FXI Options History — November 2019 In November 2019, FXI traded between $40.91 and $43.03. ATM implied volatility averaged 18.2%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.7% (HV 20d: 15.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.00.
Notable Days 2019-11-04 : Highest Volume — 679,267 contracts2019-11-18 : Largest IV spike — 6.3% change2019-11-21 : Highest IV Rank — 30.3%2019-11-29 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $41.83 $40.91 $43.03 $42.00 $40.91 Max Pain $41.77 $41.00 $42.00 $41.00 $42.00 ATM IV 18.2% 16.4% 20.2% 16.7% 19.0% Expected Move 5.7% 4.8% 6.1% 4.8% 6.1% HV 20d 15.5% 14.1% 18.6% 15.6% 18.6% HV 60d 14.9% 14.0% 16.3% 16.2% 14.9% IV Rank 17.4% 4.9% 30.3% 6.5% 23.8% IV Percentile 28.2% 2.8% 56.3% 6.3% 38.5% Term Structure 0.2% -1.1% 2.4% 0.1% -1.0% VWIV 19.5% 17.0% 21.2% 17.0% 20.8% Skew 25d 1.4% 0.3% 2.3% 0.6% 1.9% Skew 10d 2.2% 0.7% 5.2% 1.5% 2.4% Call IV 25d 17.4% 16.6% 18.6% 16.7% 17.6% Put IV 25d 18.7% 16.9% 20.1% 17.3% 19.5% Bid-Ask Spread % 2.32 1.54 3.24 1.54 2.14 Gamma HHI 0.11 0.08 0.27 0.27 0.11 Net GEX 89.5M -174.2M 550.4M 550.4M -137.3M Net DEX -848.8M -3.76B 1.02B -2.01B 1.02B Net VEX -16.2M -17.4M -14.4M -17.2M -14.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.17 2.15 0.34 2.08 Total Volume 185,478.05 22,153 679,267 237,341 77,006 Total OI 5,095,163.25 4,429,034 5,666,444 5,308,326 4,636,386
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 2019-11-01 $42.00 $41.00 16.7% 4.8% 15.6% 6.5% 17.0% 0.6% 0.1% 550.4M -2.01B -17.2M 0.34 1.54 176,762 60,579 2,335,673 2,972,653 2019-11-04 $42.50 $41.00 17.1% 5.7% 15.7% 9.4% 19.7% 0.7% 0.3% 323.4M -2.81B -16.7M 0.17 2.98 581,226 98,041 2,310,512 2,967,879 2019-11-05 $42.77 $41.00 17.2% 5.8% 15.4% 10.2% 20.7% 0.5% 0.2% 359.1M -3.48B -17.3M 0.30 2.26 274,528 81,543 2,410,974 3,014,689 2019-11-06 $42.70 $41.00 16.9% 5.6% 15.1% 8.1% 19.3% 0.6% 0.4% 354.4M -3.08B -16.9M 0.40 2.26 191,400 77,023 2,320,063 3,068,243 2019-11-07 $43.03 $42.00 16.4% 5.5% 14.8% 4.9% 18.9% 0.3% 0.4% 377.8M -3.76B -16.4M 0.40 2.05 160,866 64,503 2,381,642 3,109,376 2019-11-08 $42.66 $41.50 16.7% 5.5% 14.1% 6.5% 19.2% 0.5% 0.1% 359.8M -3.06B -17.3M 1.07 2.16 106,757 114,529 2,505,075 3,161,369 2019-11-11 $42.03 $42.00 17.5% 5.7% 14.9% 11.9% 19.2% 1.5% 2.0% 163.8M -1.35B -17.0M 2.00 2.03 46,422 92,713 2,378,542 3,177,406 2019-11-12 $41.69 $42.00 17.7% 5.9% 14.9% 13.3% 19.1% 1.7% 2.4% 77.7M -547.5M -17.4M 0.61 2.25 181,888 111,701 2,403,945 3,240,464 2019-11-13 $41.15 $42.00 18.6% 6.1% 15.7% 19.3% 21.2% 2.3% 2.2% -124.7M 754.1M -17.3M 1.98 2.31 65,465 129,911 2,309,561 3,273,941 2019-11-14 $41.00 $42.00 18.9% 6.0% 15.6% 21.4% 20.3% 2.3% 1.8% -174.2M 1.02B -16.7M 1.30 2.27 81,979 106,479 2,289,902 3,286,644 2019-11-15 $41.09 $42.00 18.1% 5.6% 15.4% 15.8% 19.7% 1.7% 1.9% -130.4M 743.4M -16.2M 1.49 2.07 77,053 115,092 2,344,917 3,314,567 2019-11-18 $41.27 $42.00 19.2% 5.7% 15.1% 23.4% 19.1% 2.0% -1.0% -81.8M 485.0M -15.6M 0.81 2.86 31,242 25,326 1,715,483 2,713,551 2019-11-19 $41.66 $42.00 19.7% 5.7% 15.3% 26.6% 19.4% 1.0% -1.1% -20.7M -133.7M -15.5M 0.78 3.24 122,568 95,963 1,730,494 2,722,349 2019-11-20 $41.43 $42.00 20.2% 5.8% 15.5% 29.9% 19.2% 1.3% -1.0% -55.9M 194.2M -15.8M 2.15 2.36 41,141 88,475 1,817,865 2,769,573 2019-11-21 $41.33 $42.00 19.9% 5.8% 15.5% 30.3% 18.7% 1.6% -1.0% -83.7M 421.9M -16.0M 0.47 2.11 59,399 27,990 1,846,338 2,821,785 2019-11-22 $41.27 $42.00 19.0% 5.5% 15.3% 23.4% 18.7% 1.5% -0.7% -90.0M 508.8M -15.5M 1.52 2.93 13,500 20,487 1,877,514 2,814,418 2019-11-25 $42.00 $42.00 18.8% 5.7% 16.3% 22.5% 19.0% 1.6% -0.8% 34.5M -606.1M -14.7M 0.46 1.97 29,815 13,745 1,841,186 2,770,895 2019-11-26 $41.99 $42.00 18.5% 5.9% 15.9% 20.3% 20.6% 2.1% -1.0% 37.8M -594.7M -14.7M 0.77 2.17 12,511 9,642 1,845,639 2,774,255 2019-11-27 $42.06 $42.00 18.6% 5.8% 15.8% 20.8% 19.8% 1.7% -1.1% 50.3M -691.3M -14.4M 0.89 2.39 23,428 20,863 1,852,304 2,775,193 2019-11-29 $40.91 $42.00 19.0% 6.1% 18.6% 23.8% 20.8% 1.9% -1.0% -137.3M 1.02B -14.4M 2.08 2.14 25,025 51,981 1,847,345 2,789,041
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