FXI Options History — August 2018

In August 2018, FXI traded between $40.60 and $43.57. ATM implied volatility averaged 20.4%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.7% (HV 20d: 25.1%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.01.

Notable Days

2018-08-17: Highest Volume — 369,703 contracts
2018-08-15: Largest IV spike — 17.8% change
2018-08-15: Highest IV Rank — 55.1%
2018-08-15: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.35	$40.60	$43.57	$42.64	$42.43
Max Pain	$42.48	$42.00	$43.00	$43.00	$42.00
ATM IV	20.4%	18.2%	23.8%	20.1%	20.9%
Expected Move	5.9%	5.4%	6.6%	5.9%	6.0%
HV 20d	25.1%	23.8%	27.6%	24.8%	26.2%
HV 60d	22.5%	21.4%	24.0%	21.8%	24.0%
IV Rank	35.8%	23.3%	55.1%	33.7%	38.6%
IV Percentile	57.2%	40.1%	81.7%	56.0%	61.9%
Term Structure	-0.0%	-0.6%	0.4%	-0.1%	-0.0%
VWIV	20.7%	18.5%	24.0%	21.2%	21.6%
Skew 25d	2.8%	1.8%	4.7%	2.9%	2.9%
Skew 10d	5.8%	3.6%	10.7%	6.3%	5.3%
Call IV 25d	19.5%	17.7%	22.0%	19.1%	20.2%
Put IV 25d	22.3%	19.7%	26.7%	22.0%	23.1%
Bid-Ask Spread %	4.77	1.96	11.74	8.85	4.45
Gamma HHI	0.11	0.09	0.18	0.12	0.09
Net GEX	2.3M	-104.4M	113.7M	-25.2M	58.2M
Net DEX	797.0M	-601.7M	2.45B	919.8M	415.9M
Net VEX	-15.5M	-17.9M	-13.2M	-13.2M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.27	2.09	1.55	1.00
Total Volume	184,799.957	73,576	369,703	168,582	162,926
Total OI	2,506,942.826	2,084,168	2,853,484	2,084,168	2,790,418

Daily Data (23 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
2018-08-01	$42.64	$43.00	20.1%	5.9%	24.8%	33.7%	21.2%	2.9%	-0.1%	-25.2M	919.8M	-13.2M	1.55	8.85	66,058	102,524	928,620	1,155,548
2018-08-02	$42.10	$43.00	21.0%	6.3%	25.2%	39.1%	23.2%	3.4%	-0.2%	-46.1M	1.34B	-13.6M	2.09	1.96	54,570	113,862	953,326	1,223,620
2018-08-03	$42.17	$43.00	19.9%	5.8%	25.0%	33.0%	20.0%	2.8%	-0.2%	-43.0M	1.31B	-13.6M	0.86	1.99	81,941	70,489	962,781	1,266,197
2018-08-06	$41.91	$43.00	19.8%	5.7%	23.8%	32.3%	20.2%	3.2%	0.1%	-50.1M	1.43B	-13.4M	1.51	1.98	38,769	58,668	991,640	1,252,133
2018-08-07	$42.84	$43.00	19.0%	5.5%	25.1%	27.5%	18.9%	2.7%	0.0%	-2.8M	714.0M	-13.9M	0.86	2.66	103,612	89,623	1,011,746	1,280,877
2018-08-08	$42.68	$43.00	19.2%	5.5%	24.2%	28.5%	20.1%	3.0%	0.1%	-13.3M	862.4M	-14.1M	1.52	2.09	59,050	90,028	1,055,826	1,316,358
2018-08-09	$43.35	$43.00	18.2%	5.4%	23.9%	23.3%	18.5%	2.0%	0.2%	39.1M	206.0M	-14.3M	0.60	5.81	116,045	69,478	1,084,862	1,336,829
2018-08-10	$42.71	$43.00	19.8%	5.6%	24.5%	32.1%	19.9%	2.9%	0.0%	-25.6M	885.1M	-14.7M	0.87	8.78	96,207	83,433	1,110,544	1,365,863
2018-08-13	$42.19	$43.00	20.8%	6.0%	24.6%	37.9%	20.1%	3.7%	0.1%	-33.5M	1.24B	-14.4M	1.99	3.71	61,756	122,786	1,149,726	1,338,360
2018-08-14	$42.08	$43.00	20.3%	5.8%	24.6%	34.7%	20.8%	3.4%	0.0%	-38.7M	1.36B	-14.1M	1.13	11.42	161,013	182,060	1,165,677	1,348,927
2018-08-15	$40.60	$43.00	23.8%	6.6%	27.6%	55.1%	24.0%	4.7%	-0.6%	-104.4M	2.45B	-14.1M	0.96	9.57	147,397	142,107	1,258,792	1,401,292
2018-08-16	$41.00	$42.00	22.3%	6.4%	27.3%	46.1%	22.9%	3.6%	0.0%	-99.0M	2.10B	-14.5M	1.27	3.47	102,147	129,364	1,324,696	1,436,999
2018-08-17	$41.55	$42.00	22.6%	6.4%	26.4%	48.2%	22.5%	3.0%	-0.2%	-74.0M	1.69B	-15.5M	0.88	7.64	196,204	173,499	1,369,074	1,484,410
2018-08-20	$41.64	$42.00	21.7%	6.2%	26.4%	42.9%	21.6%	2.7%	0.2%	-16.0M	962.2M	-16.3M	0.89	2.18	81,133	72,468	1,051,568	1,228,036
2018-08-21	$42.44	$42.00	19.6%	5.6%	24.4%	31.0%	20.1%	2.4%	0.3%	12.9M	444.2M	-16.5M	0.41	1.96	236,552	97,117	1,075,685	1,242,782
2018-08-22	$42.81	$42.00	19.5%	5.6%	24.0%	30.4%	19.8%	2.1%	0.0%	66.5M	-34.9M	-17.6M	0.60	5.63	63,478	38,219	1,287,377	1,310,112
2018-08-23	$41.98	$42.00	19.9%	5.7%	24.0%	32.6%	19.9%	2.5%	0.4%	24.2M	666.4M	-17.0M	0.51	2.99	83,437	42,248	1,311,091	1,319,425
2018-08-24	$42.63	$42.00	19.4%	5.5%	24.8%	29.7%	19.5%	1.8%	0.1%	100.0M	58.3M	-17.4M	1.90	2.27	45,217	86,109	1,341,628	1,325,124
2018-08-27	$43.33	$42.00	20.3%	5.8%	25.5%	35.0%	20.5%	2.0%	-0.1%	93.8M	-430.8M	-17.9M	0.27	4.25	155,612	42,403	1,325,542	1,344,169
2018-08-28	$43.16	$42.00	20.0%	5.7%	25.3%	33.2%	19.8%	2.2%	-0.2%	88.7M	-232.4M	-17.7M	0.50	2.12	64,853	32,147	1,346,239	1,341,820
2018-08-29	$43.57	$42.00	19.4%	5.6%	23.8%	29.9%	19.4%	1.8%	0.0%	113.7M	-601.7M	-17.7M	0.59	2.13	46,171	27,405	1,364,862	1,350,695
2018-08-30	$42.21	$42.00	22.6%	6.5%	26.1%	48.2%	22.5%	2.8%	-0.1%	27.7M	569.7M	-17.5M	0.56	11.74	102,696	57,518	1,368,433	1,359,956
2018-08-31	$42.43	$42.00	20.9%	6.0%	26.2%	38.6%	21.6%	2.9%	-0.0%	58.2M	415.9M	-17.5M	1.00	4.45	81,636	81,290	1,400,596	1,389,822