FXI Options History — September 2019 In September 2019, FXI traded between $39.05 and $41.92. ATM implied volatility averaged 18.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.8% (HV 20d: 16.4%). Max pain ranged from $40.00 to $40.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.75.
Notable Days 2019-09-27 : Highest Volume — 466,124 contracts2019-09-16 : Largest IV spike — 14.3% change2019-09-27 : Highest IV Rank — 32.5%2019-09-03 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $40.55 $39.05 $41.92 $39.05 $39.85 Max Pain $40.42 $40.00 $40.50 $40.00 $40.00 ATM IV 18.2% 16.3% 20.6% 20.4% 19.2% Expected Move 5.3% 4.9% 5.9% 5.9% 5.7% HV 20d 16.4% 13.8% 20.1% 18.0% 15.3% HV 60d 17.6% 16.7% 18.8% 18.1% 16.9% IV Rank 16.8% 3.9% 32.5% 31.2% 23.1% IV Percentile 19.3% 2.0% 52.4% 43.3% 28.2% Term Structure 0.2% -0.3% 1.1% -0.2% -0.0% VWIV 18.6% 16.5% 21.2% 21.2% 20.1% Skew 25d 2.5% 1.5% 4.6% 4.6% 2.5% Skew 10d 5.4% 3.1% 9.5% 9.5% 5.4% Call IV 25d 17.2% 15.2% 19.7% 18.4% 18.6% Put IV 25d 19.7% 16.8% 23.0% 23.0% 21.1% Bid-Ask Spread % 3.17 1.61 11.99 2.23 2.69 Gamma HHI 0.08 0.07 0.19 0.09 0.07 Net GEX -29.6M -135.1M 164.9M -135.1M -52.4M Net DEX 493.2M -1.27B 1.99B 1.99B 1.35B Net VEX -18.9M -19.7M -17.6M -19.7M -19.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.75 0.22 5.93 5.00 0.83 Total Volume 162,665.5 59,738 466,124 93,003 149,424 Total OI 4,052,681.1 3,602,401 4,511,775 3,602,401 4,462,676
Daily Data (20 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 2019-09-03 $39.05 $40.00 20.4% 5.9% 18.0% 31.2% 21.2% 4.6% -0.2% -135.1M 1.99B -19.7M 5.00 2.23 15,505 77,498 1,251,005 2,351,396 2019-09-04 $39.99 $40.00 19.0% 5.5% 19.7% 21.7% 20.3% 3.5% -0.1% -85.8M 1.02B -19.5M 1.98 2.81 59,188 117,063 1,260,556 2,368,352 2019-09-05 $40.53 $40.50 18.2% 5.4% 20.1% 16.8% 18.4% 3.1% 0.2% -52.2M 471.2M -19.3M 0.60 2.30 105,466 63,383 1,285,371 2,364,214 2019-09-06 $40.59 $40.50 18.0% 5.2% 19.9% 15.3% 19.4% 2.8% 0.1% -26.9M 336.8M -19.6M 2.95 1.61 29,292 86,551 1,405,380 2,407,099 2019-09-09 $40.67 $40.50 17.7% 5.1% 19.6% 13.3% 18.7% 2.9% 0.3% -31.1M 292.1M -19.1M 2.46 1.98 33,669 82,727 1,399,844 2,427,162 2019-09-10 $40.65 $40.50 17.4% 5.0% 18.6% 11.3% 18.4% 2.7% 0.0% -36.0M 335.3M -19.0M 3.03 1.87 14,807 44,931 1,414,912 2,473,619 2019-09-11 $41.24 $40.50 16.8% 5.0% 18.7% 7.3% 17.0% 2.1% 0.4% 16.3M -365.5M -18.5M 0.24 2.62 168,352 40,321 1,415,646 2,479,439 2019-09-12 $41.53 $40.50 16.4% 4.9% 14.7% 4.9% 17.3% 2.0% 0.7% 70.1M -805.9M -18.4M 0.29 2.42 67,409 19,327 1,546,534 2,480,232 2019-09-13 $41.92 $40.50 16.3% 4.9% 14.5% 3.9% 17.2% 1.6% 1.1% 164.9M -1.27B -18.1M 0.37 4.54 98,757 36,162 1,593,885 2,467,397 2019-09-16 $41.41 $40.50 18.6% 5.4% 15.5% 19.3% 18.7% 1.5% -0.3% 37.5M -578.2M -18.3M 0.22 2.90 203,296 44,698 1,584,939 2,478,141 2019-09-17 $41.22 $40.50 18.5% 5.3% 15.4% 18.4% 18.4% 1.8% 0.2% 41.7M -342.8M -19.7M 1.20 2.68 54,638 65,361 1,745,680 2,590,889 2019-09-18 $41.00 $40.50 18.0% 5.2% 15.6% 15.5% 17.9% 1.7% 0.2% 15.6M -86.7M -18.7M 5.93 11.99 23,785 141,053 1,764,493 2,629,167 2019-09-19 $40.72 $40.50 18.2% 5.2% 15.9% 16.5% 18.1% 1.8% -0.2% -36.6M 383.7M -18.9M 2.23 3.20 41,843 93,310 1,774,162 2,737,613 2019-09-20 $40.53 $40.50 17.9% 5.1% 15.8% 14.7% 18.2% 2.1% 0.5% -72.3M 622.4M -18.6M 2.34 2.34 35,295 82,693 1,791,726 2,698,364 2019-09-23 $40.50 $40.50 17.2% 4.9% 13.8% 10.3% 16.5% 2.3% 0.4% -57.1M 797.1M -17.6M 1.13 2.03 30,233 34,118 1,560,406 2,286,215 2019-09-24 $40.12 $40.50 18.3% 5.3% 13.9% 17.6% 18.4% 3.0% 0.7% -98.1M 1.30B -18.4M 0.93 2.65 126,651 117,893 1,583,469 2,359,027 2019-09-25 $40.22 $40.50 19.1% 5.6% 13.9% 22.3% 19.0% 2.7% 0.2% -76.3M 1.06B -18.8M 0.34 2.44 167,050 57,516 1,690,357 2,385,932 2019-09-26 $39.91 $40.50 18.6% 5.4% 14.3% 19.5% 18.6% 2.4% 0.4% -82.5M 1.39B -19.1M 1.86 4.63 55,258 102,663 1,809,642 2,421,521 2019-09-27 $39.43 $40.50 20.6% 5.9% 14.9% 32.5% 20.9% 2.5% -0.0% -96.4M 1.96B -19.6M 1.04 3.47 228,983 237,141 1,838,156 2,469,004 2019-09-30 $39.85 $40.00 19.2% 5.7% 15.3% 23.1% 20.1% 2.5% -0.0% -52.4M 1.35B -19.7M 0.83 2.69 81,439 67,985 1,912,714 2,549,962
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