FXI Options History — August 2020

In August 2020, FXI traded between $41.84 and $44.98. ATM implied volatility averaged 21.8%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.8% (HV 20d: 18.0%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.83.

Notable Days

2020-08-28: Highest Volume — 190,756 contracts
2020-08-07: Largest IV spike — 7.2% change
2020-08-07: Highest IV Rank — 18.3%
2020-08-31: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.44	$41.84	$44.98	$41.84	$44.03
Max Pain	$41.86	$41.00	$43.00	$43.00	$42.00
ATM IV	21.8%	20.1%	23.9%	23.1%	23.6%
Expected Move	6.3%	5.8%	6.9%	6.5%	6.9%
HV 20d	18.0%	14.5%	21.8%	21.4%	16.8%
HV 60d	28.8%	26.8%	30.5%	30.3%	26.9%
IV Rank	14.1%	10.7%	18.3%	16.7%	17.8%
IV Percentile	49.2%	38.9%	61.5%	56.7%	60.7%
Term Structure	0.1%	-0.6%	0.9%	-0.6%	0.2%
VWIV	23.1%	20.3%	27.4%	22.7%	26.2%
Skew 25d	2.7%	1.9%	3.2%	3.2%	3.2%
Skew 10d	6.1%	3.5%	9.9%	5.5%	7.0%
Call IV 25d	21.3%	19.8%	23.4%	22.4%	22.9%
Put IV 25d	24.1%	22.5%	26.4%	25.6%	26.1%
Bid-Ask Spread %	3.13	2.32	4.16	4.03	4.16
Gamma HHI	0.07	0.06	0.10	0.08	0.07
Net GEX	-15.1M	-67.4M	33.7M	-67.4M	-11.0M
Net DEX	-694.7M	-1.58B	337.6M	337.6M	-875.4M
Net VEX	-13.3M	-14.7M	-11.6M	-14.7M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.16	5.99	2.11	1.70
Total Volume	70,735.952	10,855	190,756	54,480	61,475
Total OI	2,978,388.667	2,741,149	3,234,060	2,893,243	2,820,468

Daily Data (21 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
2020-08-03	$41.84	$43.00	23.1%	6.5%	21.4%	16.7%	22.7%	3.2%	-0.6%	-67.4M	337.6M	-14.7M	2.11	4.03	17,525	36,955	988,208	1,905,035
2020-08-04	$42.78	$42.50	22.4%	6.5%	21.8%	15.4%	22.9%	2.6%	-0.1%	-36.4M	-277.1M	-14.4M	0.82	3.33	32,659	26,906	998,223	1,877,675
2020-08-05	$42.84	$42.50	22.7%	6.4%	18.7%	16.0%	22.6%	2.2%	-0.4%	-30.8M	-275.3M	-14.7M	0.16	3.57	55,951	9,188	1,018,402	1,895,240
2020-08-06	$42.84	$41.00	22.3%	6.5%	18.7%	15.1%	23.0%	1.9%	-0.1%	-16.7M	-477.4M	-14.0M	0.48	2.76	43,502	20,799	1,059,068	1,894,072
2020-08-07	$42.00	$41.00	23.9%	6.8%	19.3%	18.3%	26.4%	3.0%	-0.5%	-60.5M	204.4M	-14.7M	5.99	2.76	18,821	112,829	1,065,484	1,895,790
2020-08-10	$42.25	$41.00	23.3%	6.8%	19.3%	17.1%	27.4%	3.2%	0.3%	-50.1M	27.6M	-14.3M	2.10	3.48	12,171	25,552	1,062,549	1,994,004
2020-08-11	$42.32	$41.00	22.2%	6.6%	19.2%	14.9%	23.0%	3.1%	0.9%	-43.2M	52.3M	-14.7M	3.54	2.79	14,383	50,965	1,073,251	1,983,615
2020-08-12	$42.90	$41.00	21.6%	6.3%	19.9%	13.7%	22.0%	2.6%	0.4%	-24.7M	-371.1M	-14.1M	0.94	3.38	43,401	40,607	1,082,277	1,993,834
2020-08-13	$42.75	$42.00	21.6%	6.1%	18.0%	13.7%	22.3%	2.4%	-0.1%	-22.5M	-315.1M	-14.0M	1.14	3.47	31,565	36,063	1,096,816	2,004,534
2020-08-14	$42.99	$42.00	20.7%	6.0%	18.1%	11.9%	23.3%	2.4%	0.5%	11.2M	-513.3M	-13.8M	0.82	3.29	32,459	26,727	1,105,919	2,025,446
2020-08-17	$43.75	$42.00	20.7%	5.9%	18.4%	12.0%	22.4%	2.6%	0.4%	6.1M	-1.08B	-12.8M	2.11	2.32	10,896	22,983	1,085,000	1,995,517
2020-08-18	$43.84	$42.00	20.1%	5.8%	18.2%	10.7%	22.4%	2.7%	0.2%	7.3M	-1.16B	-12.5M	5.68	2.83	23,277	132,127	1,091,445	2,006,424
2020-08-19	$43.57	$42.00	20.2%	5.8%	17.1%	11.0%	20.7%	3.1%	0.5%	-17.4M	-802.6M	-13.0M	1.72	3.07	28,882	49,622	1,089,645	2,068,714
2020-08-20	$43.67	$42.00	20.7%	5.9%	17.0%	12.0%	22.3%	3.0%	0.3%	-16.6M	-870.3M	-12.9M	2.83	2.58	17,610	49,912	1,109,017	2,105,637
2020-08-21	$44.03	$42.00	20.5%	5.9%	16.5%	11.5%	20.3%	3.0%	-0.2%	3.7M	-1.13B	-12.9M	0.93	2.77	41,676	38,732	1,106,755	2,127,305
2020-08-24	$44.61	$42.00	21.4%	6.1%	16.9%	13.3%	24.6%	2.5%	-0.1%	-3.6M	-1.28B	-11.9M	1.17	2.99	24,605	28,841	939,999	1,801,150
2020-08-25	$44.72	$42.00	20.8%	6.0%	16.3%	12.1%	21.3%	2.4%	0.2%	4.9M	-1.42B	-11.6M	1.28	3.07	4,754	6,101	959,228	1,821,429
2020-08-26	$44.78	$42.00	21.3%	6.2%	16.0%	13.1%	22.4%	2.6%	0.1%	6.4M	-1.41B	-11.7M	0.73	3.48	27,420	19,904	957,759	1,823,728
2020-08-27	$44.68	$42.00	22.3%	6.4%	15.5%	15.1%	23.5%	2.9%	-0.1%	11.5M	-1.38B	-12.0M	1.29	2.75	7,373	9,481	978,649	1,826,495
2020-08-28	$44.98	$42.00	22.3%	6.4%	14.5%	15.2%	23.9%	2.6%	-0.1%	33.7M	-1.58B	-11.6M	0.80	2.76	105,738	85,018	980,846	1,831,510
2020-08-31	$44.03	$42.00	23.6%	6.9%	16.8%	17.8%	26.2%	3.2%	0.2%	-11.0M	-875.4M	-12.5M	1.70	4.16	22,756	38,719	1,000,280	1,820,188