FXI Options History — December 2017

In December 2017, FXI traded between $44.78 and $46.46. ATM implied volatility averaged 18.2%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.5% (HV 20d: 18.6%). Max pain ranged from $40.00 to $48.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2017-12-20: Highest Volume — 419,803 contracts
  • 2017-12-13: Largest IV drop — 14.5% change
  • 2017-12-01: Highest IV Rank — 99.2%
  • 2017-12-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.77$44.78$46.46$45.82$46.15
Max Pain$44.08$40.00$48.00$46.50$47.00
ATM IV18.2%15.8%21.9%21.9%16.6%
Expected Move5.1%4.6%6.1%6.1%4.7%
HV 20d18.6%15.2%21.7%17.8%15.2%
HV 60d17.0%15.8%18.0%16.8%15.8%
IV Rank55.7%27.9%99.2%99.2%37.6%
IV Percentile74.4%36.9%99.2%99.2%61.5%
Term Structure0.2%-0.7%1.3%-0.3%0.5%
VWIV19.7%11.6%46.6%21.9%17.2%
Skew 25d3.5%0.9%5.6%4.5%2.2%
Skew 10d6.2%0.3%8.7%8.7%4.6%
Call IV 25d16.8%15.0%20.1%20.1%15.8%
Put IV 25d20.3%17.0%24.6%24.6%18.0%
Bid-Ask Spread %5.122.3215.013.972.44
Gamma HHI0.100.070.140.070.09
Net GEX-14.0M-31.3M306.5K-12.4M-4.2M
Net DEX-14.3M-495.9M342.5M-183.0M138.5M
Net VEX-5.7M-6.9M-4.2M-6.9M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.048.902.120.67
Total Volume90,639.824,582419,80395,06624,582
Total OI1,824,330.71,419,6392,194,7552,012,4231,446,961

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$45.82$46.5021.9%6.1%17.8%99.2%21.9%4.5%-0.3%-12.4M-183.0M-6.9M2.123.9730,44164,625710,0841,302,339
2017-12-04$45.88$40.0021.7%5.9%17.8%96.3%22.2%4.0%0.1%-9.1M-271.6M-6.4M2.2315.0126,39158,963701,3881,303,461
2017-12-05$45.88$40.0020.4%5.5%17.7%81.6%19.2%4.8%-0.5%-9.7M-259.3M-6.2M1.869.5819,42136,060709,6471,313,620
2017-12-06$44.88$40.0021.2%5.9%19.1%91.2%21.9%4.1%0.3%-18.9M254.0M-6.3M2.326.3141,46796,024719,3021,326,335
2017-12-07$44.78$43.0020.9%5.6%19.1%87.4%19.6%4.6%0.3%-23.1M342.5M-6.0M1.245.1428,75335,788742,0701,385,665
2017-12-08$45.53$43.0018.9%5.3%20.2%64.3%19.4%4.7%0.2%-15.5M-83.6M-6.0M0.783.6548,05637,556754,8021,384,730
2017-12-11$45.92$43.0018.8%5.1%20.3%63.3%18.1%4.7%-0.7%-10.6M-272.2M-5.9M1.163.2627,82732,368761,1951,386,715
2017-12-12$45.49$43.0018.5%5.3%20.5%59.2%19.4%4.6%0.1%-19.2M321.6K-6.0M3.742.9412,88948,142764,0981,401,864
2017-12-13$46.46$43.0015.8%5.3%21.7%28.2%16.3%3.8%1.3%-5.0M-495.9M-6.0M1.157.6356,01664,559767,1791,415,501
2017-12-14$46.05$43.0017.1%4.8%21.4%43.8%17.1%4.3%-0.5%-14.8M-184.7M-5.5M1.846.7120,87538,310757,3281,415,631
2017-12-15$45.71$43.0017.6%5.0%20.4%49.5%20.9%5.6%-0.6%-18.4M67.8M-5.5M8.906.5121,948195,358770,3501,424,405
2017-12-18$45.96$43.0017.4%5.0%20.5%46.9%18.9%4.6%0.5%-31.3M-166.7M-6.1M1.564.0022,21934,692485,3461,134,865
2017-12-19$45.85$44.0015.8%4.6%20.1%27.9%11.6%0.9%0.2%-15.6M-336.4M-4.2M1.345.1623,02430,842450,1511,131,272
2017-12-20$45.77$44.0016.6%4.8%17.3%37.4%46.6%4.6%1.1%-25.5M53.0M-5.5M0.045.55403,62716,176437,8821,063,455
2017-12-21$45.67$48.0016.7%4.8%17.3%39.0%17.4%1.8%-0.1%-12.8M300.2M-5.3M1.373.5033,35045,617343,3821,076,257
2017-12-22$45.98$47.0016.3%4.6%17.5%33.8%15.7%1.4%0.2%-12.1M180.4M-5.4M0.933.1217,90116,633340,0951,081,343
2017-12-26$45.95$47.0017.3%4.9%16.8%46.4%16.9%1.9%0.3%-10.2M195.0M-5.2M0.532.7622,22411,809338,3421,082,662
2017-12-27$45.73$47.0017.2%4.9%16.5%44.5%17.4%2.1%0.4%-12.5M257.6M-5.2M1.142.3215,37917,591339,0361,081,628
2017-12-28$46.03$47.0016.4%4.7%15.5%35.9%16.9%1.9%0.5%306.5K178.8M-5.1M0.832.8119,29715,996342,8311,093,397
2017-12-29$46.15$47.0016.6%4.7%15.2%37.6%17.2%2.2%0.5%-4.2M138.5M-5.1M0.672.4414,7629,820345,3571,101,604