FXI Options History — June 2018

In June 2018, FXI traded between $42.07 and $48.70. ATM implied volatility averaged 18.8%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.0% (HV 20d: 17.8%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2018-06-01: Highest Volume — 338,243 contracts
  • 2018-06-27: Largest IV spike — 13.9% change
  • 2018-06-27: Highest IV Rank — 58.3%
  • 2018-06-27: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.89$42.07$48.70$47.35$43.06
Max Pain$46.81$45.00$48.00$48.00$45.00
ATM IV18.8%16.4%24.2%18.1%22.1%
Expected Move5.4%4.8%7.0%5.4%6.3%
HV 20d17.8%14.3%20.6%17.9%20.6%
HV 60d20.0%18.2%21.8%21.6%19.1%
IV Rank29.0%15.7%58.3%25.2%47.1%
IV Percentile54.4%31.3%84.1%54.0%77.4%
Term Structure0.1%-0.8%0.5%-0.8%-0.1%
VWIV19.3%15.6%25.3%18.9%25.3%
Skew 25d2.9%2.2%4.3%3.0%3.4%
Skew 10d5.3%3.7%8.4%4.8%6.3%
Call IV 25d18.0%15.9%22.5%17.4%21.0%
Put IV 25d20.9%18.2%26.6%20.4%24.3%
Bid-Ask Spread %5.181.7214.052.922.16
Gamma HHI0.130.090.220.100.11
Net GEX-34.3M-91.9M57.5M-42.1M-75.6M
Net DEX724.7M-563.0M1.91B414.7M1.44B
Net VEX-9.5M-11.8M-8.6M-8.6M-11.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.552.840.611.01
Total Volume129,486.85732,678338,243338,243145,459
Total OI1,686,162.191,310,6842,001,3541,475,3462,001,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$47.35$48.0018.1%5.4%17.9%25.2%18.9%3.0%-0.8%-42.1M414.7M-8.6M0.612.92209,840128,403585,900889,446
2018-06-04$48.00$47.0018.3%5.1%18.4%26.3%18.5%2.3%0.2%17.0M-109.2M-9.6M0.955.9728,09326,712756,365949,689
2018-06-05$48.08$47.0017.5%5.0%18.3%21.6%17.3%2.7%0.3%19.5M-153.5M-9.5M0.803.3924,71119,752763,300960,493
2018-06-06$48.70$47.0016.6%4.8%18.2%17.0%18.3%2.5%0.3%57.5M-563.0M-9.5M0.815.2324,65619,903784,472961,807
2018-06-07$48.48$47.0017.3%5.1%18.2%20.6%19.3%2.5%0.3%42.3M-415.8M-9.5M2.537.0327,71069,993783,949967,042
2018-06-08$48.22$47.0017.4%5.0%17.8%21.2%17.5%2.3%0.0%21.2M-241.3M-9.6M0.955.4816,79115,887795,4551,019,476
2018-06-11$48.03$47.0017.1%5.0%17.8%19.5%17.4%2.2%0.2%11.5M-83.5M-9.1M2.847.6621,72761,744784,3551,011,709
2018-06-12$47.85$47.0016.4%4.8%17.4%15.7%17.4%2.4%0.1%-10.6M72.5M-9.3M2.457.7114,70836,027792,6241,048,104
2018-06-13$47.34$47.0016.6%4.9%16.5%16.8%17.1%2.4%0.4%-40.2M418.8M-9.1M1.7611.6033,82359,436795,7881,039,252
2018-06-14$47.13$47.0016.4%4.8%15.1%15.8%16.5%2.3%0.4%-64.4M620.1M-9.1M1.3214.0548,49763,938810,1131,076,343
2018-06-15$46.70$47.0016.6%4.8%14.3%17.1%16.9%2.4%-0.2%-49.6M1.00B-9.2M1.367.9348,64066,111820,4191,106,626
2018-06-18$46.23$47.0017.1%4.9%14.6%19.6%15.6%2.5%0.5%-38.9M715.5M-8.9M0.558.7597,86253,684567,130743,554
2018-06-19$44.94$48.0018.3%5.2%17.0%26.1%18.9%4.3%0.5%-58.7M1.12B-8.8M1.891.9644,30983,535580,535777,836
2018-06-20$44.73$48.0019.1%5.5%17.0%30.9%18.9%2.6%-0.1%-60.7M1.16B-9.0M0.551.8789,37349,282606,579807,812
2018-06-21$43.67$46.0020.5%5.9%18.3%38.5%20.2%3.2%-0.2%-68.3M1.52B-8.9M1.964.0853,215104,445678,294834,110
2018-06-22$44.11$46.0019.4%5.6%18.9%31.9%19.1%2.6%-0.1%-65.9M1.30B-9.7M2.791.8729,93383,497699,318857,185
2018-06-25$43.36$47.0021.4%6.3%19.5%43.2%22.7%3.7%0.5%-76.1M1.59B-9.5M1.053.7584,57288,728694,939875,252
2018-06-26$43.24$46.0021.2%6.0%18.6%42.2%20.6%3.0%-0.5%-91.9M1.65B-9.7M1.231.7771,29487,514710,232912,966
2018-06-27$42.07$46.0024.2%7.0%20.2%58.3%24.5%4.1%-0.5%-74.7M1.91B-9.8M1.131.87122,290138,222759,603945,365
2018-06-28$42.32$46.0023.3%6.8%19.6%53.5%25.0%4.3%-0.3%-71.0M1.84B-10.5M1.181.72103,342121,566848,4541,006,161
2018-06-29$43.06$45.0022.1%6.3%20.6%47.1%25.3%3.4%-0.1%-75.6M1.44B-11.8M1.012.1672,43473,025918,4121,082,942