FXI Options History — March 2018

In March 2018, FXI traded between $46.03 and $49.22. ATM implied volatility averaged 25.2%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.8% (HV 20d: 28.0%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2018-03-26: Highest Volume — 157,992 contracts
  • 2018-03-22: Largest IV spike — 16.9% change
  • 2018-03-23: Highest IV Rank — 87.0%
  • 2018-03-23: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.95$46.03$49.22$47.29$47.28
Max Pain$48.57$48.00$50.00$50.00$48.00
ATM IV25.2%22.0%29.4%27.9%25.2%
Expected Move7.2%6.3%8.5%8.3%7.1%
HV 20d28.0%22.4%35.5%35.5%26.1%
HV 60d26.3%25.3%28.5%25.9%27.7%
IV Rank64.3%46.9%87.0%79.1%64.5%
IV Percentile92.7%86.1%98.8%98.0%90.9%
Term Structure-0.1%-0.7%0.8%-0.7%0.5%
VWIV26.2%22.1%31.4%31.4%26.5%
Skew 25d4.0%2.6%5.7%5.3%5.4%
Skew 10d8.1%4.7%13.0%11.3%11.5%
Call IV 25d23.8%20.9%27.6%26.5%23.8%
Put IV 25d27.8%23.5%33.0%31.7%29.1%
Bid-Ask Spread %5.012.468.157.365.12
Gamma HHI0.090.060.120.110.08
Net GEX-28.3M-49.3M-3.4M-44.8M-29.7M
Net DEX369.4M-189.2M847.8M798.8M472.1M
Net VEX-8.4M-10.1M-7.4M-7.5M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.872.502.091.32
Total Volume95,665.95256,688157,99263,13683,369
Total OI1,253,6941,051,6971,404,3471,262,6201,404,347

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$47.29$50.0027.9%8.3%35.5%79.1%31.4%5.3%-0.7%-44.8M798.8M-7.5M2.097.3620,43242,704582,978679,642
2018-03-02$47.37$50.0026.2%7.9%35.4%70.0%30.4%4.4%-0.6%-36.3M706.3M-7.6M2.365.2534,06380,353528,415667,898
2018-03-05$47.27$49.0025.7%7.4%35.1%67.1%26.0%4.9%-0.3%-42.5M654.2M-7.7M1.203.2131,43037,830527,203675,491
2018-03-06$47.54$49.0025.4%7.2%34.9%65.7%26.7%4.0%-0.2%-35.7M533.4M-7.6M1.125.5326,76029,928523,117662,367
2018-03-07$47.51$49.0025.9%7.2%34.4%68.1%26.1%3.7%-0.5%-36.3M557.5M-7.6M1.714.6933,69557,493528,341670,302
2018-03-08$47.65$49.0024.6%6.8%29.2%61.0%24.8%3.8%-0.3%-39.8M538.8M-7.6M1.685.9126,60744,575539,578700,937
2018-03-09$48.98$49.0023.2%6.6%26.2%53.3%24.1%2.7%-0.1%-28.4M106.3M-7.6M1.675.0124,58641,137545,499687,558
2018-03-12$49.16$49.0022.9%6.6%26.1%51.6%23.5%2.7%0.3%-31.2M45.5M-7.4M0.874.6537,19732,351549,077694,511
2018-03-13$48.49$49.0023.8%7.0%26.5%56.7%23.9%3.9%0.8%-22.8M256.0M-7.5M1.585.8026,68042,091571,161702,653
2018-03-14$48.69$49.0023.5%6.8%26.5%55.4%24.6%3.0%0.2%-22.6M239.7M-7.6M1.504.5445,06767,704574,663703,670
2018-03-15$49.01$48.0022.7%6.5%24.9%50.9%23.8%2.6%0.1%-21.0M152.8M-7.9M1.722.8246,69380,512598,820736,921
2018-03-16$49.19$48.0022.0%6.3%23.6%46.9%22.1%2.6%-0.3%-9.1M96.7M-8.0M1.382.4643,36859,979600,721772,901
2018-03-19$48.65$48.0024.0%6.9%23.8%57.7%24.3%3.6%-0.1%-14.4M20.4M-8.4M1.005.2643,12343,003438,543613,154
2018-03-20$49.22$48.0024.8%7.1%22.9%62.3%26.0%3.8%-0.6%-3.4M-189.2M-8.5M2.033.6135,40071,843466,412623,590
2018-03-21$48.95$48.0023.0%6.6%22.4%52.4%23.0%2.8%0.0%-10.3M-83.3M-8.9M1.068.1562,67166,316490,500672,474
2018-03-22$47.15$48.0026.9%7.7%26.0%73.5%28.7%4.6%-0.4%-26.8M495.1M-9.4M2.486.8240,07899,517535,485705,877
2018-03-23$46.03$48.0029.4%8.5%26.3%87.0%29.3%5.4%-0.6%-49.3M847.8M-9.5M2.503.7737,71294,222544,771745,571
2018-03-26$47.74$48.0026.5%7.5%29.4%71.5%26.9%3.8%-0.1%-23.8M304.0M-9.7M0.974.1480,07677,916541,894752,211
2018-03-27$47.10$48.0027.5%7.9%26.4%76.6%28.8%5.0%0.5%-31.1M518.9M-10.1M1.267.2133,53042,220584,440797,577
2018-03-28$46.67$48.0027.9%8.2%25.6%79.2%29.5%5.7%-0.1%-36.0M685.4M-10.0M1.673.8631,71253,042583,372802,932
2018-03-29$47.28$48.0025.2%7.1%26.1%64.5%26.5%5.4%0.5%-29.7M472.1M-10.0M1.325.1235,90647,463591,083813,264