FXI Options History — June 2019

In June 2019, FXI traded between $40.08 and $42.74. ATM implied volatility averaged 20.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.1% (HV 20d: 16.9%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2019-06-18: Highest Volume — 289,392 contracts
  • 2019-06-18: Largest IV spike — 7.8% change
  • 2019-06-03: Highest IV Rank — 37.9%
  • 2019-06-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.38$40.08$42.74$40.49$42.69
Max Pain$41.30$41.00$43.00$43.00$41.00
ATM IV20.0%18.8%21.9%21.9%20.5%
Expected Move5.8%5.4%6.5%6.5%6.3%
HV 20d16.9%13.4%21.7%21.7%17.7%
HV 60d18.1%17.5%18.7%18.5%18.6%
IV Rank23.0%12.9%37.9%37.9%24.9%
IV Percentile30.7%11.5%61.9%61.9%43.7%
Term Structure-0.1%-0.3%0.6%-0.3%-0.3%
VWIV20.5%19.1%22.4%22.4%22.1%
Skew 25d2.1%0.5%3.5%3.5%1.4%
Skew 10d4.1%1.9%7.0%7.0%2.8%
Call IV 25d19.6%18.0%20.9%20.9%20.2%
Put IV 25d21.7%19.9%24.4%24.4%21.6%
Bid-Ask Spread %3.661.998.488.433.35
Gamma HHI0.100.080.130.100.11
Net GEX30.9M-127.8M176.1M-88.4M176.1M
Net DEX489.5M-1.70B2.47B2.05B-1.65B
Net VEX-18.3M-19.2M-17.2M-18.1M-19.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.092.150.800.82
Total Volume181,589.799,686289,39299,688193,375
Total OI3,991,827.253,128,6914,409,0353,932,0403,426,447

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$40.49$43.0021.9%6.5%21.7%37.9%22.4%3.5%-0.3%-88.4M2.05B-18.1M0.808.4355,48444,2041,960,7411,971,299
2019-06-04$40.39$43.0021.3%6.1%20.4%34.1%21.0%3.4%-0.2%-100.9M2.13B-17.9M0.373.9390,32233,7721,998,5521,990,442
2019-06-05$40.08$43.0020.8%5.9%17.9%30.3%20.5%3.2%0.2%-127.8M2.47B-17.2M0.483.00136,16664,7452,036,4691,987,317
2019-06-06$40.23$41.0020.1%5.7%18.1%25.6%22.3%3.4%-0.1%-113.8M2.30B-17.5M1.194.1983,42599,6602,090,8912,022,545
2019-06-07$40.59$41.0020.0%5.5%17.9%24.7%20.4%3.1%-0.2%-40.8M1.81B-18.1M1.182.5498,167115,6712,129,2972,060,167
2019-06-10$41.02$41.0019.2%5.4%18.3%19.6%19.4%2.3%-0.2%3.8M1.30B-17.7M0.652.42100,27265,3812,108,9522,011,252
2019-06-11$41.41$41.0019.1%5.6%14.4%18.8%19.5%1.8%0.6%48.3M741.7M-18.2M1.443.7370,711101,5842,177,3292,038,962
2019-06-12$40.64$41.0019.9%5.6%14.9%24.6%20.9%2.5%-0.2%-51.3M1.85B-18.3M2.158.4863,373136,0662,177,4592,113,868
2019-06-13$40.81$41.0019.3%5.5%14.8%20.3%19.1%2.4%-0.1%-42.3M1.70B-18.2M0.812.9771,62457,7282,185,3832,155,807
2019-06-14$40.55$41.0019.4%5.5%14.7%21.1%19.3%1.8%-0.3%-64.7M1.97B-17.9M0.432.74124,87253,8812,219,6782,147,940
2019-06-17$40.40$41.0018.8%5.4%13.4%15.2%20.3%3.1%0.5%-32.3M1.81B-17.9M1.721.9936,70362,9832,228,7252,080,547
2019-06-18$41.59$41.0020.3%5.8%16.4%23.0%20.5%1.7%-0.2%86.2M-64.6M-18.8M0.395.70207,69381,6992,250,1772,031,235
2019-06-19$41.99$41.0019.5%5.6%16.4%17.6%19.8%1.0%0.0%132.4M-656.9M-19.2M0.562.44155,74487,8662,328,4512,064,289
2019-06-20$42.69$41.0019.8%5.7%17.2%19.7%20.1%0.5%-0.1%152.9M-1.70B-19.0M0.452.28190,00486,1092,322,3102,064,600
2019-06-21$42.60$41.0018.9%5.4%15.8%12.9%19.2%0.5%0.1%140.6M-1.56B-18.7M0.892.77104,66192,8122,330,5392,078,496
2019-06-24$42.53$41.0019.6%5.8%15.9%18.1%20.3%1.3%-0.0%127.0M-1.34B-18.5M0.093.25197,94717,0911,540,2801,588,411
2019-06-25$41.84$41.0020.3%6.0%17.3%22.9%20.9%1.7%-0.1%108.6M-634.1M-18.5M1.853.0063,197116,6721,613,5761,594,849
2019-06-26$42.36$41.0020.4%6.0%17.5%24.2%21.2%1.8%-0.2%129.4M-1.10B-19.0M0.282.72127,17935,0491,626,7141,665,774
2019-06-27$42.74$41.0020.5%6.1%17.6%24.5%21.5%1.8%-0.2%175.2M-1.64B-19.1M1.003.1953,87654,0261,732,2511,684,524
2019-06-28$42.69$41.0020.5%6.3%17.7%24.9%22.1%1.4%-0.3%176.1M-1.65B-19.1M0.823.35105,96487,4111,756,3721,670,075