FXI Options History — February 2020

In February 2020, FXI traded between $40.09 and $42.88. ATM implied volatility averaged 23.1%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.7% (HV 20d: 25.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.45.

Notable Days

2020-02-04: Highest Volume — 494,478 contracts
2020-02-28: Largest IV spike — 29.7% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.47	$40.09	$42.88	$40.09	$40.25
Max Pain	$41.63	$41.00	$42.00	$42.00	$41.50
ATM IV	23.1%	19.0%	38.3%	24.5%	38.3%
Expected Move	6.8%	5.4%	11.9%	7.4%	11.9%
HV 20d	25.8%	22.7%	28.5%	24.7%	22.7%
HV 60d	20.8%	19.7%	21.8%	19.7%	21.1%
IV Rank	60.4%	33.4%	100.0%	76.9%	100.0%
IV Percentile	82.1%	52.0%	100.0%	98.0%	100.0%
Term Structure	-0.4%	-2.5%	0.6%	-0.4%	-2.5%
VWIV	23.9%	18.6%	40.3%	26.1%	40.3%
Skew 25d	4.6%	3.1%	11.3%	4.5%	11.3%
Skew 10d	9.7%	6.2%	23.4%	9.8%	23.4%
Call IV 25d	21.2%	17.6%	33.6%	22.6%	33.6%
Put IV 25d	25.8%	20.8%	44.9%	27.2%	44.9%
Bid-Ask Spread %	2.49	1.77	4.12	2.36	3.55
Gamma HHI	0.09	0.07	0.13	0.09	0.08
Net GEX	12.9M	-139.7M	228.9M	-97.0M	-121.9M
Net DEX	834.9M	-1.30B	2.46B	2.46B	2.36B
Net VEX	-18.1M	-20.5M	-16.7M	-18.0M	-20.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.43	4.36	1.32	1.30
Total Volume	250,248.737	101,527	494,478	299,735	279,508
Total OI	4,593,715.368	3,726,290	5,072,474	4,513,350	4,081,387

Daily Data (19 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
2020-02-03	$40.09	$42.00	24.5%	7.4%	24.7%	76.9%	26.1%	4.5%	-0.4%	-97.0M	2.46B	-18.0M	1.32	2.36	129,429	170,306	2,227,339	2,286,011
2020-02-04	$41.16	$42.00	23.3%	7.0%	27.0%	67.4%	25.0%	3.8%	-0.5%	29.0M	962.2M	-18.9M	0.66	2.36	298,498	195,980	2,307,714	2,338,104
2020-02-05	$41.39	$42.00	22.2%	6.8%	27.1%	58.8%	26.6%	3.8%	-0.5%	63.2M	689.6M	-19.1M	1.62	1.96	83,828	135,583	2,399,704	2,424,085
2020-02-06	$41.65	$41.00	22.4%	6.1%	27.3%	60.1%	20.4%	4.0%	-0.3%	111.4M	416.3M	-19.1M	0.61	2.01	204,748	125,253	2,437,062	2,490,302
2020-02-07	$41.27	$41.00	21.9%	6.4%	27.2%	56.2%	22.7%	4.4%	-0.5%	58.7M	1.14B	-18.6M	0.87	1.98	134,130	116,134	2,509,461	2,515,986
2020-02-10	$41.45	$41.00	20.8%	6.0%	27.2%	47.7%	20.8%	4.0%	0.3%	-20.1M	1.02B	-17.6M	1.50	2.07	103,011	154,101	2,258,975	2,387,541
2020-02-11	$42.24	$41.00	20.6%	5.8%	27.6%	46.1%	18.6%	3.5%	-0.3%	104.9M	-205.4M	-17.7M	0.43	2.20	267,510	115,147	2,279,323	2,410,119
2020-02-12	$42.88	$41.00	19.0%	5.4%	28.3%	33.4%	18.9%	3.4%	-0.1%	228.9M	-1.30B	-17.9M	0.44	2.26	136,973	60,640	2,396,873	2,430,323
2020-02-13	$42.32	$42.00	20.2%	5.9%	28.5%	43.2%	19.9%	3.5%	0.6%	136.4M	-321.0M	-18.1M	0.73	2.87	160,958	117,427	2,384,254	2,470,432
2020-02-14	$42.31	$42.00	19.6%	5.7%	28.3%	38.2%	19.7%	3.8%	0.4%	92.2M	-104.3M	-18.0M	1.28	1.77	63,889	81,701	2,415,348	2,531,000
2020-02-18	$42.16	$42.00	19.6%	5.6%	28.2%	38.1%	19.5%	3.6%	-0.4%	74.8M	109.8M	-16.9M	0.72	2.18	59,031	42,496	2,380,778	2,494,213
2020-02-19	$42.49	$42.00	19.2%	5.5%	24.0%	35.2%	20.6%	3.1%	-0.6%	129.7M	-350.3M	-16.7M	1.35	2.12	53,458	72,346	2,386,873	2,520,237
2020-02-20	$42.08	$42.00	19.6%	5.6%	24.0%	38.1%	19.9%	3.2%	-0.2%	58.8M	275.1M	-16.7M	1.64	1.94	70,468	115,735	2,415,314	2,558,998
2020-02-21	$42.00	$42.00	20.8%	6.0%	23.8%	47.4%	22.1%	4.1%	-0.3%	-106.2M	491.7M	-17.5M	2.45	1.91	76,822	188,202	2,448,373	2,624,101
2020-02-24	$40.68	$42.00	24.7%	7.2%	25.7%	78.4%	24.1%	5.6%	-0.5%	-125.2M	1.94B	-17.5M	1.73	2.76	137,682	238,693	1,537,750	2,188,540
2020-02-25	$40.24	$41.50	26.3%	7.6%	22.7%	91.1%	28.3%	5.8%	-0.8%	-139.7M	2.34B	-17.7M	4.36	4.12	31,330	136,720	1,604,410	2,230,638
2020-02-26	$40.72	$41.50	26.2%	7.8%	23.1%	90.9%	27.5%	5.7%	-0.7%	-115.8M	1.88B	-18.6M	1.74	2.85	47,617	83,084	1,617,837	2,298,874
2020-02-27	$40.50	$41.50	29.5%	8.9%	23.0%	100.0%	32.7%	6.8%	-1.3%	-116.6M	2.07B	-19.5M	2.87	4.10	68,769	197,519	1,636,351	2,355,962
2020-02-28	$40.25	$41.50	38.3%	11.9%	22.7%	100.0%	40.3%	11.3%	-2.5%	-121.9M	2.36B	-20.5M	1.30	3.55	121,344	158,164	1,662,335	2,419,052