FXI Options History — September 2020

In September 2020, FXI traded between $40.67 and $44.38. ATM implied volatility averaged 22.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.3% (HV 20d: 16.9%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.14.

Notable Days

2020-09-14: Highest Volume — 170,625 contracts
2020-09-09: Largest IV drop — 12.2% change
2020-09-03: Highest IV Rank — 22.8%
2020-09-03: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.55	$40.67	$44.38	$44.36	$41.92
Max Pain	$43.45	$42.00	$44.00	$42.00	$43.00
ATM IV	22.2%	19.6%	26.1%	23.1%	21.9%
Expected Move	6.4%	5.6%	7.5%	6.8%	6.2%
HV 20d	16.9%	15.3%	18.1%	15.3%	17.9%
HV 60d	25.9%	18.5%	27.2%	26.9%	18.5%
IV Rank	14.9%	9.7%	22.8%	16.8%	14.3%
IV Percentile	49.0%	31.3%	71.8%	57.1%	44.0%
Term Structure	0.3%	-0.7%	2.8%	0.3%	2.5%
VWIV	23.5%	20.2%	30.8%	30.8%	23.5%
Skew 25d	3.8%	2.5%	5.3%	3.6%	3.9%
Skew 10d	8.0%	5.6%	10.3%	7.1%	7.6%
Call IV 25d	21.3%	19.4%	25.0%	22.3%	20.9%
Put IV 25d	25.1%	22.0%	29.5%	25.9%	24.7%
Bid-Ask Spread %	3.69	2.59	7.41	3.84	3.01
Gamma HHI	0.08	0.07	0.10	0.08	0.09
Net GEX	-57.1M	-101.2M	1.9M	840.4K	-77.3M
Net DEX	29.5M	-1.17B	1.14B	-1.17B	400.6M
Net VEX	-11.4M	-12.8M	-10.5M	-11.8M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.43	5.38	2.81	2.68
Total Volume	71,728.095	19,407	170,625	22,240	77,411
Total OI	2,687,729.286	2,136,007	3,122,392	2,846,663	2,317,458

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
2020-09-01	$44.36	$42.00	23.1%	6.8%	15.3%	16.8%	30.8%	3.6%	0.3%	840.4K	-1.17B	-11.8M	2.81	3.84	5,843	16,397	1,009,758	1,836,905
2020-09-02	$44.38	$42.00	23.3%	6.8%	15.3%	17.2%	23.7%	3.5%	0.0%	1.9M	-1.17B	-11.9M	0.43	3.77	30,087	13,030	1,014,037	1,848,177
2020-09-03	$43.41	$44.00	26.1%	7.5%	17.5%	22.8%	26.0%	4.6%	-0.4%	-35.8M	-471.0M	-12.8M	0.80	5.83	37,750	30,336	1,029,662	1,851,351
2020-09-04	$43.60	$44.00	24.6%	6.9%	15.7%	19.7%	25.8%	5.3%	-0.3%	-21.1M	-633.4M	-12.3M	0.65	7.41	51,005	33,166	1,028,753	1,874,675
2020-09-08	$42.75	$44.00	25.1%	6.9%	17.4%	20.8%	25.4%	5.1%	-0.7%	-60.6M	-7.6M	-12.1M	3.27	3.58	14,136	46,280	1,018,511	1,858,009
2020-09-09	$42.97	$44.00	22.1%	6.4%	17.5%	14.6%	23.1%	4.0%	0.2%	-54.2M	-170.9M	-11.7M	0.82	3.46	25,460	20,813	1,025,114	1,866,056
2020-09-10	$42.26	$44.00	22.1%	6.4%	17.8%	14.8%	21.9%	3.9%	0.3%	-84.3M	289.3M	-11.6M	1.55	4.10	15,776	24,519	1,042,806	1,871,103
2020-09-11	$42.52	$44.00	21.5%	6.1%	17.9%	13.5%	23.8%	3.6%	-0.4%	-75.2M	122.2M	-11.4M	3.13	3.48	26,479	82,974	1,053,501	1,889,208
2020-09-14	$42.90	$44.00	20.7%	6.0%	18.1%	12.0%	22.5%	3.1%	0.1%	-52.1M	-214.3M	-10.9M	3.77	3.31	35,806	134,819	1,053,941	1,912,775
2020-09-15	$43.14	$44.00	20.1%	5.8%	17.1%	10.7%	20.5%	2.8%	0.3%	-23.8M	-411.5M	-10.7M	1.40	3.38	26,637	37,417	1,081,034	1,944,546
2020-09-16	$43.16	$44.00	20.1%	5.8%	17.0%	10.8%	20.2%	2.6%	0.1%	-23.8M	-383.5M	-10.6M	0.90	3.15	37,181	33,410	1,095,774	1,969,362
2020-09-17	$42.84	$44.00	19.6%	5.6%	17.1%	9.8%	20.8%	2.5%	0.2%	-42.8M	-216.0M	-10.6M	1.35	2.90	15,541	21,027	1,126,683	1,995,709
2020-09-18	$42.84	$44.00	19.6%	5.6%	17.1%	9.7%	24.7%	2.9%	0.5%	-39.8M	-79.9M	-10.5M	2.82	2.91	37,594	106,049	1,117,490	1,994,524
2020-09-21	$42.36	$44.00	21.0%	5.9%	17.1%	12.4%	21.9%	3.2%	0.0%	-69.4M	254.7M	-11.0M	0.86	3.69	43,751	37,591	757,682	1,378,325
2020-09-22	$42.09	$43.00	21.3%	6.0%	16.2%	13.0%	21.9%	4.0%	-0.1%	-68.3M	333.0M	-11.4M	5.38	2.86	14,687	79,051	815,947	1,378,112
2020-09-23	$41.70	$43.00	22.2%	6.3%	16.2%	15.0%	22.6%	3.7%	-0.2%	-83.8M	567.5M	-11.6M	5.31	3.57	11,447	60,807	819,039	1,410,689
2020-09-24	$41.16	$43.00	23.1%	6.7%	16.4%	16.7%	23.1%	4.5%	-0.3%	-99.5M	887.4M	-11.9M	2.49	3.80	16,543	41,149	824,692	1,443,413
2020-09-25	$40.67	$42.50	23.5%	6.8%	16.6%	17.5%	24.1%	4.5%	-0.2%	-101.2M	1.14B	-11.8M	2.76	3.72	30,185	83,250	841,910	1,444,953
2020-09-28	$41.33	$43.00	22.4%	6.4%	17.8%	15.4%	22.2%	4.3%	2.4%	-94.2M	747.5M	-11.4M	0.51	2.59	12,889	6,518	851,659	1,442,663
2020-09-29	$41.17	$43.00	22.6%	6.6%	16.6%	15.8%	24.6%	4.2%	2.8%	-95.7M	812.1M	-11.2M	1.19	3.20	14,344	17,135	860,631	1,445,678
2020-09-30	$41.92	$43.00	21.9%	6.2%	17.9%	14.3%	23.5%	3.9%	2.5%	-77.3M	400.6M	-11.0M	2.68	3.01	21,022	56,389	862,260	1,455,198