FXI Options History — February 2018

In February 2018, FXI traded between $46.12 and $51.87. ATM implied volatility averaged 26.7%, placing in the 76.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.0% (HV 20d: 30.8%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2018-02-08: Highest Volume — 293,328 contracts
  • 2018-02-05: Largest IV spike — 30.5% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.76$46.12$51.87$51.87$47.30
Max Pain$50.84$50.00$53.00$53.00$50.00
ATM IV26.7%22.1%31.8%22.1%26.7%
Expected Move7.7%6.4%9.2%6.4%8.1%
HV 20d30.8%18.8%35.9%18.8%35.9%
HV 60d23.3%18.5%25.9%18.5%25.9%
IV Rank76.6%59.5%100.0%75.9%72.4%
IV Percentile97.7%93.7%100.0%98.4%96.8%
Term Structure-0.4%-2.5%0.9%0.1%-0.8%
VWIV27.6%23.0%31.8%23.0%28.7%
Skew 25d4.2%2.3%8.1%2.3%5.1%
Skew 10d7.5%3.9%12.4%4.6%9.9%
Call IV 25d25.5%21.8%30.5%21.8%25.7%
Put IV 25d29.7%24.0%38.5%24.0%30.7%
Bid-Ask Spread %7.913.3239.713.956.88
Gamma HHI0.090.070.110.080.08
Net GEX-23.6M-58.3M16.4M16.4M-39.3M
Net DEX279.8M-904.0M1.50B-904.0M658.1M
Net VEX-7.7M-8.5M-7.4M-7.5M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.585.422.501.14
Total Volume111,220.31642,724293,32860,437174,234
Total OI1,397,326.2111,046,8491,769,9291,356,3831,156,891

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$51.87$53.0022.1%6.4%18.8%75.9%23.0%2.3%0.1%16.4M-904.0M-7.5M2.503.9517,26943,168627,438728,945
2018-02-02$51.04$53.0024.0%6.9%20.1%92.8%25.2%3.9%0.2%8.7M-539.0M-7.7M3.024.5436,474110,006634,737741,957
2018-02-05$50.13$53.0031.3%8.4%21.4%100.0%28.6%3.2%-2.5%-8.9M-178.1M-8.5M2.1339.7133,42171,277654,518779,721
2018-02-06$50.82$53.0027.2%7.6%21.8%77.0%27.0%3.9%-0.6%2.8M-440.9M-8.2M1.7310.8135,35761,032664,860786,155
2018-02-07$48.25$51.0029.1%8.3%29.0%88.0%28.5%4.8%-0.3%-35.4M593.7M-8.1M2.108.1649,664104,241683,061781,277
2018-02-08$46.21$51.0031.4%9.2%32.8%100.0%31.8%6.1%0.3%-39.0M1.28B-7.8M1.7910.10105,145188,183713,218800,843
2018-02-09$46.12$51.0031.8%8.7%32.6%100.0%31.6%8.1%-1.6%-53.2M1.50B-7.8M5.4210.7435,964194,903725,419890,453
2018-02-12$46.71$51.0028.2%8.1%32.3%81.0%29.9%5.8%-0.1%-58.3M1.25B-7.6M1.116.6155,46061,683723,118961,646
2018-02-13$46.78$50.0026.9%7.7%32.3%73.4%29.4%5.0%-0.5%-49.6M1.19B-7.4M1.003.3227,59727,497744,302957,197
2018-02-14$48.05$50.0025.3%7.3%33.2%65.1%25.2%3.1%-0.8%-46.3M627.2M-7.5M0.585.0762,04735,836751,940958,690
2018-02-15$49.17$50.0025.2%7.2%34.3%64.4%26.6%3.1%-0.1%-26.4M-36.1M-7.7M1.443.9733,20447,882778,783966,603
2018-02-16$49.47$50.0024.7%7.1%33.8%61.5%27.0%3.0%0.0%-9.1M-211.8M-7.6M0.754.1387,68065,363791,542978,387
2018-02-20$48.42$50.0026.0%7.5%34.3%68.7%26.7%3.6%0.9%-17.1M208.3M-7.6M0.584.8742,43324,574486,601560,732
2018-02-21$49.10$50.0027.3%7.8%34.2%75.8%28.0%3.9%-0.3%-8.9M35.0M-7.6M1.056.7629,97731,619486,408560,441
2018-02-22$48.83$50.0026.1%7.4%34.0%69.2%28.2%4.1%-0.5%-20.4M165.1M-7.5M1.445.3132,47046,699497,534582,286
2018-02-23$49.62$50.0024.6%7.0%34.6%60.9%26.2%3.6%-0.1%-13.3M-38.4M-7.7M1.344.9618,22224,502511,724622,925
2018-02-26$50.23$50.0024.3%7.2%33.7%59.5%25.1%3.5%-0.3%-15.5M-205.8M-7.5M0.775.1826,59320,507494,281625,322
2018-02-27$48.29$50.0026.2%8.1%35.7%69.7%28.5%3.7%-0.6%-35.4M374.8M-7.7M1.075.3024,61126,392506,895632,348
2018-02-28$47.30$50.0026.7%8.1%35.9%72.4%28.7%5.1%-0.8%-39.3M658.1M-7.5M1.146.8881,29292,942517,045639,846