FXI Options History — March 2019

In March 2019, FXI traded between $42.75 and $45.08. ATM implied volatility averaged 19.9%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.1% (HV 20d: 19.8%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2019-03-15: Highest Volume — 385,725 contracts
  • 2019-03-11: Largest IV drop — 8.4% change
  • 2019-03-08: Highest IV Rank — 39.9%
  • 2019-03-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.14$42.75$45.08$44.25$44.32
Max Pain$41.90$41.00$43.00$42.00$43.00
ATM IV19.9%18.2%22.1%20.1%18.4%
Expected Move5.7%5.3%6.4%5.6%5.3%
HV 20d19.8%16.5%22.5%16.6%19.9%
HV 60d19.1%18.5%19.8%18.9%18.9%
IV Rank24.5%12.8%39.9%26.0%14.0%
IV Percentile24.2%4.8%55.2%26.2%6.7%
Term Structure-0.1%-0.7%0.6%-0.4%-0.0%
VWIV20.2%18.4%22.4%19.5%18.7%
Skew 25d2.1%1.0%3.2%1.5%1.7%
Skew 10d4.2%2.5%6.1%2.9%3.1%
Call IV 25d19.2%17.7%20.8%19.9%17.9%
Put IV 25d21.4%19.0%24.0%21.3%19.5%
Bid-Ask Spread %2.291.686.401.842.07
Gamma HHI0.100.060.320.110.07
Net GEX222.4M72.1M401.1M284.6M188.1M
Net DEX-1.88B-4.01B-348.1M-2.94B-1.41B
Net VEX-17.6M-18.7M-16.8M-18.7M-18.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.102.490.240.48
Total Volume201,372.61994,688385,725164,763194,305
Total OI3,505,050.5712,866,9964,161,6253,829,4683,329,662

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$44.25$42.0020.1%5.6%16.6%26.0%19.5%1.5%-0.4%284.6M-2.94B-18.7M0.241.84133,26931,4942,100,5571,728,911
2019-03-04$44.38$42.0021.1%6.2%16.5%32.3%21.8%2.4%-0.1%294.7M-3.04B-18.3M0.191.73104,44619,7312,042,1411,684,883
2019-03-05$45.01$42.0020.5%5.7%17.0%28.7%20.6%2.3%-0.2%360.6M-4.01B-17.9M0.601.75106,34463,6072,070,0031,696,295
2019-03-06$44.55$42.0020.5%5.7%16.9%28.7%20.1%2.2%0.1%358.4M-3.35B-18.1M0.661.77167,237110,8412,123,4361,706,650
2019-03-07$43.55$42.0021.3%6.2%18.3%34.2%22.4%2.9%0.2%209.1M-1.62B-18.3M0.843.29187,958157,8382,125,8841,761,266
2019-03-08$42.75$42.0022.1%6.4%19.2%39.9%22.2%3.2%-0.2%103.1M-360.1M-17.7M0.531.75250,974132,5602,119,8191,801,753
2019-03-11$43.68$41.0020.3%5.8%20.6%27.0%20.4%2.4%-0.2%268.8M-2.01B-17.3M1.102.1972,77880,1632,127,9971,783,475
2019-03-12$44.10$41.5020.2%5.8%20.8%26.2%19.7%2.5%0.4%346.9M-2.71B-17.6M0.572.12134,98276,4572,147,2001,810,095
2019-03-13$44.02$41.5020.4%5.7%20.8%28.0%19.7%2.1%-0.2%352.8M-2.58B-17.6M0.802.50107,88486,2762,212,2561,854,438
2019-03-14$43.88$41.5019.2%5.6%20.8%19.6%22.1%2.1%-0.2%320.2M-2.25B-17.2M2.492.1649,661123,4962,204,4071,868,177
2019-03-15$44.41$41.5018.3%5.4%21.1%12.9%19.0%1.0%0.6%401.1M-3.20B-17.0M0.262.40305,31280,4132,198,3161,963,309
2019-03-18$45.00$42.0018.6%5.4%21.3%15.3%18.4%1.2%-0.2%196.2M-2.01B-17.1M0.101.73228,14622,1601,533,4531,337,788
2019-03-19$45.08$42.0019.5%5.4%20.8%21.3%19.1%1.6%-0.7%189.3M-1.98B-17.2M0.891.7765,48058,4941,518,3611,348,635
2019-03-20$45.06$42.0019.7%5.6%20.8%23.1%19.8%1.7%-0.6%186.3M-1.93B-17.5M0.711.6855,41639,2721,552,5671,393,053
2019-03-21$44.80$42.0019.4%5.5%20.9%20.5%19.8%1.8%-0.3%168.9M-1.63B-17.4M0.772.3061,99048,0061,551,3971,409,836
2019-03-22$43.62$42.0020.8%5.9%22.5%30.2%20.7%2.5%-0.6%79.0M-475.5M-17.2M1.096.4079,47886,3251,568,1701,405,761
2019-03-25$43.55$42.0020.9%5.9%20.9%31.2%20.4%2.9%-0.3%72.1M-348.1M-16.9M0.242.27107,07125,2571,576,0261,426,172
2019-03-26$43.45$42.0019.7%5.6%20.8%22.6%20.2%2.4%0.0%79.5M-353.4M-16.8M0.592.16119,29770,2541,666,9931,435,086
2019-03-27$43.58$42.0019.2%5.5%20.1%19.4%20.0%2.3%0.2%94.2M-509.9M-17.4M0.782.1168,08053,3921,732,8481,459,241
2019-03-28$43.82$42.0018.2%5.3%20.1%12.8%19.1%2.0%0.1%116.5M-722.7M-17.4M0.582.08166,64496,0371,752,0711,477,674
2019-03-29$44.32$43.0018.4%5.3%19.9%14.0%18.7%1.7%-0.0%188.1M-1.41B-18.1M0.482.07130,93363,3721,796,0941,533,568