FXI Options History — September 2018

In September 2018, FXI traded between $40.34 and $43.23. ATM implied volatility averaged 21.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.6% (HV 20d: 23.0%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2018-09-14: Highest Volume — 374,299 contracts
2018-09-27: Largest IV drop — 4.3% change
2018-09-07: Highest IV Rank — 48.7%
2018-09-05: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.92	$40.34	$43.23	$42.05	$42.74
Max Pain	$42.05	$42.00	$43.00	$42.00	$42.00
ATM IV	21.4%	19.5%	22.7%	21.9%	19.5%
Expected Move	6.1%	5.5%	6.6%	6.5%	5.5%
HV 20d	23.0%	17.7%	26.3%	26.3%	17.7%
HV 60d	23.9%	22.9%	24.4%	24.1%	22.9%
IV Rank	39.7%	24.5%	48.7%	44.0%	24.5%
IV Percentile	62.0%	38.1%	76.2%	70.2%	38.1%
Term Structure	-0.1%	-1.1%	0.4%	0.0%	0.3%
VWIV	21.5%	18.9%	23.6%	23.2%	18.9%
Skew 25d	2.5%	0.9%	4.0%	2.9%	2.0%
Skew 10d	4.8%	2.3%	7.7%	6.0%	3.5%
Call IV 25d	20.8%	18.8%	21.7%	21.0%	18.8%
Put IV 25d	23.2%	20.9%	25.5%	23.8%	20.9%
Bid-Ask Spread %	3.42	1.46	11.18	1.88	2.04
Gamma HHI	0.12	0.10	0.18	0.10	0.13
Net GEX	50.8M	-89.5M	273.9M	7.7M	90.6M
Net DEX	439.6M	-1.68B	2.13B	787.2M	-286.2M
Net VEX	-17.6M	-19.2M	-15.6M	-17.2M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.18	1.09	1.09	0.26
Total Volume	212,206.474	82,123	374,299	143,414	280,957
Total OI	3,198,037.789	2,781,942	3,852,702	2,781,942	3,211,653

Daily Data (19 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
2018-09-04	$42.05	$42.00	21.9%	6.5%	26.3%	44.0%	23.2%	2.9%	0.0%	7.7M	787.2M	-17.2M	1.09	1.88	68,690	74,724	1,370,905	1,411,037
2018-09-05	$41.35	$42.00	22.6%	6.6%	25.6%	47.9%	23.6%	3.9%	-0.1%	-39.7M	1.40B	-16.5M	0.41	2.05	141,265	58,535	1,357,294	1,425,787
2018-09-06	$41.36	$43.00	22.6%	6.5%	25.6%	47.8%	21.6%	3.8%	-0.2%	-32.0M	1.34B	-16.8M	0.54	3.28	137,471	74,214	1,392,720	1,443,246
2018-09-07	$40.87	$42.00	22.7%	6.4%	25.0%	48.7%	22.6%	4.0%	-0.4%	-60.6M	1.72B	-16.7M	0.89	11.18	109,184	97,308	1,454,289	1,490,600
2018-09-10	$40.54	$42.00	22.7%	6.2%	24.7%	48.3%	22.6%	3.8%	-1.1%	-82.1M	1.97B	-15.9M	0.42	1.87	95,476	40,066	1,460,112	1,524,373
2018-09-11	$40.34	$42.00	22.5%	6.6%	24.5%	47.6%	23.0%	4.0%	0.4%	-89.5M	2.13B	-15.6M	0.77	3.35	69,384	53,301	1,473,566	1,533,178
2018-09-12	$40.85	$42.00	22.3%	6.3%	25.0%	46.4%	21.9%	2.6%	-0.2%	-50.8M	1.64B	-16.2M	0.47	2.66	139,215	65,522	1,517,790	1,542,085
2018-09-13	$41.63	$42.00	21.9%	6.1%	22.5%	44.3%	21.3%	2.2%	-0.6%	29.6M	708.7M	-17.1M	0.47	7.87	237,917	112,482	1,616,047	1,565,071
2018-09-14	$41.34	$42.00	21.2%	6.1%	22.4%	39.9%	20.8%	2.1%	-0.1%	11.0M	1.07B	-16.8M	0.72	2.01	217,516	156,783	1,651,147	1,588,232
2018-09-17	$41.04	$42.00	21.5%	6.1%	22.1%	42.1%	21.6%	2.4%	0.3%	-15.3M	1.32B	-17.2M	0.18	3.74	242,750	42,742	1,782,732	1,651,221
2018-09-18	$41.85	$42.00	20.8%	5.9%	23.2%	36.6%	21.0%	1.5%	-0.1%	56.6M	312.5M	-18.1M	0.26	1.46	198,638	51,461	1,876,137	1,652,665
2018-09-19	$42.58	$42.00	20.3%	5.8%	23.0%	33.9%	20.8%	1.7%	0.1%	122.2M	-655.1M	-18.9M	0.25	1.73	186,208	46,497	1,917,473	1,670,538
2018-09-20	$42.81	$42.00	20.1%	5.8%	22.9%	32.6%	20.5%	0.9%	-0.1%	190.6M	-1.05B	-18.8M	0.72	1.63	157,369	113,069	2,036,472	1,679,131
2018-09-21	$43.21	$42.00	20.8%	6.0%	21.9%	36.4%	20.9%	1.4%	-0.3%	273.9M	-1.68B	-19.2M	0.84	1.92	169,082	141,585	2,134,253	1,718,449
2018-09-24	$42.66	$42.00	21.4%	6.2%	21.8%	38.8%	21.6%	2.1%	-0.1%	111.3M	-285.4M	-18.6M	0.98	2.12	44,398	43,651	1,647,754	1,454,474
2018-09-25	$42.88	$42.00	21.2%	6.1%	21.0%	34.8%	21.4%	2.1%	-0.0%	126.5M	-502.9M	-18.9M	0.52	1.90	77,424	40,463	1,648,150	1,486,645
2018-09-26	$43.23	$42.00	20.8%	6.1%	21.2%	32.4%	21.1%	1.8%	-0.0%	166.8M	-907.7M	-18.9M	0.89	10.15	43,401	38,722	1,690,279	1,487,567
2018-09-27	$43.06	$42.00	19.9%	5.6%	20.9%	26.9%	19.9%	1.6%	0.3%	148.8M	-676.5M	-18.5M	0.31	2.18	125,874	38,579	1,703,235	1,496,411
2018-09-28	$42.74	$42.00	19.5%	5.5%	17.7%	24.5%	18.9%	2.0%	0.3%	90.6M	-286.2M	-18.4M	0.26	2.04	223,661	57,296	1,708,587	1,503,066