FXI Options History — May 2020

In May 2020, FXI traded between $37.35 and $39.59. ATM implied volatility averaged 27.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.2% (HV 20d: 27.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2020-05-21: Highest Volume — 417,614 contracts
  • 2020-05-08: Largest IV drop — 13.7% change
  • 2020-05-01: Highest IV Rank — 44.0%
  • 2020-05-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.45$37.35$39.59$37.35$39.05
Max Pain$40.00$39.00$41.00$39.00$40.00
ATM IV27.7%23.9%36.6%36.6%25.0%
Expected Move8.0%7.0%10.7%10.7%7.6%
HV 20d27.5%24.9%30.8%28.2%29.1%
HV 60d43.0%42.4%44.0%42.6%44.0%
IV Rank26.1%18.4%44.0%44.0%20.6%
IV Percentile82.1%75.8%92.9%92.9%75.8%
Term Structure-0.3%-1.7%1.9%1.9%-0.4%
VWIV30.8%22.9%41.0%41.0%28.2%
Skew 25d9.5%7.0%15.4%15.4%7.0%
Skew 10d19.0%13.3%26.8%26.8%13.3%
Call IV 25d24.1%20.7%32.4%32.4%22.3%
Put IV 25d33.5%28.8%47.7%47.7%29.3%
Bid-Ask Spread %3.382.614.432.992.86
Gamma HHI0.120.090.230.110.11
Net GEX-129.1M-165.8M-90.0M-100.3M-157.1M
Net DEX1.89B974.8M2.75B2.47B1.56B
Net VEX-14.6M-16.2M-13.6M-13.7M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.521.395.393.092.08
Total Volume164,118.618,549417,614166,258213,858
Total OI2,895,811.752,438,2533,285,5752,682,6823,285,575

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$37.35$39.0036.6%10.7%28.2%44.0%41.0%15.4%1.9%-100.3M2.47B-13.7M3.092.9940,669125,589909,8561,772,826
2020-05-04$37.56$40.0033.7%9.2%27.9%38.1%40.7%12.4%-0.1%-105.4M2.34B-13.6M2.814.2533,33493,610898,9851,767,080
2020-05-05$37.99$40.0029.8%8.6%25.6%30.2%30.9%10.5%0.2%-111.6M2.10B-13.9M3.823.8745,486173,795928,5771,825,844
2020-05-06$38.15$40.0029.8%8.5%25.7%30.3%32.0%10.6%0.3%-125.3M2.12B-14.6M5.393.6813,10270,602955,9591,943,098
2020-05-07$38.16$40.0028.0%8.1%25.7%26.7%37.1%9.8%-0.0%-143.3M2.18B-14.5M3.273.4431,512103,102975,5372,007,543
2020-05-08$39.02$40.0024.2%7.1%26.9%19.0%28.9%8.2%0.4%-153.1M1.39B-14.5M2.062.8046,79396,267998,1382,071,455
2020-05-11$38.93$40.0023.9%7.0%26.8%18.4%28.4%7.8%0.3%-138.9M1.43B-14.1M2.962.7515,60246,1501,014,3412,032,108
2020-05-12$38.64$40.0026.5%7.4%26.4%23.6%25.2%8.4%-0.9%-143.1M1.69B-14.3M1.863.2683,208154,4411,027,2952,053,703
2020-05-13$38.57$40.0028.4%7.9%25.0%27.5%33.3%9.2%-1.0%-129.7M1.84B-14.7M1.543.5585,211131,4671,073,1122,078,800
2020-05-14$38.51$40.0028.4%7.8%25.0%27.5%32.8%9.7%-1.7%-133.1M2.01B-14.9M1.393.9556,82479,0931,079,3162,114,760
2020-05-15$37.94$40.0028.5%8.1%24.9%27.7%28.0%9.7%-0.4%-165.8M2.58B-14.4M1.852.7239,81373,5811,102,9562,139,288
2020-05-18$39.50$40.0024.9%7.1%28.7%20.3%26.6%8.9%-0.4%-90.0M1.01B-14.4M1.703.7312,59021,440752,6551,685,598
2020-05-19$39.25$40.0025.5%7.3%27.1%21.6%25.3%8.3%-0.8%-94.8M1.15B-14.3M1.634.437,05711,492758,7491,694,032
2020-05-20$39.59$40.0024.9%7.1%26.5%20.4%22.9%8.3%-0.5%-92.5M974.8M-14.3M2.404.0446,649112,072763,2521,719,191
2020-05-21$38.66$41.0027.1%7.8%28.0%24.7%32.1%9.4%-1.0%-118.3M1.69B-14.6M3.093.69102,028315,586801,6851,785,944
2020-05-22$37.40$40.0028.2%8.1%30.4%27.0%30.5%9.8%-0.5%-137.7M2.75B-14.8M2.672.6159,238158,379881,3331,962,142
2020-05-26$38.31$40.0026.0%7.9%30.8%22.6%30.0%8.5%-0.4%-132.5M2.01B-15.0M1.943.2363,141122,784868,4251,994,541
2020-05-27$38.06$40.0027.7%8.4%30.8%26.0%30.5%8.8%-0.6%-152.6M2.33B-15.8M2.942.9159,093173,675911,2062,114,394
2020-05-28$38.34$40.0027.5%8.4%30.3%25.6%31.3%8.5%-0.4%-155.9M2.19B-16.0M1.882.8756,988107,051954,5642,212,372
2020-05-29$39.05$40.0025.0%7.6%29.1%20.6%28.2%7.0%-0.4%-157.1M1.56B-16.2M2.082.8669,457144,401990,9522,294,623