FXI Options History — October 2019 In October 2019, FXI traded between $39.61 and $41.90. ATM implied volatility averaged 18.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.4% (HV 20d: 13.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2019-10-11 : Highest Volume — 696,804 contracts2019-10-15 : Largest IV drop — 8.1% change2019-10-02 : Highest IV Rank — 36.4%2019-10-02 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $40.97 $39.61 $41.90 $39.61 $41.00 Max Pain $40.76 $40.00 $41.00 $40.00 $41.00 ATM IV 18.2% 16.5% 21.2% 20.8% 16.7% Expected Move 5.2% 4.6% 6.0% 5.9% 4.7% HV 20d 13.8% 12.9% 15.5% 15.5% 13.3% HV 60d 17.4% 15.5% 18.2% 16.9% 15.6% IV Rank 16.7% 5.2% 36.4% 34.0% 6.8% IV Percentile 22.4% 2.8% 58.7% 54.8% 6.7% Term Structure -0.0% -0.5% 0.6% -0.1% 0.2% VWIV 18.1% 16.0% 21.2% 21.2% 16.4% Skew 25d 1.7% 0.4% 3.5% 3.0% 1.0% Skew 10d 3.4% 1.0% 6.5% 6.1% 2.3% Call IV 25d 17.7% 16.2% 19.9% 19.8% 16.6% Put IV 25d 19.4% 17.2% 23.1% 22.8% 17.6% Bid-Ask Spread % 3.52 1.80 16.76 1.80 2.84 Gamma HHI 0.09 0.06 0.14 0.06 0.09 Net GEX 93.0M -83.9M 310.4M -82.9M -16.8M Net DEX -334.4M -2.17B 1.73B 1.73B 139.1M Net VEX -18.9M -20.9M -17.0M -20.0M -17.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.13 2.31 2.31 0.22 Total Volume 212,810.435 65,694 696,804 198,004 252,052 Total OI 5,011,448.348 4,480,981 5,624,925 4,480,981 5,185,550
Daily Data (23 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 2019-10-01 $39.61 $40.00 20.8% 5.9% 15.5% 34.0% 21.2% 3.0% -0.1% -82.9M 1.73B -20.0M 2.31 1.80 59,816 138,188 1,899,780 2,581,201 2019-10-02 $39.69 $40.00 21.2% 6.0% 12.9% 36.4% 20.2% 3.5% -0.3% -83.9M 1.68B -20.5M 0.74 2.51 92,937 69,091 1,945,087 2,655,621 2019-10-03 $40.25 $40.50 20.4% 5.7% 13.0% 31.1% 20.0% 3.0% -0.5% -2.9M 871.7M -20.5M 0.71 3.03 151,158 106,774 1,985,617 2,683,916 2019-10-04 $40.25 $40.50 19.9% 5.7% 12.9% 27.7% 19.7% 2.6% -0.3% -19.4M 837.5M -20.8M 0.74 1.99 138,146 102,600 2,044,768 2,728,681 2019-10-07 $40.00 $40.50 20.2% 5.7% 13.1% 29.9% 20.4% 2.6% -0.1% -40.6M 1.15B -20.7M 0.96 2.46 63,929 61,127 2,107,037 2,738,527 2019-10-08 $39.77 $40.50 20.9% 5.9% 13.2% 34.8% 20.2% 2.7% -0.2% -63.9M 1.48B -20.9M 0.86 4.95 174,858 150,755 2,127,447 2,748,610 2019-10-09 $40.27 $40.50 20.4% 5.8% 12.9% 31.3% 20.0% 2.5% -0.2% 13.7M 623.7M -20.7M 0.63 4.12 198,295 124,422 2,201,807 2,805,656 2019-10-10 $40.78 $40.50 19.7% 5.6% 13.5% 26.7% 20.3% 2.5% -0.3% 110.7M -313.7M -20.3M 1.73 7.12 114,144 197,428 2,296,239 2,853,895 2019-10-11 $41.52 $40.50 19.3% 5.6% 14.7% 24.0% 19.2% 1.5% -0.1% 256.3M -1.74B -20.5M 0.13 16.76 614,189 82,615 2,345,937 2,904,824 2019-10-14 $41.18 $41.00 18.3% 5.2% 14.3% 17.4% 17.9% 2.0% 0.2% 212.4M -1.11B -19.1M 0.17 2.98 121,512 21,048 2,421,222 2,920,440 2019-10-15 $41.55 $41.00 16.8% 4.8% 14.6% 7.6% 17.2% 1.1% 0.2% 276.5M -1.89B -18.5M 0.69 2.21 107,969 75,005 2,453,622 2,933,827 2019-10-16 $41.52 $41.00 16.7% 4.8% 14.4% 6.5% 17.4% 1.3% 0.1% 284.3M -1.89B -18.8M 0.86 2.27 116,158 99,907 2,545,546 2,991,284 2019-10-17 $41.69 $41.00 17.0% 4.9% 14.2% 8.8% 16.9% 0.8% 0.5% 310.4M -2.17B -18.8M 0.58 2.58 99,852 57,531 2,539,967 3,034,879 2019-10-18 $41.33 $41.00 16.5% 4.7% 14.5% 5.2% 16.5% 1.1% 0.6% 105.5M -1.38B -18.2M 0.98 2.36 60,189 59,018 2,549,414 3,075,511 2019-10-21 $41.66 $41.00 16.6% 4.6% 14.7% 5.9% 16.0% 1.4% -0.0% 95.6M -963.7M -18.0M 0.99 2.18 43,970 43,476 1,984,821 2,707,304 2019-10-22 $41.38 $41.00 16.7% 4.7% 14.4% 6.9% 16.4% 1.5% -0.0% 56.3M -473.4M -18.2M 0.78 2.50 36,859 28,835 2,005,128 2,730,829 2019-10-23 $41.27 $41.00 16.6% 4.6% 14.5% 5.9% 16.1% 1.7% -0.1% 41.9M -313.0M -17.8M 0.41 2.78 69,436 28,276 2,017,139 2,749,596 2019-10-24 $41.28 $41.00 17.0% 4.6% 14.1% 8.6% 16.4% 1.4% -0.2% 86.8M -412.7M -17.2M 1.31 1.88 98,675 128,936 2,059,363 2,767,166 2019-10-25 $41.53 $41.00 16.7% 4.6% 13.2% 6.4% 16.2% 0.8% -0.1% 265.0M -808.7M -17.1M 0.43 2.55 186,631 80,307 2,085,364 2,831,751 2019-10-28 $41.90 $41.00 16.8% 4.9% 13.1% 7.5% 17.4% 0.7% 0.1% 167.1M -1.47B -17.0M 0.24 1.95 158,227 38,314 2,102,045 2,836,856 2019-10-29 $41.50 $41.00 16.9% 4.9% 13.5% 8.4% 17.3% 0.8% -0.1% 104.4M -805.5M -17.1M 0.72 1.98 69,457 49,912 2,142,805 2,869,935 2019-10-30 $41.34 $41.00 16.6% 4.7% 13.6% 6.1% 17.3% 0.4% 0.1% 62.1M -455.4M -17.1M 1.95 5.04 41,633 80,983 2,166,158 2,901,140 2019-10-31 $41.00 $41.00 16.7% 4.7% 13.3% 6.8% 16.4% 1.0% 0.2% -16.8M 139.1M -17.2M 0.22 2.84 206,709 45,343 2,233,166 2,952,384
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