FXI Options History — June 2020

In June 2020, FXI traded between $39.64 and $41.51. ATM implied volatility averaged 24.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.5% (HV 20d: 26.8%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.85.

Notable Days

2020-06-12: Highest Volume — 206,325 contracts
2020-06-11: Largest IV spike — 24.1% change
2020-06-16: Highest IV Rank — 24.9%
2020-06-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.46	$39.64	$41.51	$39.75	$39.68
Max Pain	$39.95	$39.00	$40.00	$40.00	$40.00
ATM IV	24.3%	21.5%	27.2%	24.9%	24.5%
Expected Move	7.0%	6.1%	7.8%	7.8%	7.1%
HV 20d	26.8%	20.5%	31.8%	27.0%	20.5%
HV 60d	33.5%	25.2%	44.1%	44.1%	25.2%
IV Rank	19.2%	13.6%	24.9%	20.5%	19.5%
IV Percentile	71.0%	62.7%	79.4%	75.4%	68.7%
Term Structure	-0.1%	-0.8%	0.7%	-0.3%	-0.3%
VWIV	25.6%	21.6%	31.0%	31.0%	24.3%
Skew 25d	5.8%	2.6%	7.9%	6.7%	6.6%
Skew 10d	11.4%	4.9%	17.2%	11.9%	12.6%
Call IV 25d	22.4%	20.2%	26.0%	22.1%	21.8%
Put IV 25d	28.2%	23.4%	32.4%	28.8%	28.4%
Bid-Ask Spread %	3.66	2.64	4.52	2.64	4.26
Gamma HHI	0.10	0.08	0.11	0.11	0.11
Net GEX	-76.6M	-110.1M	-46.2M	-100.2M	-74.9M
Net DEX	437.6M	-619.1M	1.49B	872.0M	958.3M
Net VEX	-14.6M	-15.9M	-13.4M	-15.9M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.85	0.48	13.21	4.83	2.73
Total Volume	86,351.091	18,913	206,325	156,796	35,237
Total OI	2,869,915.909	2,147,730	3,263,111	3,207,734	2,385,024

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
2020-06-01	$39.75	$40.00	24.9%	7.8%	27.0%	20.5%	31.0%	6.7%	-0.3%	-100.2M	872.0M	-15.9M	4.83	2.64	26,886	129,910	991,740	2,215,994
2020-06-02	$40.43	$40.00	22.8%	7.1%	27.4%	16.2%	26.9%	5.2%	-0.1%	-83.2M	209.3M	-15.1M	2.34	2.69	25,396	59,521	993,903	2,169,158
2020-06-03	$41.20	$40.00	22.4%	7.0%	27.8%	15.4%	25.4%	4.6%	-0.3%	-68.2M	-430.5M	-14.4M	2.24	2.75	45,903	102,631	996,746	2,191,273
2020-06-04	$40.53	$39.00	22.8%	6.4%	28.8%	16.1%	24.3%	4.3%	-0.1%	-90.4M	193.6M	-14.9M	3.94	3.04	23,977	94,357	1,002,359	2,237,826
2020-06-05	$41.44	$40.00	21.8%	6.3%	29.5%	14.1%	23.1%	3.2%	-0.1%	-65.4M	-619.1M	-13.8M	1.82	3.23	33,361	60,765	1,004,778	2,258,333
2020-06-08	$41.18	$40.00	22.3%	6.4%	28.9%	15.0%	24.7%	3.0%	0.0%	-75.3M	-323.0M	-13.7M	4.54	2.90	13,302	60,383	990,497	2,216,365
2020-06-09	$41.16	$40.00	22.0%	6.3%	28.9%	14.5%	22.8%	2.8%	-0.0%	-81.2M	-280.1M	-13.6M	0.82	4.52	12,671	10,381	996,901	2,253,519
2020-06-10	$41.51	$40.00	21.5%	6.1%	28.7%	13.6%	22.5%	2.6%	-0.3%	-67.9M	-562.3M	-13.4M	2.70	3.70	13,002	35,165	1,006,263	2,240,079
2020-06-11	$40.08	$40.00	26.7%	7.6%	31.8%	24.0%	27.9%	4.9%	-0.2%	-108.4M	821.4M	-14.7M	1.30	4.27	26,035	33,789	998,376	2,235,983
2020-06-12	$40.25	$40.00	26.9%	7.7%	31.8%	24.5%	30.1%	6.4%	0.2%	-83.9M	543.4M	-14.5M	0.48	4.18	139,186	67,139	1,003,531	2,229,291
2020-06-15	$39.64	$40.00	26.9%	7.6%	31.8%	24.5%	26.6%	7.9%	0.7%	-110.1M	1.49B	-14.9M	1.42	3.40	53,317	75,635	848,117	2,112,824
2020-06-16	$39.91	$40.00	27.2%	7.8%	28.5%	24.9%	28.1%	7.5%	-0.2%	-98.6M	1.21B	-15.1M	7.66	4.10	10,999	84,266	871,783	2,141,773
2020-06-17	$40.09	$40.00	26.5%	7.6%	28.5%	23.7%	28.1%	7.1%	-0.2%	-107.1M	1.16B	-14.8M	1.37	4.26	23,220	31,905	869,151	2,159,151
2020-06-18	$40.23	$40.00	25.9%	7.4%	28.3%	22.4%	26.0%	7.0%	0.2%	-82.1M	955.0M	-14.6M	2.33	3.28	14,702	34,205	877,032	2,155,535
2020-06-19	$40.32	$40.00	24.7%	7.1%	26.8%	19.9%	24.8%	6.8%	-0.8%	-54.9M	779.3M	-14.3M	1.13	4.44	50,333	56,714	882,460	2,161,290
2020-06-22	$40.57	$40.00	23.1%	6.5%	23.4%	16.8%	24.1%	6.2%	0.2%	-53.4M	341.4M	-14.3M	1.01	3.93	9,418	9,495	644,146	1,503,584
2020-06-23	$40.95	$40.00	22.1%	6.3%	22.3%	14.7%	21.6%	6.4%	0.3%	-46.2M	148.1M	-14.1M	0.73	3.33	71,640	52,144	652,225	1,507,167
2020-06-24	$40.52	$40.00	25.0%	7.3%	22.5%	20.6%	25.3%	7.1%	-0.2%	-49.7M	372.5M	-14.6M	1.65	4.34	21,606	35,680	683,440	1,524,841
2020-06-25	$40.49	$40.00	24.7%	7.2%	22.5%	19.9%	25.4%	7.3%	-0.0%	-53.2M	429.4M	-14.9M	2.63	3.70	25,168	66,238	704,449	1,566,704
2020-06-26	$40.16	$40.00	25.3%	7.1%	22.0%	21.1%	25.2%	7.1%	0.1%	-65.7M	634.6M	-15.2M	13.21	3.91	3,687	48,694	718,999	1,610,788
2020-06-29	$40.02	$40.00	24.4%	7.0%	21.2%	19.5%	25.0%	6.9%	-0.2%	-65.4M	727.7M	-15.0M	1.91	3.71	24,661	47,000	716,853	1,607,899
2020-06-30	$39.68	$40.00	24.5%	7.1%	20.5%	19.5%	24.3%	6.6%	-0.3%	-74.9M	958.3M	-15.0M	2.73	4.26	9,438	25,799	739,820	1,645,204