FXI Options History — May 2019 In May 2019, FXI traded between $39.98 and $44.86. ATM implied volatility averaged 21.3%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.2% (HV 20d: 20.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2019-05-09 : Highest Volume — 466,614 contracts2019-05-06 : Largest IV spike — 17.2% change2019-05-13 : Highest IV Rank — 64.2%2019-05-13 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $41.61 $39.98 $44.86 $44.39 $40.42 Max Pain $43.27 $43.00 $44.00 $44.00 $43.00 ATM IV 21.3% 17.1% 25.6% 17.4% 21.6% Expected Move 6.2% 4.9% 7.4% 5.1% 6.1% HV 20d 20.1% 13.2% 22.8% 13.4% 22.8% HV 60d 19.0% 16.7% 20.2% 16.9% 19.0% IV Rank 33.9% 5.0% 64.2% 6.9% 36.1% IV Percentile 52.2% 2.8% 82.5% 5.6% 59.9% Term Structure -0.0% -0.7% 1.1% 0.3% -0.3% VWIV 21.6% 17.8% 26.9% 17.8% 22.0% Skew 25d 3.3% 1.2% 4.9% 1.3% 3.8% Skew 10d 6.7% 2.4% 10.5% 2.4% 7.6% Call IV 25d 19.9% 16.6% 23.9% 17.2% 20.2% Put IV 25d 23.3% 18.2% 28.2% 18.5% 24.0% Bid-Ask Spread % 8.01 2.31 16.85 3.67 3.91 Gamma HHI 0.09 0.06 0.23 0.07 0.10 Net GEX -90.5M -235.9M 106.8M 64.6M -92.9M Net DEX 1.76B -1.16B 3.52B -693.2M 2.22B Net VEX -16.5M -18.2M -15.3M -15.3M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.26 5.36 0.75 0.26 Total Volume 271,066.5 109,192 466,614 297,921 161,031 Total OI 3,826,654.182 3,246,135 4,506,281 3,313,103 3,945,125
Daily Data (22 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 2019-05-01 $44.39 $44.00 17.4% 5.1% 13.4% 6.9% 17.8% 1.3% 0.3% 64.6M -693.2M -15.3M 0.75 3.67 169,769 128,152 1,618,207 1,694,896 2019-05-02 $44.16 $44.00 17.1% 5.0% 13.2% 5.0% 18.0% 1.6% 0.2% 47.8M -387.6M -15.7M 3.10 2.31 38,298 118,860 1,679,617 1,736,830 2019-05-03 $44.86 $44.00 17.2% 4.9% 14.0% 5.3% 18.0% 1.2% -0.2% 106.8M -1.16B -16.3M 0.84 8.95 88,460 74,676 1,664,322 1,807,051 2019-05-06 $43.75 $44.00 20.1% 6.0% 16.2% 25.8% 21.1% 2.9% -0.0% 12.8M 138.1M -16.2M 0.91 7.43 220,961 201,138 1,625,242 1,786,577 2019-05-07 $42.44 $44.00 23.2% 6.7% 19.0% 47.5% 23.1% 4.4% -0.3% -69.1M 1.49B -17.0M 0.71 5.36 252,735 178,566 1,733,088 1,886,708 2019-05-08 $42.48 $43.50 23.1% 6.6% 19.1% 46.6% 22.7% 3.9% -0.7% -51.7M 1.35B -17.4M 0.96 6.88 233,061 224,029 1,883,941 2,044,661 2019-05-09 $41.84 $43.50 24.8% 7.2% 19.5% 58.3% 24.8% 4.0% -0.6% -75.1M 1.98B -18.0M 0.67 13.76 280,208 186,406 2,050,870 2,126,528 2019-05-10 $41.94 $43.00 22.0% 6.4% 19.1% 39.2% 21.9% 3.5% -0.3% -128.5M 2.00B -17.4M 0.62 16.56 248,682 154,880 2,162,235 2,227,419 2019-05-13 $40.59 $43.00 25.6% 7.4% 20.7% 64.2% 26.9% 4.9% 0.1% -185.2M 3.52B -15.7M 1.87 10.08 143,366 267,399 2,066,612 2,200,158 2019-05-14 $41.22 $43.00 23.2% 6.8% 21.9% 47.3% 22.2% 4.7% 0.2% -156.8M 2.81B -16.4M 0.96 10.82 219,547 209,994 2,166,397 2,287,457 2019-05-15 $41.50 $43.00 20.7% 6.2% 21.3% 29.9% 20.8% 3.5% 0.5% -157.2M 2.34B -16.3M 0.53 8.26 108,552 57,542 2,253,310 2,230,453 2019-05-16 $41.73 $43.00 20.2% 6.0% 21.4% 26.4% 21.4% 3.0% 0.8% -176.7M 1.86B -16.5M 1.39 8.63 59,421 82,645 2,295,984 2,210,297 2019-05-17 $40.98 $43.00 21.2% 6.3% 21.9% 33.4% 22.7% 3.5% 1.1% -235.9M 2.84B -16.0M 4.63 16.85 44,110 204,309 2,295,122 2,202,481 2019-05-20 $40.49 $43.00 21.8% 6.3% 22.0% 37.2% 22.1% 4.0% -0.3% -125.9M 2.28B -15.3M 0.45 3.12 92,471 41,463 1,525,753 1,720,382 2019-05-21 $40.83 $43.00 20.2% 5.8% 22.4% 26.2% 20.5% 2.9% -0.4% -111.6M 1.93B -15.4M 0.45 3.40 178,762 80,475 1,580,713 1,718,451 2019-05-22 $40.68 $43.00 21.0% 6.0% 22.2% 31.8% 20.6% 2.8% -0.2% -109.1M 2.02B -16.0M 0.81 7.58 98,828 80,093 1,667,652 1,735,099 2019-05-23 $40.03 $43.00 22.2% 6.4% 22.5% 40.3% 22.5% 3.7% 0.2% -116.0M 2.53B -16.0M 5.36 12.36 52,534 281,365 1,737,354 1,765,076 2019-05-24 $39.98 $43.00 21.2% 6.1% 22.3% 33.4% 21.8% 2.8% -0.0% -122.2M 2.73B -17.0M 2.78 5.24 62,078 172,300 1,755,266 1,915,622 2019-05-28 $40.14 $43.00 21.6% 6.2% 22.2% 36.1% 20.7% 3.5% -0.1% -112.2M 2.49B -16.6M 0.74 8.27 62,867 46,325 1,738,433 1,912,068 2019-05-29 $40.47 $43.00 21.4% 6.2% 22.8% 34.7% 22.1% 3.7% -0.3% -99.1M 2.24B -17.1M 0.60 4.86 82,287 49,358 1,774,588 1,950,302 2019-05-30 $40.44 $43.00 21.4% 6.1% 22.8% 34.9% 22.2% 3.8% 0.1% -98.4M 2.19B -17.8M 0.77 7.94 127,562 97,898 1,834,349 1,973,696 2019-05-31 $40.42 $43.00 21.6% 6.1% 22.8% 36.1% 22.0% 3.8% -0.3% -92.9M 2.22B -18.2M 0.26 3.91 127,363 33,668 1,912,121 2,033,004
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