FXI Options History — December 2019

In December 2019, FXI traded between $40.64 and $43.66. ATM implied volatility averaged 16.4%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 15.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2019-12-13: Highest Volume — 953,421 contracts
  • 2019-12-13: Largest IV drop — 19.0% change
  • 2019-12-12: Highest IV Rank — 22.8%
  • 2019-12-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.34$40.64$43.66$40.92$43.66
Max Pain$41.67$41.00$42.00$42.00$42.00
ATM IV16.4%14.8%18.9%18.5%17.2%
Expected Move4.9%4.2%6.4%6.0%5.1%
HV 20d15.8%12.1%17.3%16.2%12.1%
HV 60d15.0%14.4%15.6%14.9%14.8%
IV Rank8.6%0.0%22.8%20.0%20.7%
IV Percentile10.4%0.0%40.1%32.9%23.0%
Term Structure-0.1%-0.7%0.9%-0.3%0.5%
VWIV17.0%14.3%21.6%20.6%17.5%
Skew 25d1.2%-1.2%2.5%2.1%1.9%
Skew 10d1.9%-3.1%3.9%2.7%3.9%
Call IV 25d16.0%14.4%20.0%16.5%16.7%
Put IV 25d17.2%15.5%19.3%18.6%18.5%
Bid-Ask Spread %2.000.906.482.211.57
Gamma HHI0.140.100.290.120.11
Net GEX50.4M-158.3M240.8M-120.2M80.5M
Net DEX-208.2M-2.11B1.53B1.07B-952.6M
Net VEX-12.2M-13.8M-10.6M-13.7M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.112.550.761.44
Total Volume160,80546,406953,42160,933108,887
Total OI4,289,320.7143,428,8874,863,3214,547,8143,603,823

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$40.92$42.0018.5%6.0%16.2%20.0%20.6%2.1%-0.3%-120.2M1.07B-13.7M0.762.2134,60326,3301,785,5802,762,234
2019-12-03$40.64$42.0018.5%6.4%15.6%20.2%21.6%2.5%-0.7%-158.3M1.53B-13.8M1.662.2256,22093,0931,794,1582,770,422
2019-12-04$40.89$42.0017.6%6.3%15.5%13.9%21.4%2.1%-0.1%-147.8M1.21B-13.6M1.213.4742,80951,7031,817,3212,803,934
2019-12-05$41.00$41.0016.4%4.7%15.6%5.5%16.8%2.0%-0.2%-124.5M1.01B-13.0M2.131.6318,87440,1471,849,6652,812,955
2019-12-06$41.25$41.0016.5%4.7%15.5%5.7%16.4%1.8%-0.4%-81.7M635.0M-12.9M1.261.0333,96742,6761,853,8132,834,630
2019-12-09$41.08$41.0016.9%4.7%15.3%8.8%17.2%1.3%-0.5%-95.3M831.0M-12.3M2.461.3146,726115,0271,831,0692,812,527
2019-12-10$41.24$41.0016.2%4.6%14.7%3.8%16.2%0.7%-0.4%-70.1M699.0M-12.2M0.111.32176,54219,5741,843,1842,880,580
2019-12-11$42.00$41.0016.7%4.6%15.9%7.3%16.9%0.4%-0.3%108.3M-674.8M-12.0M0.891.58130,258116,0431,888,4322,891,087
2019-12-12$42.77$41.0018.9%5.4%16.3%22.8%18.8%-1.2%0.0%191.3M-2.11B-11.7M0.581.31197,264114,0851,898,8982,909,027
2019-12-13$42.62$41.0015.3%4.5%16.3%0.0%15.0%-0.2%0.9%223.6M-1.77B-10.6M0.195.99803,247150,1741,960,7152,902,606
2019-12-16$42.32$42.0015.7%4.5%16.6%3.0%16.0%0.7%-0.2%23.0M304.3M-12.8M1.191.1574,49588,9821,480,1812,892,871
2019-12-17$42.97$42.0015.9%4.6%17.3%4.2%16.0%0.5%-0.3%210.4M-704.6M-12.6M0.461.09120,16155,8331,525,3522,892,026
2019-12-18$43.03$42.0015.8%4.5%17.0%3.2%16.6%1.1%-0.0%240.8M-754.8M-12.4M0.850.9036,81631,1891,532,0242,913,157
2019-12-19$42.91$42.0015.3%4.4%16.9%0.0%15.5%1.1%0.2%221.8M-404.6M-12.5M0.171.6239,5586,8481,521,8232,921,274
2019-12-20$43.12$42.0014.8%4.2%16.9%0.0%15.0%0.9%0.0%230.5M-899.5M-12.0M0.801.4545,47936,2121,512,1942,922,011
2019-12-23$43.06$42.0014.8%4.2%16.9%0.2%14.8%1.2%0.2%52.9M-433.3M-11.4M2.471.3713,48033,3151,051,1322,377,755
2019-12-24$43.03$42.0014.8%4.3%15.9%0.2%14.3%1.3%0.4%56.7M-437.5M-11.3M2.551.2714,37336,6151,058,0442,377,190
2019-12-26$43.51$42.0015.8%4.6%16.2%8.6%16.2%1.1%-0.2%73.1M-793.3M-11.3M0.261.56133,49534,0961,069,1422,385,064
2019-12-27$43.65$42.0016.8%4.9%16.2%16.1%16.9%1.4%0.0%76.0M-991.9M-11.8M0.741.5233,17324,4571,157,1782,420,902
2019-12-30$43.50$42.0016.8%5.0%12.1%17.2%17.8%1.7%0.1%67.0M-752.9M-11.7M0.456.4868,94131,1381,150,0012,409,754
2019-12-31$43.66$42.0017.2%5.1%12.1%20.7%17.5%1.9%0.5%80.5M-952.6M-11.5M1.441.5744,58764,3001,170,0572,433,766