FXI Options History — May 2018

In May 2018, FXI traded between $46.12 and $48.64. ATM implied volatility averaged 20.0%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 15.5%). Max pain ranged from $47.00 to $48.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.48.

Notable Days

2018-05-16: Highest Volume — 166,227 contracts
2018-05-29: Largest IV spike — 12.1% change
2018-05-29: Highest IV Rank — 46.2%
2018-05-29: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.34	$46.12	$48.64	$46.73	$46.89
Max Pain	$47.93	$47.00	$48.50	$47.00	$48.00
ATM IV	20.0%	18.1%	21.9%	20.9%	19.0%
Expected Move	5.8%	5.3%	6.5%	6.2%	5.5%
HV 20d	15.5%	11.9%	18.4%	18.4%	17.7%
HV 60d	23.4%	20.9%	27.7%	27.7%	21.5%
IV Rank	35.3%	25.3%	46.2%	40.6%	30.0%
IV Percentile	65.5%	58.7%	76.6%	70.2%	58.7%
Term Structure	0.1%	-0.7%	1.0%	0.1%	-0.2%
VWIV	20.5%	18.9%	22.3%	22.1%	20.1%
Skew 25d	2.1%	0.5%	4.3%	1.8%	3.7%
Skew 10d	4.2%	1.2%	8.8%	4.0%	6.8%
Call IV 25d	19.3%	17.8%	20.5%	20.3%	17.8%
Put IV 25d	21.5%	18.8%	24.3%	22.1%	21.5%
Bid-Ask Spread %	3.75	1.75	12.57	1.90	2.67
Gamma HHI	0.10	0.07	0.12	0.11	0.10
Net GEX	-40.8M	-82.9M	15.5M	-71.1M	-50.3M
Net DEX	340.2M	-629.8M	1.01B	748.8M	659.9M
Net VEX	-8.9M	-9.8M	-8.2M	-9.8M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.42	2.85	1.94	1.86
Total Volume	75,482.227	33,086	166,227	63,897	72,262
Total OI	1,688,382	1,340,180	2,022,173	1,756,839	1,431,770

Daily Data (22 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
2018-05-01	$46.73	$47.00	20.9%	6.2%	18.4%	40.6%	22.1%	1.8%	0.1%	-71.1M	748.8M	-9.8M	1.94	1.90	21,726	42,171	693,988	1,062,851
2018-05-02	$46.73	$47.00	20.7%	6.1%	18.4%	39.4%	21.4%	1.6%	0.1%	-74.7M	771.4M	-9.8M	1.19	12.57	21,687	25,721	696,952	1,081,475
2018-05-03	$46.50	$48.00	20.8%	6.1%	18.4%	39.7%	21.6%	2.1%	0.2%	-82.9M	925.2M	-9.7M	0.53	3.16	67,481	35,511	711,200	1,082,978
2018-05-04	$46.59	$48.00	20.5%	5.9%	16.3%	38.2%	21.0%	1.9%	0.3%	-75.8M	845.3M	-9.7M	0.82	8.99	50,797	41,850	731,693	1,097,258
2018-05-07	$46.34	$48.00	20.6%	6.1%	15.5%	39.1%	21.4%	1.9%	0.6%	-81.2M	998.3M	-9.5M	0.75	2.38	25,682	19,307	716,308	1,079,886
2018-05-08	$46.97	$48.00	20.7%	6.0%	12.5%	39.3%	21.7%	2.1%	0.3%	-60.8M	566.2M	-9.5M	1.42	2.25	22,224	31,607	718,125	1,085,842
2018-05-09	$47.37	$48.00	19.8%	5.9%	12.9%	34.3%	20.7%	1.3%	0.7%	-47.1M	273.3M	-9.2M	1.03	3.39	34,831	35,841	718,721	1,094,900
2018-05-10	$47.98	$48.00	19.2%	5.7%	13.7%	31.4%	20.5%	0.9%	0.9%	-15.8M	-218.0M	-8.9M	1.96	3.62	42,550	83,438	732,726	1,102,476
2018-05-11	$48.17	$48.00	18.1%	5.3%	12.5%	25.3%	19.1%	0.6%	0.7%	-19.9M	-360.7M	-8.8M	2.37	3.38	21,430	50,865	753,276	1,144,384
2018-05-14	$48.64	$48.00	18.7%	5.4%	11.9%	28.5%	19.4%	0.5%	1.0%	-13.4M	-629.8M	-8.5M	1.33	3.13	18,816	24,943	749,884	1,135,662
2018-05-15	$47.73	$48.00	20.1%	5.8%	14.0%	35.8%	20.6%	1.1%	0.9%	-49.3M	50.9M	-8.7M	1.52	6.12	18,223	27,651	751,915	1,139,009
2018-05-16	$48.59	$48.00	19.2%	5.5%	15.2%	31.3%	19.6%	1.4%	0.8%	-15.4M	-552.7M	-8.3M	0.42	9.33	116,702	49,525	757,606	1,135,335
2018-05-17	$47.79	$48.00	19.5%	5.6%	16.6%	33.0%	19.7%	1.3%	0.1%	-6.9M	-88.0M	-8.4M	2.35	1.81	18,718	44,017	851,179	1,154,601
2018-05-18	$47.87	$48.00	19.2%	5.5%	15.3%	31.0%	19.3%	1.2%	0.1%	5.5M	-161.0M	-8.4M	1.52	2.47	35,977	54,690	860,641	1,161,532
2018-05-21	$48.21	$48.00	19.8%	5.6%	15.4%	34.6%	19.5%	2.4%	-0.2%	15.5M	37.6M	-8.4M	1.30	1.75	24,606	31,878	570,649	778,799
2018-05-22	$48.06	$48.00	19.3%	5.4%	15.1%	31.8%	18.9%	2.4%	-0.5%	1.7M	129.3M	-8.4M	2.31	2.17	20,057	46,239	583,103	788,756
2018-05-23	$47.52	$48.00	20.7%	5.8%	15.4%	39.1%	20.8%	3.2%	-0.7%	-27.8M	393.6M	-8.5M	2.74	2.84	24,555	67,326	585,727	796,823
2018-05-24	$47.20	$48.00	20.5%	5.9%	15.5%	38.5%	20.6%	3.2%	-0.6%	-47.9M	563.6M	-8.6M	0.81	2.10	34,716	28,246	589,116	831,477
2018-05-25	$47.06	$48.00	19.6%	5.5%	15.6%	33.2%	19.3%	3.4%	-0.5%	-54.0M	623.4M	-8.5M	1.22	2.16	24,381	29,660	593,293	835,363
2018-05-29	$46.12	$48.00	21.9%	6.5%	17.1%	46.2%	22.2%	4.3%	-0.7%	-66.2M	1.01B	-8.2M	0.42	2.30	98,210	41,406	502,695	837,485
2018-05-30	$46.32	$48.50	20.2%	5.9%	17.1%	36.8%	22.3%	4.0%	-0.7%	-60.1M	897.4M	-8.4M	2.85	2.10	8,591	24,495	564,680	852,265
2018-05-31	$46.89	$48.00	19.0%	5.5%	17.7%	30.0%	20.1%	3.7%	-0.2%	-50.3M	659.9M	-8.5M	1.86	2.67	25,279	46,983	570,581	861,189