,39051,7561,130,7391,795,782
2016-10-24$38.11$37.0020.5%6.0%17.9%10.5%20.5%2.5%0.1%1.9M-14.0M-10.8M1.654.0129,27348,252922,4551,508,021
2016-10-25$37.97$37.0020.0%5.9%17.6%8.6%20.5%2.6%0.3%-1.6M70.3M-10.9M1.287.1334,41544,015936,1401,517,182
2016-10-26$37.57$37.0020.6%6.1%17.6%11.3%21.4%2.6%0.2%-17.4M352.2M-10.9M0.993.3640,21739,843939,5871,522,170
2016-10-27$37.24$37.0021.5%6.4%17.7%15.0%23.0%2.8%-0.0%-29.6M529.2M-11.0M0.734.9487,58864,245947,9101,528,564
2016-10-28$36.81$37.0022.0%6.7%18.0%17.0%24.6%3.3%0.0%-35.8M770.6M-10.9M2.634.8548,579127,521947,5801,539,539
2016-10-31$36.88$37.0022.6%7.1%18.1%19.9%24.2%3.2%-0.2%-31.8M687.8M-10.7M0.944.8048,84345,856923,1411,513,535