FXI Options History — April 2020

In April 2020, FXI traded between $36.17 and $39.77. ATM implied volatility averaged 30.6%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 15.4% (HV 20d: 46.0%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2020-04-14: Highest Volume — 404,786 contracts
  • 2020-04-30: Largest IV spike — 23.5% change
  • 2020-04-01: Highest IV Rank — 56.3%
  • 2020-04-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.03$36.17$39.77$36.17$38.55
Max Pain$39.71$38.00$41.00$38.00$39.00
ATM IV30.6%23.1%42.8%42.8%28.5%
Expected Move8.7%6.6%13.6%13.6%8.7%
HV 20d46.0%27.7%66.6%65.2%27.7%
HV 60d42.4%41.7%43.1%41.7%42.1%
IV Rank31.8%16.7%56.3%56.3%27.6%
IV Percentile88.5%75.8%96.0%96.0%86.1%
Term Structure-0.5%-1.9%0.6%-1.9%-0.3%
VWIV32.3%24.1%51.5%51.5%30.8%
Skew 25d9.2%7.0%14.1%14.1%9.5%
Skew 10d19.3%16.2%28.6%28.6%21.2%
Call IV 25d26.7%20.7%36.0%36.0%24.7%
Put IV 25d35.9%27.6%50.2%50.2%34.2%
Bid-Ask Spread %4.372.739.309.303.36
Gamma HHI0.110.090.140.090.11
Net GEX-106.4M-128.4M-79.5M-98.0M-104.4M
Net DEX1.86B677.8M2.99B2.99B1.62B
Net VEX-13.9M-14.8M-13.2M-14.1M-13.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.305.693.791.97
Total Volume81,100.1914,980404,78659,622145,260
Total OI2,797,1472,458,3373,299,1652,827,2292,616,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$36.17$38.0042.8%13.6%65.2%56.3%51.5%14.1%-1.9%-98.0M2.99B-14.1M3.799.3012,43847,184940,5181,886,711
2020-04-02$37.33$41.0037.4%10.3%66.6%45.6%39.4%12.7%-0.8%-107.3M2.46B-14.8M1.916.2440,33677,120947,8651,914,605
2020-04-03$36.85$41.0036.0%10.0%66.4%42.7%38.1%11.1%-0.5%-107.5M2.70B-14.4M1.345.379,74713,099984,2031,936,130
2020-04-06$38.06$41.0032.4%9.1%66.4%35.5%32.5%9.0%-0.9%-109.7M1.91B-14.4M1.474.6519,55128,805966,4371,900,495
2020-04-07$38.09$41.0032.9%9.2%65.1%36.6%35.6%9.4%-0.8%-109.2M1.86B-14.4M3.316.769,87832,726977,9101,914,482
2020-04-08$38.09$41.0031.9%8.9%64.3%34.5%41.8%9.5%-0.8%-111.9M1.88B-14.2M5.525.485,36929,657983,4411,911,081
2020-04-09$38.01$41.0031.8%8.8%57.0%34.4%31.0%9.2%-1.7%-114.4M1.91B-14.0M1.574.545,9019,239984,3921,910,835
2020-04-13$37.91$41.0030.4%8.6%54.8%31.4%30.7%8.2%0.6%-118.8M1.99B-13.2M2.443.7612,29530,038972,4271,904,932
2020-04-14$38.56$41.0028.3%8.1%45.4%27.2%32.2%7.9%0.1%-122.8M1.61B-13.2M1.073.91195,138209,648977,7401,921,584
2020-04-15$37.70$39.0029.5%8.5%44.9%29.6%30.3%7.7%0.5%-125.7M1.86B-13.5M5.693.4111,38664,8401,123,0882,089,372
2020-04-16$37.69$39.0029.8%8.5%38.0%30.2%29.3%7.8%0.2%-128.4M1.89B-13.5M0.743.2068,65450,8841,129,7022,131,661
2020-04-17$38.31$39.0026.8%7.6%38.1%24.2%25.5%7.9%0.4%-106.9M1.29B-13.7M0.972.7390,22887,6111,179,9612,119,204
2020-04-20$38.12$39.0029.4%8.2%38.3%29.4%27.4%9.4%-1.4%-97.3M1.85B-14.0M0.803.1440,62732,392814,7711,643,566
2020-04-21$37.18$39.0033.1%9.5%39.8%36.8%36.2%10.6%-1.0%-96.5M2.38B-13.9M2.353.2914,25433,496845,5151,671,110
2020-04-22$37.94$39.0029.8%8.5%35.1%30.2%29.5%9.1%-0.6%-98.6M1.95B-14.1M1.313.9723,22430,456855,8821,687,726
2020-04-23$37.98$39.0029.4%8.4%33.5%29.5%29.0%9.2%-0.3%-99.9M1.94B-14.2M1.354.2421,11828,474870,2961,707,613
2020-04-24$38.18$39.0028.0%8.0%33.3%26.7%30.5%8.5%-0.7%-101.7M1.81B-14.1M4.253.384,46618,978871,7101,717,358
2020-04-27$38.95$39.0024.8%7.1%29.4%20.1%26.1%7.9%0.5%-105.5M1.32B-13.5M0.303.3539,88112,035851,6441,693,201
2020-04-28$39.16$39.0026.0%7.6%28.2%22.7%26.8%7.9%-0.1%-90.6M1.12B-13.7M1.624.2431,14550,546886,1941,699,095
2020-04-29$39.77$39.0023.1%6.6%28.6%16.7%24.1%7.0%-0.0%-79.5M677.8M-13.3M0.603.509,3795,601891,7821,707,786
2020-04-30$38.55$39.0028.5%8.7%27.7%27.6%30.8%9.5%-0.3%-104.4M1.62B-13.7M1.973.3648,90696,354893,4641,722,598