FXI Options History — July 2018

In July 2018, FXI traded between $41.40 and $44.28. ATM implied volatility averaged 21.2%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.0% (HV 20d: 23.2%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2018-07-24: Highest Volume — 333,614 contracts
2018-07-12: Largest IV drop — 8.8% change
2018-07-05: Highest IV Rank — 62.5%
2018-07-02: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.72	$41.40	$44.28	$42.05	$43.71
Max Pain	$43.90	$43.00	$45.00	$45.00	$43.00
ATM IV	21.2%	19.3%	24.9%	24.5%	19.4%
Expected Move	6.1%	5.6%	7.5%	7.5%	5.6%
HV 20d	23.2%	19.1%	26.2%	20.4%	23.0%
HV 60d	19.4%	17.7%	21.3%	19.1%	21.3%
IV Rank	41.9%	31.1%	62.5%	60.1%	31.1%
IV Percentile	65.5%	51.2%	87.3%	84.9%	51.2%
Term Structure	-0.3%	-0.8%	0.1%	-0.4%	-0.2%
VWIV	21.7%	19.1%	26.3%	26.3%	21.3%
Skew 25d	3.2%	2.1%	4.2%	3.8%	2.5%
Skew 10d	6.5%	4.2%	8.6%	8.5%	5.3%
Call IV 25d	20.2%	18.1%	23.9%	23.1%	18.4%
Put IV 25d	23.3%	20.9%	27.9%	26.9%	20.9%
Bid-Ask Spread %	2.55	1.30	6.00	1.86	1.80
Gamma HHI	0.12	0.10	0.16	0.10	0.12
Net GEX	-62.2M	-111.3M	20.1M	-71.2M	14.1M
Net DEX	1.32B	-190.7M	2.53B	1.85B	148.7M
Net VEX	-12.6M	-13.9M	-11.4M	-11.4M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.95	3.31	2.35	2.00
Total Volume	148,481.381	51,773	333,614	166,836	67,624
Total OI	2,232,428.952	1,921,205	2,608,956	2,024,335	2,081,823

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
2018-07-02	$42.05	$45.00	24.5%	7.5%	20.4%	60.1%	26.3%	3.8%	-0.4%	-71.2M	1.85B	-11.4M	2.35	1.86	49,791	117,045	931,063	1,093,272
2018-07-03	$42.08	$45.00	24.5%	7.3%	20.4%	60.1%	25.1%	3.4%	-0.6%	-69.6M	1.83B	-11.7M	3.31	3.79	32,367	107,084	950,661	1,114,136
2018-07-05	$41.89	$45.00	24.9%	7.0%	19.1%	62.5%	25.1%	4.0%	-0.3%	-83.0M	2.00B	-11.5M	2.70	4.52	58,358	157,463	967,657	1,151,208
2018-07-06	$42.30	$44.00	22.9%	6.6%	20.0%	51.2%	23.0%	2.8%	-0.2%	-101.9M	1.89B	-12.4M	1.29	2.00	50,531	65,331	1,023,606	1,271,677
2018-07-09	$43.19	$44.00	22.4%	6.3%	22.3%	48.5%	22.8%	3.0%	-0.2%	-63.7M	1.27B	-12.6M	0.98	1.52	49,047	47,911	1,035,692	1,245,071
2018-07-10	$42.94	$44.00	20.9%	6.0%	22.3%	40.6%	21.8%	3.0%	-0.1%	-77.2M	1.43B	-12.4M	1.49	1.38	56,773	84,461	1,041,768	1,247,987
2018-07-11	$42.13	$44.00	22.3%	6.4%	22.8%	48.1%	22.4%	4.2%	0.1%	-90.7M	1.93B	-12.0M	1.29	1.78	65,594	84,369	1,057,244	1,247,919
2018-07-12	$42.93	$44.00	20.3%	5.8%	24.4%	37.3%	20.6%	3.4%	-0.0%	-85.0M	1.40B	-12.3M	1.37	3.34	51,903	70,942	1,093,337	1,275,106
2018-07-13	$42.85	$44.00	19.6%	5.6%	24.4%	33.3%	19.1%	3.2%	-0.0%	-88.1M	1.50B	-12.2M	2.58	1.97	42,178	108,659	1,094,542	1,295,997
2018-07-16	$42.43	$44.00	20.1%	5.8%	24.4%	36.1%	20.0%	3.8%	-0.5%	-96.0M	1.88B	-11.9M	3.07	2.71	26,109	80,236	1,083,340	1,313,167
2018-07-17	$42.37	$44.00	19.3%	5.6%	24.4%	31.8%	19.3%	3.2%	-0.6%	-93.3M	1.94B	-11.8M	1.91	1.30	56,459	108,031	1,087,710	1,323,137
2018-07-18	$42.11	$44.00	19.9%	5.7%	22.7%	34.7%	20.9%	3.5%	0.0%	-95.8M	2.09B	-12.2M	1.01	6.00	53,727	54,176	1,114,174	1,353,690
2018-07-19	$41.40	$44.00	21.2%	6.1%	23.2%	41.9%	20.1%	3.9%	-0.8%	-111.3M	2.53B	-11.9M	1.34	2.13	94,738	126,839	1,130,195	1,380,801
2018-07-20	$42.38	$44.00	20.5%	5.9%	23.8%	38.2%	20.2%	2.8%	-0.4%	-91.2M	1.79B	-12.8M	1.13	3.03	98,964	111,871	1,177,293	1,431,663
2018-07-23	$42.25	$44.00	21.0%	6.1%	23.5%	41.0%	21.7%	3.2%	-0.1%	-59.9M	1.15B	-13.0M	3.15	1.75	31,628	99,579	746,450	1,174,755
2018-07-24	$43.67	$44.00	21.2%	6.2%	25.8%	42.1%	21.7%	2.8%	-0.2%	-14.6M	324.5M	-13.4M	0.95	3.15	171,408	162,206	755,578	1,198,133
2018-07-25	$44.28	$43.00	20.2%	5.7%	26.2%	36.7%	21.5%	2.3%	-0.3%	20.1M	-190.7M	-13.6M	1.03	3.71	88,331	90,991	857,438	1,203,029
2018-07-26	$43.43	$43.00	20.2%	5.9%	25.2%	36.5%	21.2%	2.1%	-0.2%	-4.4M	324.0M	-13.8M	1.14	1.86	56,801	64,682	901,073	1,202,943
2018-07-27	$43.45	$43.00	19.9%	5.7%	25.2%	33.8%	20.7%	2.5%	-0.2%	-46.3M	309.4M	-13.9M	1.89	2.26	42,196	79,933	931,643	1,228,349
2018-07-30	$43.30	$43.00	20.0%	5.9%	24.5%	34.3%	21.3%	2.6%	-0.2%	1.9M	408.4M	-13.6M	1.42	1.58	21,390	30,383	920,008	1,146,673
2018-07-31	$43.71	$43.00	19.4%	5.6%	23.0%	31.1%	21.3%	2.5%	-0.2%	14.1M	148.7M	-13.6M	2.00	1.80	22,565	45,059	922,553	1,159,270