FXI Options History — October 2018

In October 2018, FXI traded between $37.97 and $42.93. ATM implied volatility averaged 25.8%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.3% (HV 20d: 21.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.88.

Notable Days

2018-10-19: Highest Volume — 421,945 contracts
2018-10-04: Largest IV spike — 11.6% change
2018-10-29: Highest IV Rank — 92.4%
2018-10-29: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.03	$37.97	$42.93	$42.93	$39.41
Max Pain	$41.76	$41.00	$42.00	$42.00	$41.00
ATM IV	25.8%	20.0%	30.5%	20.0%	26.2%
Expected Move	7.5%	5.8%	9.5%	5.8%	7.8%
HV 20d	21.5%	17.7%	27.8%	17.7%	27.8%
HV 60d	23.0%	21.9%	24.1%	22.9%	23.9%
IV Rank	63.2%	27.7%	92.4%	27.7%	65.2%
IV Percentile	86.5%	44.4%	98.8%	44.4%	88.1%
Term Structure	-0.3%	-1.3%	0.4%	0.1%	-0.1%
VWIV	26.6%	21.6%	32.7%	21.7%	27.1%
Skew 25d	3.5%	1.7%	5.4%	1.7%	3.8%
Skew 10d	7.0%	3.0%	10.6%	3.0%	7.2%
Call IV 25d	24.6%	19.7%	28.3%	19.7%	24.8%
Put IV 25d	28.1%	21.5%	33.7%	21.5%	28.6%
Bid-Ask Spread %	3.05	1.21	9.34	2.42	2.36
Gamma HHI	0.10	0.08	0.13	0.12	0.08
Net GEX	-49.2M	-124.3M	106.8M	106.8M	-18.1M
Net DEX	2.06B	-411.8M	3.37B	-411.8M	1.82B
Net VEX	-16.6M	-18.2M	-15.0M	-18.1M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.23	2.24	1.33	0.70
Total Volume	205,704.826	119,443	421,945	196,184	223,465
Total OI	3,461,516.87	3,099,938	3,735,873	3,099,938	3,665,085

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
2018-10-01	$42.93	$42.00	20.0%	5.8%	17.7%	27.7%	21.7%	1.7%	0.1%	106.8M	-411.8M	-18.1M	1.33	2.42	84,336	111,848	1,588,627	1,511,311
2018-10-02	$42.04	$42.00	21.5%	6.3%	19.0%	36.6%	21.6%	2.1%	0.2%	27.8M	572.3M	-17.6M	1.06	3.38	130,478	138,759	1,599,985	1,533,048
2018-10-03	$41.68	$42.00	21.4%	6.2%	18.2%	35.9%	22.2%	1.9%	0.4%	-4.7M	1.02B	-17.4M	1.32	2.39	68,611	90,517	1,652,423	1,579,016
2018-10-04	$40.69	$42.00	23.8%	6.6%	20.2%	51.1%	24.7%	2.8%	0.1%	-70.1M	2.04B	-16.9M	0.91	1.87	178,830	162,511	1,648,729	1,634,205
2018-10-05	$40.79	$42.00	23.6%	6.7%	19.8%	49.6%	23.3%	2.9%	-0.1%	-60.9M	1.89B	-17.1M	0.72	1.60	120,336	86,485	1,733,295	1,681,986
2018-10-08	$40.69	$42.00	23.8%	6.6%	19.6%	51.2%	23.8%	3.1%	-0.8%	-53.5M	1.94B	-16.3M	1.27	1.55	56,119	71,144	1,717,976	1,653,994
2018-10-09	$40.48	$42.00	23.7%	6.9%	19.6%	50.2%	25.4%	3.1%	0.4%	-63.7M	2.14B	-16.2M	2.24	1.21	36,921	82,522	1,734,476	1,665,457
2018-10-10	$39.57	$42.00	26.2%	7.4%	20.6%	65.9%	26.1%	3.5%	-0.4%	-95.0M	2.83B	-15.5M	1.42	2.37	108,364	154,050	1,736,855	1,706,238
2018-10-11	$39.29	$42.00	28.2%	8.0%	19.2%	78.1%	28.5%	3.4%	-0.2%	-99.2M	2.92B	-15.7M	1.27	6.51	83,324	105,486	1,785,206	1,738,664
2018-10-12	$40.01	$42.00	27.1%	7.7%	20.5%	71.5%	27.3%	4.1%	-0.6%	-56.7M	2.36B	-16.5M	0.94	4.85	97,890	91,974	1,812,525	1,741,480
2018-10-15	$39.65	$42.00	26.1%	7.4%	20.6%	65.2%	26.4%	3.9%	-0.2%	-116.6M	2.77B	-15.7M	1.26	1.64	61,368	77,440	1,790,067	1,763,804
2018-10-16	$40.20	$42.00	25.3%	7.3%	19.9%	60.3%	25.7%	3.4%	-0.9%	-103.3M	2.36B	-16.2M	0.57	2.04	133,313	75,557	1,799,196	1,783,777
2018-10-17	$39.71	$42.00	25.6%	7.3%	18.8%	61.8%	26.2%	3.5%	-0.4%	-112.0M	2.72B	-15.8M	0.72	1.90	72,082	51,809	1,860,918	1,784,432
2018-10-18	$38.78	$42.00	27.7%	8.0%	19.8%	75.0%	28.4%	3.9%	-1.2%	-124.3M	3.37B	-15.0M	1.05	2.41	90,614	95,149	1,873,418	1,812,094
2018-10-19	$39.47	$42.00	26.3%	7.7%	20.8%	66.1%	25.9%	3.5%	-1.3%	-45.2M	2.78B	-15.6M	0.53	1.57	275,210	146,735	1,924,531	1,811,342
2018-10-22	$40.52	$42.00	26.0%	7.7%	23.2%	63.9%	26.9%	3.5%	-0.1%	-19.3M	1.27B	-17.8M	0.59	2.24	131,135	77,910	1,567,285	1,618,549
2018-10-23	$40.08	$42.00	26.9%	8.1%	23.2%	69.9%	28.5%	3.6%	-0.3%	-31.9M	1.60B	-17.8M	0.23	2.27	294,660	68,611	1,627,846	1,658,003
2018-10-24	$39.20	$41.50	28.7%	8.6%	23.7%	81.2%	29.1%	4.4%	-0.5%	-33.7M	2.10B	-17.4M	0.59	8.50	96,432	57,125	1,846,877	1,667,314
2018-10-25	$39.69	$41.00	27.5%	8.2%	24.5%	73.3%	28.8%	3.7%	-0.2%	-19.1M	1.67B	-18.2M	0.38	2.05	96,870	36,376	1,880,679	1,685,861
2018-10-26	$39.03	$41.00	29.0%	8.8%	24.9%	83.0%	30.4%	4.6%	-0.5%	-37.8M	2.21B	-17.2M	0.40	3.21	96,092	38,073	1,883,879	1,686,403
2018-10-29	$37.97	$41.00	30.5%	9.5%	25.9%	92.4%	32.7%	5.4%	-0.3%	-56.0M	2.86B	-15.2M	0.34	9.34	132,040	44,557	1,899,124	1,664,546
2018-10-30	$38.76	$41.00	28.5%	8.6%	26.9%	79.6%	30.2%	4.3%	-0.7%	-45.6M	2.41B	-16.2M	0.50	2.37	131,692	66,391	1,924,541	1,679,821
2018-10-31	$39.41	$41.00	26.2%	7.8%	27.8%	65.2%	27.1%	3.8%	-0.1%	-18.1M	1.82B	-17.2M	0.70	2.36	131,266	92,199	1,964,773	1,700,312