FXI Options History — January 2020

In January 2020, FXI traded between $39.66 and $45.20. ATM implied volatility averaged 19.1%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2020-01-27: Highest Volume — 684,509 contracts
2020-01-21: Largest IV spike — 22.7% change
2020-01-31: Highest IV Rank — 100.0%
2020-01-31: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.30	$39.66	$45.20	$44.76	$39.66
Max Pain	$43.38	$42.00	$44.00	$42.00	$42.00
ATM IV	19.1%	15.6%	27.4%	16.7%	27.4%
Expected Move	5.6%	4.5%	8.3%	4.9%	8.3%
HV 20d	18.8%	13.7%	25.7%	13.7%	24.5%
HV 60d	16.9%	15.1%	19.6%	15.5%	19.6%
IV Rank	38.6%	7.7%	100.0%	16.2%	100.0%
IV Percentile	43.0%	2.0%	100.0%	12.7%	100.0%
Term Structure	-0.1%	-1.2%	0.6%	0.3%	-1.2%
VWIV	19.5%	15.7%	28.5%	17.8%	28.5%
Skew 25d	2.6%	1.1%	5.9%	1.2%	5.6%
Skew 10d	5.4%	2.4%	11.4%	2.6%	11.4%
Call IV 25d	18.2%	15.1%	25.2%	16.3%	25.2%
Put IV 25d	20.8%	16.3%	30.7%	17.5%	30.7%
Bid-Ask Spread %	1.74	1.23	2.86	1.42	2.42
Gamma HHI	0.13	0.07	0.52	0.13	0.08
Net GEX	80.5M	-134.1M	595.4M	122.6M	-134.1M
Net DEX	-398.9M	-2.61B	3.29B	-1.94B	3.29B
Net VEX	-13.0M	-17.7M	-10.6M	-10.6M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.11	1.34	0.57	1.17
Total Volume	278,278.476	96,524	684,509	224,998	529,311
Total OI	3,812,331.048	2,617,347	4,480,765	3,669,256	4,476,044

Daily Data (21 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
2020-01-02	$44.76	$42.00	16.7%	4.9%	13.7%	16.2%	17.8%	1.2%	0.3%	122.6M	-1.94B	-10.6M	0.57	1.42	143,244	81,754	1,195,737	2,473,519
2020-01-03	$43.95	$42.00	17.4%	5.2%	16.0%	21.9%	18.5%	1.4%	0.6%	89.0M	-1.09B	-11.8M	0.30	1.53	116,931	35,544	1,274,481	2,532,314
2020-01-06	$44.08	$43.00	17.7%	5.1%	16.0%	27.3%	17.8%	1.4%	0.2%	112.9M	-1.27B	-11.6M	0.13	1.23	113,978	15,199	1,340,797	2,525,615
2020-01-07	$44.06	$43.00	16.7%	4.9%	16.0%	17.7%	17.2%	1.4%	0.2%	124.3M	-1.32B	-11.2M	0.45	1.50	66,432	30,192	1,372,038	2,532,257
2020-01-08	$44.12	$43.00	16.5%	4.8%	15.8%	16.1%	16.7%	1.6%	0.2%	134.9M	-1.39B	-11.3M	0.43	1.43	88,530	37,838	1,407,120	2,553,824
2020-01-09	$44.39	$43.00	15.9%	4.7%	15.8%	10.7%	16.3%	1.1%	0.3%	157.9M	-1.72B	-10.9M	0.73	1.35	55,678	40,846	1,435,573	2,582,550
2020-01-10	$44.50	$44.00	16.4%	4.9%	14.8%	15.1%	17.7%	1.4%	0.4%	177.5M	-1.77B	-11.3M	1.24	1.78	69,318	86,073	1,442,553	2,612,112
2020-01-13	$45.20	$44.00	17.0%	4.9%	14.5%	20.4%	17.3%	1.2%	0.4%	202.8M	-2.56B	-10.6M	0.26	1.81	136,837	36,254	1,457,740	2,676,314
2020-01-14	$44.85	$44.00	16.9%	4.9%	14.8%	19.9%	18.2%	1.6%	-0.0%	183.4M	-2.19B	-11.6M	1.34	1.70	48,656	65,388	1,524,984	2,694,568
2020-01-15	$44.58	$44.00	16.7%	4.7%	14.7%	18.0%	16.5%	1.3%	-0.3%	148.3M	-1.90B	-11.5M	0.11	1.47	182,955	20,081	1,532,764	2,714,997
2020-01-16	$44.86	$44.00	16.1%	4.6%	14.1%	12.3%	16.2%	1.4%	0.0%	219.9M	-2.33B	-11.4M	0.60	1.69	100,762	60,024	1,658,808	2,717,417
2020-01-17	$45.03	$44.00	15.6%	4.5%	14.1%	7.7%	15.7%	1.1%	0.2%	595.4M	-2.61B	-11.5M	1.04	1.38	63,527	65,849	1,707,176	2,773,589
2020-01-21	$43.09	$44.00	19.2%	5.5%	21.6%	40.3%	18.4%	2.8%	-0.3%	-32.0M	377.4M	-12.4M	0.42	2.86	328,345	139,121	1,092,446	1,524,901
2020-01-22	$43.41	$44.00	18.1%	5.2%	21.7%	30.6%	18.1%	2.7%	-0.1%	20.1M	31.2M	-13.3M	0.82	1.91	117,646	96,847	1,244,129	1,600,566
2020-01-23	$42.98	$44.00	19.7%	5.7%	22.0%	45.3%	18.8%	3.1%	-0.3%	-21.5M	471.8M	-14.2M	0.36	1.58	433,208	157,789	1,319,956	1,663,358
2020-01-24	$42.30	$44.00	21.4%	6.2%	22.7%	61.4%	21.8%	4.4%	-0.5%	-41.3M	1.06B	-15.3M	0.65	2.84	208,098	134,639	1,512,131	1,752,535
2020-01-27	$40.81	$44.00	24.9%	7.3%	25.4%	93.5%	25.9%	5.9%	-0.4%	-103.0M	2.29B	-15.1M	1.10	1.72	325,590	358,919	1,584,141	1,806,938
2020-01-28	$40.91	$43.00	24.3%	7.2%	25.4%	87.7%	25.3%	4.8%	-0.7%	-91.1M	2.01B	-16.3M	0.71	1.74	199,503	141,141	1,774,804	1,966,439
2020-01-29	$41.18	$43.00	22.0%	6.4%	25.6%	66.7%	22.1%	4.5%	-0.4%	-68.8M	1.82B	-16.4M	1.02	1.59	146,544	149,084	1,917,069	2,025,026
2020-01-30	$40.67	$43.00	23.8%	7.1%	25.7%	82.9%	24.1%	4.6%	-0.5%	-107.5M	2.36B	-16.7M	1.04	1.51	301,660	314,513	1,958,412	2,101,210
2020-01-31	$39.66	$42.00	27.4%	8.3%	24.5%	100.0%	28.5%	5.6%	-1.2%	-134.1M	3.29B	-17.7M	1.17	2.42	244,010	285,301	2,191,556	2,284,488