FXI Options History — April 2018

In April 2018, FXI traded between $45.97 and $48.33. ATM implied volatility averaged 23.6%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.2% (HV 20d: 26.8%). Max pain ranged from $47.00 to $48.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2018-04-18: Highest Volume — 262,899 contracts
2018-04-03: Largest IV drop — 9.3% change
2018-04-02: Highest IV Rank — 86.5%
2018-04-02: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.99	$45.97	$48.33	$46.16	$47.01
Max Pain	$47.74	$47.00	$48.50	$48.00	$47.00
ATM IV	23.6%	20.9%	29.3%	29.3%	20.9%
Expected Move	6.8%	6.1%	9.0%	9.0%	6.2%
HV 20d	26.8%	19.1%	30.0%	27.4%	19.1%
HV 60d	28.6%	27.9%	29.4%	28.1%	27.9%
IV Rank	55.8%	40.9%	86.5%	86.5%	40.9%
IV Percentile	82.4%	69.8%	98.4%	98.4%	69.8%
Term Structure	-0.1%	-0.5%	0.5%	-0.4%	0.0%
VWIV	24.3%	21.1%	33.5%	33.5%	21.9%
Skew 25d	2.7%	0.4%	6.2%	6.2%	2.0%
Skew 10d	5.5%	0.8%	13.0%	13.0%	3.7%
Call IV 25d	22.7%	20.2%	26.9%	26.9%	20.2%
Put IV 25d	25.3%	21.6%	33.0%	33.0%	22.2%
Bid-Ask Spread %	4.39	1.97	11.41	3.84	1.97
Gamma HHI	0.09	0.06	0.13	0.09	0.10
Net GEX	-49.6M	-117.8M	5.1M	-40.4M	-61.7M
Net DEX	619.1M	-162.8M	1.22B	842.9M	573.2M
Net VEX	-10.0M	-10.4M	-9.6M	-9.6M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.74	4.56	2.31	1.08
Total Volume	111,668.238	52,557	262,899	71,879	60,585
Total OI	1,702,820.857	1,399,012	2,005,565	1,399,012	1,734,233

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-04-02	$46.16	$48.00	29.3%	9.0%	27.4%	86.5%	33.5%	6.2%	-0.4%	-40.4M	842.9M	-9.6M	2.31	3.84	21,690	50,189	591,815	807,197
2018-04-03	$46.91	$48.00	26.6%	7.9%	28.1%	71.8%	28.1%	5.4%	-0.1%	-42.7M	622.9M	-9.6M	0.74	3.47	67,169	49,592	596,419	833,077
2018-04-04	$46.94	$48.00	26.0%	7.7%	28.0%	68.9%	29.0%	5.1%	0.1%	-36.5M	572.3M	-9.7M	1.35	3.18	39,912	53,850	636,480	844,475
2018-04-05	$47.06	$48.50	25.7%	7.1%	28.0%	67.0%	24.8%	4.8%	-0.4%	-38.4M	536.8M	-9.8M	1.09	2.97	50,214	54,648	651,579	864,847
2018-04-06	$45.97	$48.50	26.9%	7.5%	29.1%	73.8%	26.5%	5.0%	-0.2%	-46.3M	1.05B	-9.6M	2.60	4.30	33,347	86,768	666,199	886,811
2018-04-09	$46.68	$48.50	25.9%	7.3%	27.8%	68.4%	25.8%	3.5%	-0.3%	-32.1M	674.2M	-9.7M	1.85	7.16	72,126	133,457	665,708	885,476
2018-04-10	$48.02	$48.00	25.5%	7.4%	29.8%	65.8%	26.3%	2.5%	0.4%	-6.5M	-27.6M	-10.1M	1.46	8.83	43,817	63,887	693,191	952,756
2018-04-11	$48.15	$48.00	24.6%	7.1%	29.5%	61.3%	25.1%	1.4%	0.0%	1.6M	-134.5M	-10.0M	4.56	11.41	30,825	140,579	707,739	970,836
2018-04-12	$48.33	$48.00	23.5%	6.9%	29.4%	55.0%	24.5%	2.0%	0.5%	5.1M	-162.8M	-10.4M	1.15	7.51	39,776	45,631	721,367	1,041,176
2018-04-13	$47.59	$48.00	23.2%	6.8%	29.8%	53.4%	23.7%	2.5%	0.5%	-22.5M	325.5M	-10.3M	1.40	6.62	56,172	78,841	729,031	1,051,983
2018-04-16	$47.01	$48.00	22.7%	6.5%	30.0%	51.0%	22.4%	1.6%	0.1%	-51.0M	729.2M	-9.9M	0.77	4.25	92,803	71,216	745,601	1,071,480
2018-04-17	$47.07	$48.00	22.5%	6.5%	29.8%	49.9%	22.8%	1.8%	-0.3%	-56.2M	709.4M	-10.0M	2.00	2.94	35,091	70,260	774,940	1,110,441
2018-04-18	$47.02	$48.00	21.4%	6.1%	29.4%	43.6%	21.5%	0.4%	-0.2%	-69.4M	800.1M	-9.8M	1.11	3.10	124,699	138,200	741,119	1,134,071
2018-04-19	$47.14	$47.50	21.6%	6.2%	29.4%	44.7%	22.0%	0.4%	-0.3%	-62.7M	674.3M	-10.3M	1.31	5.89	39,452	51,763	794,145	1,206,818
2018-04-20	$46.39	$47.50	21.4%	6.1%	26.8%	43.8%	22.1%	1.3%	-0.0%	-117.8M	1.22B	-10.2M	1.99	2.39	27,507	54,815	789,359	1,216,206
2018-04-23	$46.35	$47.00	21.1%	6.1%	25.4%	42.0%	21.1%	2.0%	-0.3%	-91.2M	986.5M	-10.0M	2.21	2.11	26,142	57,761	661,283	1,039,861
2018-04-24	$46.87	$47.00	21.9%	6.3%	22.0%	46.7%	22.3%	1.9%	-0.5%	-70.0M	671.8M	-10.2M	1.55	2.25	33,907	52,725	670,594	1,050,248
2018-04-25	$46.48	$47.00	22.9%	6.6%	21.7%	51.8%	23.1%	1.9%	-0.4%	-77.5M	895.4M	-10.3M	1.12	2.83	24,820	27,737	678,932	1,043,734
2018-04-26	$46.77	$47.00	21.3%	6.2%	21.6%	43.4%	22.6%	2.1%	-0.4%	-72.5M	728.6M	-10.0M	2.86	2.42	18,905	54,147	680,612	1,047,883
2018-04-27	$46.87	$47.00	21.1%	6.1%	21.0%	42.2%	22.1%	2.1%	-0.3%	-52.0M	707.7M	-10.2M	1.72	2.77	25,720	44,288	688,870	1,080,646
2018-04-30	$47.01	$47.00	20.9%	6.2%	19.1%	40.9%	21.9%	2.0%	0.0%	-61.7M	573.2M	-9.8M	1.08	1.97	29,133	31,452	681,759	1,052,474