FXI Options History — January 2018

In January 2018, FXI traded between $47.75 and $53.91. ATM implied volatility averaged 19.4%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.1% (HV 20d: 16.3%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-01-24: Highest Volume — 229,789 contracts
  • 2018-01-16: Largest IV spike — 11.9% change
  • 2018-01-26: Highest IV Rank — 100.0%
  • 2018-01-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.64$47.75$53.91$47.75$52.61
Max Pain$47.67$46.00$49.00$47.00$49.00
ATM IV19.4%16.2%24.8%17.8%22.6%
Expected Move5.7%4.8%7.6%5.1%6.7%
HV 20d16.3%14.2%20.4%19.1%17.6%
HV 60d17.1%16.8%18.2%17.0%18.2%
IV Rank65.0%33.5%100.0%51.6%80.8%
IV Percentile85.2%48.0%100.0%86.1%98.8%
Term Structure0.1%-0.4%0.5%0.2%0.1%
VWIV20.3%16.6%26.5%18.4%24.2%
Skew 25d1.5%0.8%3.0%1.5%2.2%
Skew 10d3.2%2.4%6.0%3.1%5.0%
Call IV 25d19.3%16.2%24.4%17.6%22.4%
Put IV 25d20.8%17.3%27.2%19.1%24.6%
Bid-Ask Spread %2.741.6610.752.6110.75
Gamma HHI0.110.080.180.100.09
Net GEX31.6M15.3M59.5M19.2M41.3M
Net DEX-998.8M-1.71B-328.7M-328.7M-1.24B
Net VEX-5.4M-7.2M-4.3M-4.8M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.342.241.142.03
Total Volume84,056.23819,250229,78951,34292,058
Total OI1,411,390.19879,8971,757,1591,422,6061,314,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$47.75$47.0017.8%5.1%19.1%51.6%18.4%1.5%0.2%19.2M-328.7M-4.8M1.142.6123,97527,367335,4071,087,199
2018-01-03$48.17$47.0017.6%5.0%19.2%49.2%18.0%1.2%0.0%21.8M-445.1M-4.7M0.763.2224,86818,894343,1901,102,378
2018-01-04$48.32$46.0017.1%5.1%19.2%43.9%18.0%1.0%0.2%24.2M-479.4M-4.7M0.841.6616,05913,438348,6591,107,824
2018-01-05$48.54$46.0016.9%4.8%16.9%41.2%17.5%1.2%0.2%46.6M-545.0M-4.4M2.092.0811,93624,955346,8831,104,526
2018-01-08$48.71$46.5017.0%4.9%16.7%41.8%17.5%1.3%0.1%24.2M-545.2M-4.5M0.592.2712,1417,109343,2731,116,346
2018-01-09$48.58$46.5016.8%4.8%16.2%40.1%17.1%1.4%-0.1%27.8M-523.0M-4.3M1.323.3748,02563,405344,8871,118,199
2018-01-10$48.60$47.0016.9%4.8%16.1%40.6%16.9%1.4%-0.2%24.3M-521.2M-4.9M1.242.1816,86320,827381,4091,171,187
2018-01-11$48.93$47.0016.5%4.8%15.5%36.6%17.0%1.3%0.2%20.6M-638.1M-4.9M1.552.4810,42616,191388,7441,184,791
2018-01-12$49.77$47.0016.2%4.8%14.9%33.5%16.6%1.0%0.5%15.3M-968.7M-4.6M0.461.8074,77834,102391,3631,185,596
2018-01-16$49.81$48.0018.2%5.2%14.3%55.9%18.9%1.3%-0.4%26.0M-965.2M-4.8M1.251.9922,64228,289428,3051,190,862
2018-01-17$50.70$48.0019.3%5.5%14.4%69.4%20.0%2.1%-0.4%27.3M-1.31B-4.7M1.032.7558,20960,004445,1091,207,106
2018-01-18$51.05$48.0018.6%5.4%14.4%61.4%19.4%1.4%-0.1%19.0M-1.45B-5.0M0.851.9744,27037,495470,0871,245,390
2018-01-19$51.88$48.0018.9%5.4%14.6%63.7%20.5%1.3%-0.4%25.2M-1.71B-4.9M2.242.0828,27563,367502,5441,254,615
2018-01-22$52.21$48.0019.5%5.7%14.3%71.5%21.0%1.7%0.1%23.7M-1.05B-4.9M0.982.4676,48775,308373,162506,735
2018-01-23$53.00$48.0020.9%6.2%14.2%88.1%22.3%1.3%0.1%40.0M-1.32B-5.2M0.342.09167,71356,805442,736561,526
2018-01-24$53.35$48.0021.9%6.4%14.2%98.6%23.1%1.2%0.1%59.5M-1.57B-6.1M0.512.25151,87877,911547,499603,706
2018-01-25$52.68$49.0021.7%6.4%15.7%96.9%22.7%1.3%0.4%50.4M-1.32B-7.2M0.941.8628,89527,245625,329664,060
2018-01-26$53.91$49.0023.2%7.0%16.1%100.0%24.9%0.8%-0.1%53.6M-1.69B-6.6M0.881.9834,58530,331592,827674,456
2018-01-29$52.92$49.0024.3%7.4%18.7%100.0%26.2%1.8%0.5%42.5M-1.33B-7.0M0.543.4434,75518,675603,796677,950
2018-01-30$52.05$49.0024.8%7.6%20.4%100.0%26.5%3.0%0.3%31.8M-1.02B-7.2M0.792.2447,32337,302624,230680,795
2018-01-31$52.61$49.0022.6%6.7%17.6%80.8%24.2%2.2%0.1%41.3M-1.24B-6.9M2.0310.7530,38661,672620,492694,016