FXI Options History — November 2018

In November 2018, FXI traded between $39.59 and $42.10. ATM implied volatility averaged 27.4%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.5% (HV 20d: 29.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-11-01: Highest Volume — 678,953 contracts
  • 2018-11-07: Largest IV drop — 10.1% change
  • 2018-11-20: Highest IV Rank — 94.1%
  • 2018-11-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.98$39.59$42.10$40.94$41.96
Max Pain$40.38$40.00$41.00$41.00$41.00
ATM IV27.4%24.9%30.8%26.8%26.2%
Expected Move8.2%7.5%8.9%8.3%8.4%
HV 20d29.9%24.6%32.0%30.2%24.6%
HV 60d24.9%24.6%25.3%25.3%24.9%
IV Rank72.7%57.0%94.1%69.0%65.1%
IV Percentile89.9%78.6%98.8%90.5%81.3%
Term Structure-0.5%-1.8%1.7%-0.3%-1.3%
VWIV27.8%24.6%31.2%29.2%27.5%
Skew 25d3.6%2.4%4.6%3.0%4.6%
Skew 10d6.9%5.1%8.5%6.5%7.8%
Call IV 25d25.6%24.0%27.8%25.8%24.0%
Put IV 25d29.2%26.6%32.3%28.8%28.6%
Bid-Ask Spread %7.852.1718.782.173.54
Gamma HHI0.100.080.140.080.14
Net GEX81.5M-50.8M209.9M52.8M209.9M
Net DEX129.8M-1.49B2.08B212.5M-1.26B
Net VEX-19.4M-20.6M-17.4M-19.4M-20.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.211.410.210.26
Total Volume313,529.333114,313678,953678,953480,964
Total OI4,184,654.193,745,2414,627,0123,745,2414,568,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$40.94$41.0026.8%8.3%30.2%69.0%29.2%3.0%-0.3%52.8M212.5M-19.4M0.212.17560,853118,1002,004,3911,740,850
2018-11-02$41.18$41.0028.7%8.8%30.3%80.7%31.2%2.9%-0.1%86.5M-219.0M-20.6M0.564.35238,718133,3192,158,6601,774,781
2018-11-05$41.16$40.0027.8%8.3%30.2%75.2%28.9%3.0%-0.3%72.3M-27.9M-20.1M0.9010.00138,184123,8682,151,4441,815,824
2018-11-06$40.98$40.0027.7%8.2%30.2%74.8%28.7%2.8%-0.3%57.3M193.6M-20.1M1.113.2654,22560,0882,226,1101,895,798
2018-11-07$41.89$40.0024.9%7.5%29.8%57.4%24.6%2.4%-0.4%128.7M-985.4M-19.7M0.477.67234,981110,2602,240,0471,893,719
2018-11-08$40.92$40.0024.9%7.6%31.1%57.0%25.3%2.4%-0.4%46.5M482.3M-18.8M1.4111.29115,377162,2002,184,6111,928,250
2018-11-09$39.95$40.0025.8%7.7%31.8%62.9%26.6%3.3%-0.4%-43.7M1.77B-17.9M0.907.36202,226182,7342,194,7551,934,788
2018-11-12$39.59$40.0026.3%7.8%31.8%65.9%25.1%3.3%0.5%-50.8M2.08B-17.4M0.814.35126,692102,7212,242,2331,950,454
2018-11-13$40.30$40.0025.9%8.0%32.0%63.6%27.0%3.2%1.7%1.2M1.11B-18.7M0.6316.36143,92090,5102,303,5941,985,978
2018-11-14$40.66$40.0027.5%8.2%31.8%73.7%27.4%3.2%0.4%37.2M589.5M-19.2M0.8012.44138,807110,6602,356,6422,025,149
2018-11-15$41.27$40.0028.5%8.4%30.7%79.6%27.6%3.3%1.3%104.0M-340.8M-19.9M0.3113.05295,59291,5912,428,0432,068,356
2018-11-16$41.67$40.0027.6%8.1%30.4%73.7%27.5%2.9%0.5%171.5M-1.04B-20.2M0.3514.96221,67277,1022,549,4322,077,580
2018-11-19$40.76$40.0029.2%8.4%30.2%84.3%29.5%4.2%-1.8%75.1M312.1M-19.4M0.525.33146,83076,5532,140,6451,769,942
2018-11-20$40.23$40.0030.8%8.9%30.4%94.1%28.0%4.6%-1.7%49.9M937.1M-19.4M0.282.64161,91646,1202,214,7071,807,156
2018-11-21$40.83$40.0028.4%8.2%29.6%79.3%27.2%4.6%-0.7%90.8M291.0M-19.5M0.402.79223,27789,3252,209,9361,826,999
2018-11-23$40.31$41.0028.2%8.3%29.8%77.7%28.9%4.2%-1.8%52.1M976.4M-19.0M0.678.76121,53681,9562,295,3831,872,059
2018-11-26$41.08$41.0027.6%8.3%29.7%73.9%28.4%4.0%-0.6%98.6M41.7M-18.9M0.7218.78101,39673,3802,234,4361,855,894
2018-11-27$41.15$41.0027.4%8.5%27.5%73.0%27.8%4.4%-1.2%105.1M-66.5M-19.4M0.383.93170,57364,2322,298,0701,896,211
2018-11-28$42.10$41.0027.4%8.5%27.6%72.6%28.6%4.1%-1.5%197.2M-1.49B-19.8M0.374.35226,22182,8222,383,0681,911,526
2018-11-29$41.60$41.0027.3%8.6%27.8%72.0%29.5%4.2%-1.3%170.1M-848.8M-20.4M0.667.58363,932238,6832,508,6091,952,643
2018-11-30$41.96$41.0026.2%8.4%24.6%65.1%27.5%4.6%-1.3%209.9M-1.26B-20.3M0.263.54381,38299,5822,521,3012,047,664