FXI Options History — October 2017

In October 2017, FXI traded between $44.18 and $46.45. ATM implied volatility averaged 16.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.2% (HV 20d: 17.7%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.96.

Notable Days

  • 2017-10-20: Highest Volume — 125,776 contracts
  • 2017-10-30: Largest IV spike — 8.4% change
  • 2017-10-30: Highest IV Rank — 34.0%
  • 2017-10-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.82$44.18$46.45$44.18$45.88
Max Pain$45.00$44.00$46.00$44.00$46.00
ATM IV16.5%15.6%17.5%16.3%16.8%
Expected Move4.8%4.5%5.2%4.5%4.8%
HV 20d17.7%15.0%19.4%16.1%15.0%
HV 60d16.1%15.5%16.9%15.5%16.9%
IV Rank25.1%17.8%34.0%23.7%27.6%
IV Percentile50.5%31.7%71.8%44.4%59.9%
Term Structure0.2%-0.3%0.7%0.3%0.7%
VWIV16.9%15.5%19.1%16.1%17.7%
Skew 25d1.5%-1.4%2.3%1.9%2.1%
Skew 10d3.5%1.9%4.8%4.4%4.3%
Call IV 25d16.3%15.6%17.8%16.0%16.3%
Put IV 25d17.8%16.4%19.5%17.9%18.4%
Bid-Ask Spread %3.322.2111.592.472.45
Gamma HHI0.150.080.410.100.08
Net GEX56.3M15.2M146.9M19.5M21.4M
Net DEX-1.49B-2.08B-764.6M-764.6M-1.11B
Net VEX-7.7M-8.8M-7.1M-8.8M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.716.126.121.53
Total Volume74,322.09129,922125,77655,94978,336
Total OI2,206,490.4552,098,2922,417,8072,098,2922,146,110

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$44.18$44.0016.3%4.5%16.1%23.7%16.1%1.9%0.3%19.5M-764.6M-8.8M6.122.477,85648,093706,1301,392,162
2017-10-03$45.43$44.0016.5%4.8%18.0%25.2%17.1%1.5%0.2%42.6M-1.45B-8.0M0.912.5151,72546,874706,7841,393,302
2017-10-04$45.62$44.0016.5%4.7%18.0%25.7%16.7%1.4%0.2%55.1M-1.57B-7.9M3.002.9512,47637,365732,6711,405,286
2017-10-05$46.31$44.0016.8%4.9%18.5%28.1%18.1%1.2%0.1%53.6M-1.90B-7.5M1.603.0429,69247,374733,6861,404,333
2017-10-06$45.83$44.0017.0%5.0%18.9%29.2%18.7%1.6%0.2%53.9M-1.66B-8.0M0.712.8237,44726,574743,6821,411,599
2017-10-09$45.65$44.0017.0%4.9%18.2%29.3%18.4%1.7%0.1%65.4M-1.61B-7.8M2.172.359,42920,493747,2811,405,058
2017-10-10$46.00$44.0016.3%4.7%18.3%24.0%16.5%1.4%0.2%67.8M-1.78B-7.2M1.772.6032,83358,089748,3751,409,420
2017-10-11$45.87$45.0016.1%4.7%18.1%22.5%16.6%1.4%0.1%70.1M-1.73B-7.3M1.742.8635,43761,800759,2821,447,250
2017-10-12$45.84$45.0016.0%4.6%18.0%21.2%16.4%1.5%0.2%76.5M-1.67B-7.6M5.462.967,14939,003787,3541,484,894
2017-10-13$46.20$45.0015.9%4.6%18.0%20.9%16.1%1.0%0.4%73.3M-1.93B-7.2M1.403.3742,40459,503786,7151,489,726
2017-10-16$46.31$45.0016.2%4.6%17.7%22.7%16.6%1.3%-0.1%71.1M-1.91B-7.1M1.212.3143,36452,320794,9781,511,999
2017-10-17$46.06$45.0016.1%4.6%17.9%22.2%16.6%1.1%0.0%88.6M-1.83B-7.5M1.002.2157,65557,908826,1521,524,472
2017-10-18$46.43$45.0015.6%4.5%18.0%17.8%15.8%-1.4%-0.1%87.1M-2.08B-7.2M1.3211.5936,15247,706825,4341,542,058
2017-10-19$45.57$45.0016.4%4.7%19.4%24.5%16.6%1.6%-0.3%76.4M-1.41B-7.6M1.922.6926,61851,227835,2691,560,115
2017-10-20$46.11$45.0015.9%4.6%19.4%20.3%15.5%1.5%-0.2%146.9M-1.89B-7.2M1.152.7358,61667,160847,2761,570,531
2017-10-23$45.59$46.0016.5%4.8%16.8%25.6%16.3%1.6%0.3%24.1M-973.2M-8.1M3.062.5918,34356,038716,7691,390,319
2017-10-24$45.61$46.0016.5%4.8%16.7%25.2%16.5%2.0%0.4%20.5M-978.9M-8.1M2.253.1712,29527,722726,1251,405,868
2017-10-25$45.69$46.0017.2%5.0%16.7%31.3%17.6%2.2%0.5%18.5M-994.4M-8.2M2.143.5220,18143,121727,7611,413,894
2017-10-26$45.71$46.0017.0%4.9%16.3%29.4%16.9%2.2%0.5%15.2M-1.02B-8.0M0.902.2826,86524,084732,6421,431,749
2017-10-27$46.45$46.0016.2%4.8%16.8%23.0%16.3%1.7%0.3%74.4M-1.51B-7.7M0.745.2230,73622,739747,3471,438,247
2017-10-30$45.76$46.0017.5%5.2%17.9%34.0%19.1%2.3%0.5%16.5M-1.04B-7.9M1.134.3830,20534,079710,4651,422,220
2017-10-31$45.88$46.0016.8%4.8%15.0%27.6%17.7%2.1%0.7%21.4M-1.11B-7.8M1.532.4530,98147,355717,5521,428,558