FXI Options History — August 2019

In August 2019, FXI traded between $37.77 and $40.25. ATM implied volatility averaged 21.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 19.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.74.

Notable Days

2019-08-05: Highest Volume — 408,887 contracts
2019-08-05: Largest IV spike — 28.0% change
2019-08-05: Highest IV Rank — 62.5%
2019-08-05: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.89	$37.77	$40.25	$40.25	$39.14
Max Pain	$40.95	$40.00	$42.00	$42.00	$40.00
ATM IV	21.3%	18.6%	25.1%	21.2%	20.9%
Expected Move	6.1%	5.3%	7.0%	6.5%	6.0%
HV 20d	19.9%	11.4%	23.9%	11.5%	22.4%
HV 60d	17.5%	16.6%	18.2%	16.6%	18.2%
IV Rank	37.0%	19.0%	62.5%	36.5%	34.9%
IV Percentile	52.3%	18.7%	81.0%	57.5%	52.0%
Term Structure	-0.1%	-0.6%	0.7%	-0.5%	-0.3%
VWIV	22.7%	20.2%	26.1%	22.3%	21.0%
Skew 25d	5.0%	3.1%	7.4%	3.9%	4.6%
Skew 10d	10.2%	6.5%	14.9%	7.5%	9.9%
Call IV 25d	19.3%	17.0%	22.3%	19.5%	19.1%
Put IV 25d	24.3%	20.9%	29.7%	23.5%	23.7%
Bid-Ask Spread %	3.26	2.00	14.65	14.65	2.00
Gamma HHI	0.10	0.09	0.13	0.09	0.09
Net GEX	-170.0M	-229.6M	-123.7M	-157.4M	-123.7M
Net DEX	2.79B	1.77B	4.20B	2.22B	1.94B
Net VEX	-18.0M	-20.3M	-15.9M	-16.7M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	0.31	6.51	3.53	1.23
Total Volume	178,602.182	33,102	408,887	241,073	64,020
Total OI	3,691,625.864	3,204,867	4,434,122	3,290,661	3,866,978

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
2019-08-01	$40.25	$42.00	21.2%	6.5%	11.5%	36.5%	22.3%	3.9%	-0.5%	-157.4M	2.22B	-16.7M	3.53	14.65	53,207	187,866	1,353,347	1,937,314
2019-08-02	$39.84	$42.00	19.6%	5.7%	11.4%	26.1%	21.1%	4.4%	-0.5%	-196.7M	2.85B	-16.6M	2.72	4.40	88,215	239,569	1,384,333	2,056,483
2019-08-05	$38.41	$41.50	25.1%	7.0%	16.4%	62.5%	26.1%	7.4%	-0.6%	-199.6M	3.92B	-15.9M	6.51	2.90	54,476	354,411	1,408,702	2,115,500
2019-08-06	$38.65	$41.50	22.8%	6.4%	16.8%	47.3%	22.8%	6.3%	-0.3%	-229.6M	3.89B	-16.0M	2.72	2.21	57,078	155,398	1,434,793	2,237,495
2019-08-07	$38.78	$41.50	21.4%	6.2%	16.9%	38.1%	25.9%	6.6%	-0.2%	-198.1M	3.55B	-16.1M	2.36	2.61	87,504	206,825	1,476,569	2,164,924
2019-08-08	$39.16	$41.50	19.6%	5.7%	17.6%	25.8%	22.6%	5.5%	0.0%	-191.1M	3.00B	-16.4M	1.52	2.11	23,438	35,647	1,528,154	2,199,238
2019-08-09	$38.84	$41.50	19.3%	5.8%	17.5%	24.0%	20.6%	5.4%	0.3%	-193.4M	3.36B	-16.3M	0.31	2.86	245,519	75,568	1,539,308	2,221,456
2019-08-12	$38.30	$41.50	21.5%	6.3%	17.7%	38.4%	22.6%	6.6%	0.4%	-183.4M	3.64B	-16.5M	3.85	2.14	46,168	177,978	1,740,337	2,194,998
2019-08-13	$38.84	$41.50	20.4%	6.0%	18.8%	31.1%	23.2%	5.3%	0.7%	-181.5M	3.11B	-17.7M	3.07	2.04	62,989	193,097	1,778,185	2,320,578
2019-08-14	$37.77	$41.00	23.4%	6.8%	20.6%	51.4%	25.3%	5.8%	0.3%	-191.9M	4.20B	-17.4M	1.09	2.89	92,769	101,311	1,819,056	2,430,021
2019-08-15	$38.24	$41.00	23.1%	6.7%	21.4%	49.1%	24.6%	5.6%	0.6%	-184.2M	3.54B	-18.3M	1.47	4.01	73,606	108,560	1,900,069	2,434,730
2019-08-16	$38.66	$41.00	21.8%	6.2%	21.9%	40.2%	23.6%	4.9%	-0.1%	-132.6M	2.96B	-18.9M	2.84	3.12	25,888	73,518	1,945,113	2,489,009
2019-08-19	$39.11	$41.00	20.3%	5.8%	22.6%	30.6%	22.8%	4.2%	0.2%	-131.8M	1.87B	-18.7M	2.23	2.70	32,677	73,000	1,133,831	2,071,036
2019-08-20	$39.07	$41.00	19.6%	5.6%	22.4%	26.0%	21.0%	3.8%	0.3%	-136.6M	1.94B	-18.5M	1.78	2.11	37,872	67,327	1,155,342	2,122,874
2019-08-21	$39.33	$40.50	18.6%	5.3%	22.5%	19.0%	20.2%	3.6%	0.2%	-136.5M	1.77B	-18.9M	4.06	2.82	12,794	51,980	1,174,476	2,181,984
2019-08-22	$39.08	$40.50	19.4%	5.6%	22.5%	24.9%	20.5%	3.1%	-0.1%	-147.3M	2.02B	-19.0M	1.75	2.51	28,674	50,296	1,181,261	2,214,992
2019-08-23	$38.35	$40.50	23.4%	6.8%	23.0%	51.4%	24.5%	4.9%	-0.3%	-159.2M	2.72B	-19.3M	3.69	4.69	55,084	203,380	1,198,824	2,252,682
2019-08-26	$38.84	$40.00	22.1%	6.4%	23.8%	42.1%	22.8%	4.5%	-0.6%	-175.7M	2.30B	-19.3M	2.18	2.28	10,404	22,698	1,190,806	2,352,338
2019-08-27	$38.94	$40.00	22.0%	6.3%	23.9%	41.6%	22.4%	4.3%	-0.3%	-165.3M	2.14B	-19.6M	5.47	2.27	17,964	98,327	1,216,463	2,364,831
2019-08-28	$38.86	$40.00	21.4%	6.1%	23.8%	38.0%	21.7%	4.1%	-0.2%	-175.1M	2.29B	-19.9M	5.17	2.22	23,605	121,963	1,227,681	2,442,783
2019-08-29	$39.11	$40.00	20.9%	6.0%	22.6%	34.6%	21.3%	4.3%	-0.2%	-148.4M	2.04B	-19.8M	0.74	2.21	78,398	58,180	1,245,323	2,511,552
2019-08-30	$39.14	$40.00	20.9%	6.0%	22.4%	34.9%	21.0%	4.6%	-0.3%	-123.7M	1.94B	-20.3M	1.23	2.00	28,766	35,254	1,315,469	2,551,509