FXI Options History — March 2020

In March 2020, FXI traded between $33.68 and $41.22. ATM implied volatility averaged 42.6%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.3% (HV 20d: 43.9%). Max pain ranged from $37.50 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.63.

Notable Days

2020-03-09: Highest Volume — 235,735 contracts
2020-03-12: Largest IV spike — 41.3% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.53	$33.68	$41.22	$40.88	$37.50
Max Pain	$39.82	$37.50	$42.00	$41.50	$38.00
ATM IV	42.6%	24.5%	64.4%	29.0%	37.4%
Expected Move	12.4%	7.4%	18.5%	9.0%	11.5%
HV 20d	43.9%	18.9%	64.4%	21.4%	64.4%
HV 60d	31.9%	21.3%	41.2%	21.3%	41.2%
IV Rank	71.7%	41.5%	100.0%	60.7%	45.6%
IV Percentile	98.2%	94.4%	100.0%	99.2%	94.4%
Term Structure	-0.8%	-4.6%	9.7%	-0.8%	0.4%
VWIV	44.5%	27.0%	65.9%	31.1%	39.5%
Skew 25d	14.7%	6.5%	24.6%	8.2%	13.0%
Skew 10d	27.6%	13.7%	47.6%	16.6%	25.1%
Call IV 25d	36.0%	21.5%	55.2%	25.2%	31.1%
Put IV 25d	50.7%	28.0%	77.8%	33.3%	44.2%
Bid-Ask Spread %	10.17	3.03	35.64	3.66	10.00
Gamma HHI	0.10	0.08	0.13	0.09	0.10
Net GEX	-114.7M	-162.3M	-80.9M	-92.8M	-107.5M
Net DEX	3.37B	1.50B	5.55B	1.77B	2.41B
Net VEX	-16.0M	-18.7M	-13.4M	-18.7M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.63	0.89	7.45	0.91	0.89
Total Volume	118,916.364	37,364	235,735	118,001	73,822
Total OI	3,729,236.864	2,664,481	4,394,279	3,983,090	2,790,141

Daily Data (22 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
2020-03-02	$40.88	$41.50	29.0%	9.0%	21.4%	60.7%	31.1%	8.2%	-0.8%	-92.8M	1.77B	-18.7M	0.91	3.66	61,695	56,306	1,623,311	2,359,779
2020-03-03	$40.98	$41.50	28.0%	8.7%	21.1%	56.5%	37.0%	7.6%	-0.6%	-89.5M	1.73B	-18.5M	3.71	4.61	40,548	150,636	1,645,983	2,381,780
2020-03-04	$41.22	$41.50	24.5%	7.4%	19.0%	41.5%	27.0%	6.5%	-0.3%	-95.3M	1.50B	-18.0M	1.32	3.03	57,807	76,354	1,664,531	2,484,598
2020-03-05	$41.08	$42.00	27.6%	7.5%	18.9%	54.7%	28.2%	8.0%	-0.9%	-88.0M	1.61B	-18.6M	0.93	4.05	88,005	81,435	1,693,600	2,461,918
2020-03-06	$40.19	$42.00	31.3%	8.4%	20.2%	70.5%	31.2%	10.9%	-1.6%	-130.4M	2.65B	-18.7M	1.93	6.30	47,941	92,408	1,711,587	2,497,226
2020-03-09	$38.72	$42.00	39.1%	10.1%	23.7%	100.0%	37.3%	15.5%	-4.6%	-162.3M	3.72B	-17.6M	3.76	5.67	49,539	186,196	1,701,982	2,417,124
2020-03-10	$40.09	$41.00	32.1%	9.0%	27.2%	71.2%	32.4%	11.0%	-1.0%	-126.4M	2.48B	-17.8M	3.35	5.41	37,266	124,817	1,714,778	2,414,046
2020-03-11	$38.93	$41.00	36.5%	10.4%	27.8%	89.2%	40.8%	12.2%	-0.3%	-158.5M	3.48B	-17.8M	5.45	5.86	16,060	87,553	1,733,043	2,467,291
2020-03-12	$35.90	$41.00	51.6%	14.7%	38.0%	100.0%	50.6%	18.8%	-1.0%	-141.3M	5.11B	-15.6M	5.72	7.04	24,973	142,861	1,734,485	2,447,700
2020-03-13	$37.53	$41.00	44.5%	13.4%	42.4%	80.9%	49.8%	24.6%	9.7%	-146.7M	4.30B	-17.1M	1.55	16.79	81,427	126,252	1,751,903	2,461,302
2020-03-16	$34.56	$40.00	60.0%	16.9%	50.2%	100.0%	59.3%	20.2%	-0.6%	-121.1M	5.54B	-14.3M	4.41	33.55	23,597	103,995	1,784,633	2,479,445
2020-03-17	$35.83	$40.00	54.7%	15.6%	52.8%	88.2%	51.7%	19.3%	-1.9%	-141.9M	5.03B	-15.4M	1.82	13.54	32,664	59,351	1,804,829	2,466,876
2020-03-18	$33.68	$40.00	64.4%	18.5%	55.8%	100.0%	65.9%	22.6%	-1.3%	-101.1M	5.55B	-13.8M	1.87	35.64	46,583	87,301	1,829,489	2,440,623
2020-03-19	$34.10	$38.00	62.3%	18.0%	56.4%	95.8%	65.4%	20.7%	-2.5%	-108.4M	5.33B	-14.3M	1.01	12.82	28,743	28,990	1,899,855	2,467,100
2020-03-20	$34.32	$38.00	57.1%	16.7%	56.7%	85.3%	61.9%	18.0%	-3.8%	-104.4M	5.40B	-14.0M	4.46	12.36	17,523	78,150	1,924,544	2,469,735
2020-03-23	$34.42	$38.00	53.9%	15.3%	56.2%	78.8%	50.7%	17.7%	-2.3%	-80.9M	3.54B	-13.4M	1.42	8.92	15,459	21,905	804,999	1,859,482
2020-03-24	$36.45	$38.00	42.8%	12.8%	60.8%	56.5%	47.3%	13.8%	-2.1%	-105.0M	2.95B	-14.6M	1.85	7.90	42,213	77,983	818,145	1,870,111
2020-03-25	$37.55	$38.00	41.2%	12.2%	61.8%	53.1%	49.5%	13.0%	-0.9%	-104.3M	2.37B	-15.5M	7.45	6.69	8,151	60,742	861,863	1,871,100
2020-03-26	$38.01	$38.00	37.1%	11.2%	62.1%	44.9%	39.3%	12.1%	-0.2%	-111.1M	2.20B	-15.3M	1.86	6.51	13,511	25,120	865,124	1,878,731
2020-03-27	$36.35	$38.00	43.0%	13.3%	63.8%	56.8%	47.5%	15.8%	-0.5%	-101.1M	2.98B	-14.4M	0.91	8.11	38,644	35,232	865,521	1,880,311
2020-03-30	$37.30	$37.50	38.0%	11.6%	64.3%	46.7%	35.3%	13.8%	-1.1%	-105.9M	2.48B	-14.5M	1.24	5.21	29,693	36,709	889,762	1,852,825
2020-03-31	$37.50	$38.00	37.4%	11.5%	64.4%	45.6%	39.5%	13.0%	0.4%	-107.5M	2.41B	-14.7M	0.89	10.00	39,014	34,808	913,754	1,876,387