FXI Options History — July 2020

In July 2020, FXI traded between $40.22 and $45.44. ATM implied volatility averaged 25.6%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 11.9% (HV 20d: 37.5%). Max pain ranged from $39.50 to $43.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.30.

Notable Days

2020-07-06: Highest Volume — 503,689 contracts
2020-07-06: Largest IV spike — 35.6% change
2020-07-08: Highest IV Rank — 31.4%
2020-07-08: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.97	$40.22	$45.44	$40.22	$41.34
Max Pain	$41.64	$39.50	$43.00	$40.00	$43.00
ATM IV	25.6%	22.1%	30.4%	23.3%	22.9%
Expected Move	7.2%	6.2%	8.3%	6.8%	6.6%
HV 20d	37.5%	19.9%	40.1%	19.9%	38.9%
HV 60d	30.6%	24.5%	31.8%	24.5%	30.2%
IV Rank	21.8%	14.8%	31.4%	17.1%	16.4%
IV Percentile	69.5%	55.2%	88.5%	65.1%	56.3%
Term Structure	-0.2%	-1.0%	0.4%	0.0%	0.0%
VWIV	26.5%	23.2%	32.3%	26.1%	24.6%
Skew 25d	2.4%	-1.2%	6.0%	6.0%	3.1%
Skew 10d	5.2%	-0.1%	11.6%	11.6%	6.3%
Call IV 25d	25.3%	20.9%	32.0%	20.9%	22.5%
Put IV 25d	27.7%	24.8%	31.3%	26.9%	25.6%
Bid-Ask Spread %	3.67	2.66	9.26	3.58	3.84
Gamma HHI	0.07	0.05	0.10	0.10	0.07
Net GEX	-44.3M	-89.2M	15.8M	-76.5M	-82.9M
Net DEX	-573.3M	-2.08B	640.7M	640.7M	627.6M
Net VEX	-14.6M	-15.7M	-10.8M	-14.9M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	0.42	12.24	12.24	3.25
Total Volume	105,145.773	32,487	503,689	34,968	182,840
Total OI	2,854,770.455	2,412,044	3,173,324	2,412,044	2,916,391

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
2020-07-01	$40.22	$40.00	23.3%	6.8%	19.9%	17.1%	26.1%	6.0%	0.0%	-76.5M	640.7M	-14.9M	12.24	3.58	2,641	32,327	743,217	1,668,827
2020-07-02	$41.43	$40.00	22.1%	6.2%	21.8%	14.8%	23.7%	4.2%	0.1%	-43.3M	-187.0M	-14.2M	2.17	3.44	38,615	83,875	743,803	1,687,714
2020-07-06	$45.26	$39.50	30.0%	8.1%	37.4%	30.7%	28.8%	1.0%	-1.0%	-13.1M	-1.85B	-10.8M	0.87	3.63	269,170	234,519	760,265	1,703,002
2020-07-07	$44.15	$40.00	29.5%	8.0%	38.7%	29.6%	29.3%	-0.1%	-0.9%	-12.8M	-1.39B	-14.1M	0.42	9.26	100,899	42,853	945,960	1,833,074
2020-07-08	$45.44	$40.00	30.4%	8.3%	39.7%	31.4%	32.0%	-1.2%	-1.0%	15.8M	-2.08B	-13.5M	1.56	3.45	49,342	77,042	1,033,934	1,854,582
2020-07-09	$45.16	$41.00	29.4%	8.2%	39.8%	29.5%	32.3%	0.5%	-0.2%	11.1M	-1.88B	-14.5M	0.95	4.14	54,653	52,052	1,057,758	1,913,434
2020-07-10	$44.55	$41.00	28.3%	7.9%	37.7%	27.3%	27.9%	0.9%	-0.7%	-8.3M	-1.52B	-14.9M	0.78	3.03	40,252	31,229	1,080,042	1,943,293
2020-07-13	$44.10	$41.00	29.2%	8.1%	38.1%	29.1%	30.1%	1.5%	-0.6%	-19.2M	-1.30B	-15.4M	1.23	3.65	21,455	26,448	1,080,094	1,908,670
2020-07-14	$43.73	$41.00	28.9%	8.1%	37.7%	28.4%	31.1%	3.1%	-0.6%	-33.3M	-1.08B	-15.2M	1.60	3.10	63,623	101,557	1,085,427	1,922,732
2020-07-15	$43.55	$41.00	26.9%	7.6%	37.8%	24.5%	26.6%	2.2%	-0.2%	-49.3M	-1.04B	-15.1M	1.02	3.03	90,033	91,388	1,132,108	1,986,485
2020-07-16	$42.51	$42.00	26.4%	7.5%	39.2%	23.3%	26.8%	2.5%	-0.5%	-46.3M	-394.3M	-15.7M	0.60	3.00	30,683	18,526	1,161,159	1,999,359
2020-07-17	$42.52	$42.00	24.8%	7.1%	39.2%	20.3%	26.6%	1.6%	0.1%	-50.4M	-441.5M	-15.2M	1.66	2.66	24,724	40,964	1,165,797	2,007,527
2020-07-20	$43.16	$42.00	23.3%	6.6%	39.4%	17.1%	23.5%	2.0%	0.4%	-34.7M	-619.8M	-14.3M	0.47	4.46	25,328	11,811	976,782	1,746,308
2020-07-21	$43.45	$42.00	23.2%	6.6%	39.4%	17.0%	23.2%	1.9%	-0.3%	-22.4M	-822.6M	-14.0M	3.78	3.27	18,570	70,190	989,118	1,747,096
2020-07-22	$42.68	$42.50	24.2%	6.9%	40.0%	19.0%	24.4%	2.5%	-0.1%	-48.3M	-352.1M	-14.6M	2.45	4.23	31,231	76,468	1,000,786	1,792,989
2020-07-23	$42.47	$43.00	23.2%	6.7%	39.9%	17.0%	23.6%	2.8%	0.1%	-55.4M	-179.8M	-14.8M	6.29	3.01	6,277	39,483	1,026,174	1,844,190
2020-07-24	$42.00	$43.00	24.0%	6.9%	40.1%	18.5%	26.4%	4.1%	0.2%	-77.3M	201.6M	-15.2M	2.94	3.53	17,678	52,056	1,027,944	1,876,906
2020-07-27	$42.00	$43.00	23.9%	6.9%	40.0%	18.4%	26.1%	3.5%	-0.2%	-77.0M	251.4M	-15.1M	1.19	2.85	26,511	31,594	983,504	1,845,358
2020-07-28	$41.65	$43.00	23.5%	6.8%	40.1%	17.6%	23.2%	3.4%	0.1%	-88.8M	456.7M	-14.9M	1.07	2.87	15,721	16,766	989,859	1,860,013
2020-07-29	$42.18	$43.00	22.5%	6.4%	40.1%	15.5%	23.6%	3.0%	0.3%	-73.5M	58.6M	-14.5M	1.53	3.68	13,096	19,981	1,001,338	1,874,134
2020-07-30	$41.81	$43.00	22.8%	6.5%	40.1%	16.1%	23.7%	3.3%	0.3%	-89.2M	290.0M	-14.6M	2.63	2.94	10,684	28,052	1,008,496	1,879,301
2020-07-31	$41.34	$43.00	22.9%	6.6%	38.9%	16.4%	24.6%	3.1%	0.0%	-82.9M	627.6M	-14.8M	3.25	3.84	43,048	139,792	1,020,933	1,895,458