FXI Options History — November 2017

In November 2017, FXI traded between $45.83 and $48.31. ATM implied volatility averaged 18.5%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 14.9%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2017-11-16: Highest Volume — 201,128 contracts
  • 2017-11-02: Largest IV drop — 8.6% change
  • 2017-11-24: Highest IV Rank — 100.0%
  • 2017-11-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.87$45.83$48.31$46.23$46.19
Max Pain$45.17$44.00$47.00$46.00$46.50
ATM IV18.5%15.8%22.0%17.3%22.0%
Expected Move5.1%4.8%5.9%4.9%5.9%
HV 20d14.9%13.5%17.7%15.2%17.7%
HV 60d15.7%14.7%16.9%16.9%16.8%
IV Rank56.9%20.2%100.0%32.2%100.0%
IV Percentile75.5%38.1%100.0%69.8%100.0%
Term Structure0.5%-1.4%3.3%0.6%-0.8%
VWIV18.1%16.0%20.8%16.8%20.8%
Skew 25d2.2%0.9%4.5%1.8%4.5%
Skew 10d4.6%2.2%9.1%5.2%9.1%
Call IV 25d17.6%15.3%21.1%16.6%19.5%
Put IV 25d19.8%17.2%24.0%18.5%24.0%
Bid-Ask Spread %4.262.4318.1718.173.89
Gamma HHI0.110.070.150.090.07
Net GEX21.6M-8.9M38.9M27.3M-8.9M
Net DEX-1.37B-1.84B-414.0M-1.33B-414.0M
Net VEX-6.9M-7.8M-6.1M-7.8M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.761.156.581.742.70
Total Volume106,980.61951,201201,12851,20170,786
Total OI2,161,333.9051,845,1172,446,8142,194,1332,005,922

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$46.23$46.0017.3%4.9%15.2%32.2%16.8%1.8%0.6%27.3M-1.33B-7.8M1.7418.1718,71732,484736,5901,457,543
2017-11-02$46.45$44.0015.8%4.8%14.3%20.2%17.4%1.7%0.6%32.1M-1.47B-7.6M3.103.1819,09959,257739,2371,471,390
2017-11-03$46.28$44.0015.8%4.8%13.8%20.2%16.9%2.0%0.7%23.2M-1.33B-7.8M1.153.0136,21541,666744,4921,491,868
2017-11-06$46.44$44.0016.4%4.9%13.8%24.6%16.0%2.1%0.6%32.7M-1.49B-6.9M2.522.5417,32243,679747,7911,492,063
2017-11-07$46.69$44.0016.3%4.8%13.6%28.8%17.7%1.7%0.5%32.9M-1.59B-7.3M2.942.4317,09150,167750,0811,500,907
2017-11-08$46.75$44.0016.3%4.8%13.6%28.5%16.9%1.9%0.5%36.5M-1.64B-7.2M1.354.1766,46489,462749,7051,508,325
2017-11-09$46.80$44.0016.8%4.9%13.6%33.3%17.7%1.7%0.5%31.0M-1.62B-7.4M5.873.3429,030170,352792,3001,555,814
2017-11-10$47.13$44.5016.9%4.9%13.5%34.6%18.2%1.4%0.3%31.5M-1.84B-7.1M6.583.4418,965124,813797,7731,649,041
2017-11-13$46.92$44.0016.8%4.8%13.6%34.9%17.5%1.8%2.0%31.6M-1.72B-6.6M3.042.7227,72084,283787,6681,547,391
2017-11-14$46.42$44.5017.1%4.9%14.1%38.7%17.4%1.8%2.7%26.1M-1.34B-6.8M4.312.6317,21174,145781,9451,550,082
2017-11-15$45.83$44.5017.7%5.1%14.5%52.7%17.1%2.2%2.5%17.7M-807.6M-7.0M1.482.9974,204109,857791,6291,550,297
2017-11-16$46.69$45.0018.0%5.0%14.4%56.1%17.0%1.9%3.3%38.9M-1.64B-6.8M1.722.7773,826127,302816,4431,562,617
2017-11-17$46.51$46.0018.5%5.0%13.9%61.8%18.7%1.9%2.1%5.8M-1.46B-6.9M2.422.7537,74391,213814,7971,585,336
2017-11-20$46.99$46.0019.7%4.8%13.6%76.2%16.9%3.0%-1.4%12.7M-1.16B-6.1M2.416.4132,82779,094646,1461,198,971
2017-11-21$48.23$46.0020.3%5.2%16.1%84.2%17.9%2.6%-0.8%16.3M-1.66B-6.3M1.645.2239,53564,819662,9811,218,098
2017-11-22$48.31$46.0021.4%5.3%16.1%97.5%19.0%1.3%-1.2%18.9M-1.66B-6.2M2.263.7724,18254,770673,5751,237,482
2017-11-24$47.94$46.0021.9%5.3%16.6%100.0%18.8%0.9%-1.4%23.4M-1.48B-6.3M3.055.5314,68744,817683,9001,238,685
2017-11-27$47.21$46.0021.0%5.5%16.9%89.3%19.5%3.0%0.3%9.9M-1.10B-6.5M2.183.1427,49259,807680,5641,234,186
2017-11-28$47.53$46.5020.8%5.6%15.9%87.3%20.4%3.5%-0.2%13.2M-1.24B-6.4M2.892.8626,00575,209697,2691,250,039
2017-11-29$46.65$47.0021.3%5.9%17.5%93.2%20.8%3.9%-0.6%714.3K-733.4M-6.5M2.614.5222,24858,028702,0461,285,023
2017-11-30$46.19$46.5022.0%5.9%17.7%100.0%20.8%4.5%-0.8%-8.9M-414.0M-6.8M2.703.8919,12651,660706,8831,299,039