FXI Options History — December 2018

In December 2018, FXI traded between $38.72 and $42.72. ATM implied volatility averaged 25.5%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.1% (HV 20d: 22.4%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2018-12-03: Highest Volume — 521,922 contracts
2018-12-26: Largest IV drop — 9.2% change
2018-12-24: Highest IV Rank — 87.0%
2018-12-24: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.36	$38.72	$42.72	$42.72	$39.09
Max Pain	$41.85	$41.00	$42.00	$41.00	$42.00
ATM IV	25.5%	22.3%	29.7%	22.3%	25.4%
Expected Move	7.5%	6.7%	8.7%	7.1%	7.4%
HV 20d	22.4%	18.5%	26.0%	25.3%	18.5%
HV 60d	25.1%	24.7%	25.5%	25.1%	24.7%
IV Rank	60.8%	40.9%	87.0%	40.9%	59.2%
IV Percentile	75.7%	55.6%	98.0%	55.6%	71.4%
Term Structure	0.0%	-0.6%	1.1%	-0.2%	-0.5%
VWIV	26.0%	22.9%	28.9%	25.1%	26.1%
Skew 25d	4.1%	3.0%	5.4%	4.2%	5.0%
Skew 10d	6.6%	-3.0%	14.5%	5.3%	9.5%
Call IV 25d	23.7%	19.7%	27.3%	19.7%	23.4%
Put IV 25d	27.8%	23.8%	31.6%	23.8%	28.4%
Bid-Ask Spread %	4.50	2.78	17.05	3.81	3.01
Gamma HHI	0.12	0.08	0.28	0.15	0.08
Net GEX	27.1M	-220.8M	335.4M	335.4M	-63.5M
Net DEX	1.02B	-2.32B	2.78B	-2.32B	1.74B
Net VEX	-16.6M	-19.4M	-14.2M	-19.2M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.15	3.30	0.15	1.61
Total Volume	211,887.45	75,363	521,922	521,922	95,820
Total OI	4,116,020.35	3,041,590	4,714,637	4,489,256	3,041,590

Daily Data (20 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
2018-12-03	$42.72	$41.00	22.3%	7.1%	25.3%	40.9%	25.1%	4.2%	-0.2%	335.4M	-2.32B	-19.2M	0.15	3.81	452,723	69,199	2,493,543	1,995,713
2018-12-04	$42.06	$41.00	23.8%	7.9%	26.0%	50.6%	27.3%	4.7%	-0.1%	261.8M	-1.12B	-19.4M	0.66	5.36	166,883	109,957	2,594,508	2,009,920
2018-12-05	$42.01	$41.00	24.3%	8.1%	25.9%	53.2%	28.2%	4.8%	-0.3%	255.9M	-1.06B	-19.1M	0.72	17.05	168,353	120,699	2,594,508	2,009,920
2018-12-06	$41.39	$42.00	24.9%	7.1%	25.3%	57.0%	23.0%	4.8%	-0.6%	133.8M	104.8M	-18.4M	0.19	4.08	299,030	57,331	2,615,285	2,034,587
2018-12-07	$40.95	$42.00	24.4%	7.0%	24.2%	54.3%	26.1%	5.4%	-0.2%	50.3M	789.8M	-17.9M	0.27	2.98	150,754	40,388	2,666,784	2,047,853
2018-12-10	$40.48	$42.00	24.7%	7.1%	22.9%	55.7%	25.0%	4.6%	0.5%	11.7M	1.43B	-16.7M	0.85	3.37	100,081	85,249	2,281,334	1,989,142
2018-12-11	$40.72	$42.00	24.5%	7.0%	22.7%	54.6%	24.0%	4.2%	0.1%	41.6M	1.10B	-16.8M	0.60	3.19	124,220	74,901	2,273,301	1,969,564
2018-12-12	$41.39	$42.00	23.4%	7.0%	22.6%	47.9%	23.4%	3.7%	1.1%	126.0M	209.5M	-17.3M	0.30	2.94	151,657	45,870	2,310,020	1,934,283
2018-12-13	$41.64	$42.00	23.2%	6.7%	22.4%	46.5%	22.9%	3.1%	0.4%	149.5M	-122.4M	-17.2M	0.40	2.78	124,206	49,091	2,307,405	1,948,445
2018-12-14	$41.09	$42.00	24.3%	7.1%	22.4%	53.7%	24.5%	3.0%	0.5%	75.0M	683.9M	-17.3M	0.84	3.80	136,942	114,676	2,374,894	2,014,820
2018-12-17	$40.41	$42.00	26.1%	7.5%	22.8%	64.9%	28.9%	3.3%	-0.4%	-24.1M	1.75B	-16.2M	1.23	8.63	107,479	131,672	2,305,875	2,012,109
2018-12-18	$40.09	$42.00	26.7%	7.7%	21.6%	68.4%	26.6%	3.0%	-0.2%	-47.9M	1.93B	-16.3M	0.44	3.61	96,261	42,684	2,274,973	2,100,728
2018-12-19	$39.16	$42.00	26.6%	7.6%	22.7%	67.9%	25.0%	3.8%	0.0%	-141.9M	2.78B	-15.4M	1.46	3.55	81,726	119,060	2,315,538	2,064,524
2018-12-20	$39.11	$42.00	27.6%	7.9%	21.9%	73.0%	27.3%	3.5%	-0.2%	-125.3M	2.55B	-15.6M	1.32	4.58	88,250	116,800	2,373,248	2,012,138
2018-12-21	$38.95	$42.00	27.7%	8.0%	21.5%	73.9%	27.4%	3.8%	-0.2%	-220.8M	2.78B	-15.5M	0.59	4.25	119,773	70,720	2,400,837	2,085,222
2018-12-24	$38.72	$42.00	29.7%	8.7%	20.1%	87.0%	28.7%	4.3%	0.0%	-74.4M	1.99B	-15.3M	3.30	3.44	17,532	57,831	1,579,748	1,624,464
2018-12-26	$39.33	$42.00	27.0%	7.9%	21.2%	69.3%	27.2%	4.0%	0.1%	-61.4M	1.58B	-15.2M	0.49	3.78	78,418	38,800	1,583,398	1,608,692
2018-12-27	$38.95	$42.00	27.2%	8.0%	19.1%	70.3%	26.8%	4.8%	0.3%	-81.9M	1.83B	-14.9M	0.87	3.06	102,209	89,098	1,614,883	1,612,518
2018-12-28	$39.00	$42.00	26.6%	7.8%	18.9%	66.9%	25.9%	4.5%	0.1%	-58.2M	1.80B	-14.7M	0.83	2.81	77,150	64,256	1,617,761	1,626,332
2018-12-31	$39.09	$42.00	25.4%	7.4%	18.5%	59.2%	26.1%	5.0%	-0.5%	-63.5M	1.74B	-14.2M	1.61	3.01	36,752	59,068	1,461,238	1,580,352