FXI Options History — July 2019

In July 2019, FXI traded between $41.24 and $43.35. ATM implied volatility averaged 17.0%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.6% (HV 20d: 14.3%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2019-07-02: Highest Volume — 269,001 contracts
  • 2019-07-22: Largest IV spike — 6.7% change
  • 2019-07-30: Highest IV Rank — 17.9%
  • 2019-07-30: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.30$41.24$43.35$43.35$41.24
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV17.0%15.7%18.4%17.3%17.6%
Expected Move4.9%4.5%5.4%4.9%4.9%
HV 20d14.3%7.8%18.8%18.2%8.4%
HV 60d18.2%17.0%18.9%18.8%17.0%
IV Rank6.3%0.0%17.9%1.0%13.0%
IV Percentile5.0%0.0%17.5%2.0%11.5%
Term Structure0.1%-0.4%0.7%0.3%-0.1%
VWIV17.3%15.9%19.2%17.1%17.1%
Skew 25d1.7%0.8%2.3%1.8%2.3%
Skew 10d3.6%2.2%5.2%3.1%4.5%
Call IV 25d16.5%15.3%17.6%17.0%16.7%
Put IV 25d18.2%16.2%19.8%18.8%18.9%
Bid-Ask Spread %2.471.746.442.546.44
Gamma HHI0.100.070.150.150.08
Net GEX71.4M-109.9M277.1M277.1M-109.9M
Net DEX-524.9M-2.41B1.17B-2.41B1.17B
Net VEX-16.8M-18.0M-16.1M-18.0M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.233.920.373.92
Total Volume115,375.90920,952269,001228,021155,025
Total OI3,346,650.2733,047,2113,595,4853,462,7733,226,249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$43.35$42.0017.3%4.9%18.2%1.0%17.1%1.8%0.3%277.1M-2.41B-18.0M0.372.54166,32661,6951,775,1521,687,621
2019-07-02$43.27$42.0016.8%4.6%18.2%0.0%15.9%0.9%0.2%233.8M-2.13B-17.7M0.232.81218,51250,4891,730,2431,719,657
2019-07-03$43.10$42.0016.7%4.5%17.9%0.0%15.9%1.0%0.2%208.1M-1.82B-17.5M1.212.1446,83556,6171,711,6161,747,611
2019-07-05$42.64$42.0016.6%4.9%18.6%0.0%17.1%0.8%0.3%133.0M-1.14B-17.1M2.942.4126,43677,6741,688,6331,765,137
2019-07-08$42.36$42.0017.1%5.0%18.8%3.5%18.6%1.7%0.4%98.2M-648.0M-17.4M0.681.7457,88239,3961,595,8071,755,894
2019-07-09$42.09$42.0017.6%5.1%18.7%7.3%18.5%2.3%0.1%87.2M-376.1M-17.4M1.481.9340,63660,1611,634,0041,759,963
2019-07-10$42.19$42.0016.7%4.9%18.5%1.2%16.2%1.9%0.2%105.2M-516.1M-17.4M0.391.9193,94936,8241,650,0061,787,369
2019-07-11$42.00$42.0016.1%4.7%17.1%0.0%16.3%1.8%0.5%78.9M-273.5M-16.9M2.141.8142,76891,5941,629,8061,785,757
2019-07-12$42.10$42.0015.7%4.6%17.1%0.0%15.9%1.0%0.7%80.4M-394.8M-17.2M0.692.3469,96648,0811,638,8301,843,428
2019-07-15$42.24$42.0016.1%4.6%16.9%2.9%16.6%1.6%-0.4%91.1M-595.1M-16.2M0.632.2438,06124,1141,626,0021,847,532
2019-07-16$42.25$42.0015.9%4.6%16.7%1.4%16.0%1.6%0.0%89.8M-560.9M-16.3M1.161.9344,55651,7051,634,4951,869,228
2019-07-17$42.17$42.0016.1%4.6%13.4%2.6%17.4%1.8%0.0%69.8M-423.1M-16.7M1.352.2850,12567,4591,620,6981,892,876
2019-07-18$42.25$42.0016.6%4.8%13.0%6.1%16.8%1.7%-0.1%63.5M-508.0M-16.8M1.652.2432,65153,8701,630,7511,937,797
2019-07-19$42.43$42.0016.5%4.7%11.7%5.7%16.4%1.6%0.3%56.5M-835.9M-16.5M1.312.3858,08075,9431,641,4861,953,999
2019-07-22$42.09$42.0017.6%5.1%12.0%13.0%18.8%2.1%0.0%15.1M-24.2M-17.1M1.151.839,73411,2181,330,6771,731,159
2019-07-23$42.32$42.0017.1%5.0%12.2%9.7%17.6%1.8%0.1%34.0M-302.1M-16.2M1.432.2232,01245,6231,333,7181,713,493
2019-07-24$42.47$42.0017.0%4.9%10.6%8.6%17.3%1.7%0.0%36.5M-446.3M-16.1M1.681.7844,15074,2731,340,7791,755,233
2019-07-25$42.20$42.0017.9%5.2%10.0%15.0%18.5%2.0%0.1%18.3M-104.8M-16.8M3.212.4029,41194,3061,354,4141,773,422
2019-07-26$42.27$42.0017.7%5.1%9.4%13.6%18.4%2.0%0.1%16.0M-203.6M-16.3M2.142.3334,50473,8231,356,5301,828,081
2019-07-29$41.94$42.0018.2%5.3%9.8%16.9%18.4%2.1%-0.4%-41.8M345.8M-16.5M2.302.4723,24153,3581,313,9651,823,562
2019-07-30$41.69$42.0018.4%5.4%7.8%17.9%19.2%2.2%-0.1%-69.1M641.8M-16.3M1.464.1630,57944,6081,318,4371,865,189
2019-07-31$41.24$42.0017.6%4.9%8.4%13.0%17.1%2.3%-0.1%-109.9M1.17B-16.2M3.926.4431,539123,4861,333,9521,892,297