FXI Options History — January 2017

In January 2017, FXI traded between $35.14 and $36.84. ATM implied volatility averaged 17.1%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.4% (HV 20d: 16.8%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2017-01-10: Highest Volume — 234,865 contracts
  • 2017-01-30: Largest IV spike — 8.3% change
  • 2017-01-03: Highest IV Rank — 10.5%
  • 2017-01-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$35.14$36.84$35.14$36.72
Max Pain$36.63$36.00$38.00$38.00$37.00
ATM IV17.1%14.7%20.4%20.4%16.4%
Expected Move4.9%4.0%5.6%5.6%4.7%
HV 20d16.8%10.5%21.8%20.3%10.5%
HV 60d18.5%17.8%19.4%19.2%17.8%
IV Rank1.8%0.0%10.5%10.5%6.5%
IV Percentile1.8%0.0%21.4%21.4%2.8%
Term Structure0.4%-0.1%1.1%0.2%0.7%
VWIV17.4%14.3%20.8%20.8%16.3%
Skew 25d2.1%0.7%3.2%3.2%2.4%
Skew 10d4.7%2.4%6.9%6.9%5.2%
Call IV 25d16.8%14.5%19.9%19.9%15.8%
Put IV 25d18.9%16.1%23.1%23.1%18.2%
Bid-Ask Spread %9.773.5919.406.024.87
Gamma HHI0.130.110.150.150.12
Net GEX-38.6M-112.4M-6.4M-112.4M-24.3M
Net DEX664.9M156.3M1.71B1.71B335.3M
Net VEX-12.3M-12.6M-11.8M-12.0M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.621.062.932.931.37
Total Volume150,430.35102,467234,865140,378106,016
Total OI2,928,786.82,117,3633,549,6122,957,8562,289,541

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$35.14$38.0020.4%5.6%20.3%10.5%20.8%3.2%0.2%-112.4M1.71B-12.0M2.936.0235,703104,675990,1201,967,736
2017-01-04$35.50$38.0019.1%5.2%20.9%5.2%19.2%2.0%0.1%-96.5M1.47B-11.8M1.0813.58108,386116,9091,010,1151,988,159
2017-01-05$36.05$37.0018.5%5.4%21.8%2.5%19.7%2.5%-0.1%-58.5M1.00B-12.2M1.3910.1589,789124,9051,091,6992,016,413
2017-01-06$35.83$37.0018.0%5.3%21.0%0.1%18.0%2.9%0.4%-79.3M1.16B-12.4M1.759.3767,226117,8061,137,0202,070,465
2017-01-09$35.83$37.0018.0%5.2%21.0%0.4%15.1%2.1%0.1%-75.1M1.11B-12.3M1.294.7067,28486,7731,149,8242,077,157
2017-01-10$36.35$37.0017.8%5.4%21.8%0.0%18.7%2.1%1.1%-44.4M705.3M-12.3M1.8715.1581,717153,1481,186,6432,067,285
2017-01-11$36.58$37.0017.8%5.2%20.0%0.2%18.8%2.2%0.5%-29.7M529.1M-12.4M1.1811.2281,70996,1291,214,3822,111,093
2017-01-12$36.48$37.0017.9%5.3%19.3%0.4%18.5%2.3%0.7%-31.5M613.9M-12.6M1.589.5155,41687,5221,250,8672,169,509
2017-01-13$36.61$36.0016.8%4.9%17.7%0.0%18.4%2.4%0.3%-13.1M487.3M-12.5M1.514.9467,885102,5261,273,6142,190,871
2017-01-17$36.35$36.0017.6%5.1%17.7%3.1%18.5%1.4%0.0%-33.3M677.8M-12.5M1.913.5939,79876,1871,278,9122,218,572
2017-01-18$36.60$36.0016.8%4.8%17.1%0.0%16.5%2.1%0.8%-13.2M448.4M-12.4M1.5819.4057,23890,2451,282,2752,230,285
2017-01-19$36.41$36.0017.5%5.0%17.1%3.0%17.0%2.3%-0.1%-27.7M666.6M-12.5M2.356.0438,28190,0901,287,4972,240,071
2017-01-20$36.32$36.0016.4%4.7%17.1%0.0%16.6%1.6%0.1%-29.4M721.7M-12.4M1.4412.8356,19280,7511,295,7502,253,862
2017-01-23$36.49$36.0016.4%4.7%17.1%0.2%17.4%2.2%0.3%-35.0M412.3M-12.3M1.064.3255,96259,599687,6161,429,747
2017-01-24$36.65$36.0016.0%4.5%11.3%0.0%17.2%1.5%0.8%-23.9M295.4M-12.2M1.999.1840,27880,336710,4411,461,454
2017-01-25$36.78$36.0015.3%4.3%11.1%0.0%15.3%1.7%0.1%-10.0M192.3M-11.9M1.594.6445,64572,601715,4051,472,929
2017-01-26$36.84$36.0015.2%4.2%11.1%0.0%14.3%0.7%0.6%-6.4M156.3M-12.0M1.179.9766,74778,412735,0211,484,036
2017-01-27$36.77$36.5014.7%4.0%11.2%0.0%14.7%1.7%0.4%-7.2M221.1M-12.3M1.4417.0551,76674,488760,1881,515,737
2017-01-30$36.66$37.0015.9%4.7%10.6%4.6%16.8%2.2%0.4%-22.1M378.1M-12.3M1.8418.8136,10366,364755,7541,507,671
2017-01-31$36.72$37.0016.4%4.7%10.5%6.5%16.3%2.4%0.7%-24.3M335.3M-12.3M1.374.8744,74661,270758,3391,531,202