FXI Options History — October 2020

In October 2020, FXI traded between $42.10 and $45.08. ATM implied volatility averaged 24.0%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.5% (HV 20d: 16.6%). Max pain ranged from $42.00 to $44.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.37.

Notable Days

2020-10-21: Highest Volume — 208,362 contracts
2020-10-28: Largest IV spike — 10.8% change
2020-10-30: Highest IV Rank — 28.1%
2020-10-30: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.82	$42.10	$45.08	$42.40	$44.02
Max Pain	$43.00	$42.00	$44.50	$43.00	$44.50
ATM IV	24.0%	22.1%	28.7%	22.1%	28.7%
Expected Move	6.9%	6.1%	8.7%	6.1%	8.7%
HV 20d	16.6%	14.8%	18.6%	18.6%	16.7%
HV 60d	17.1%	16.5%	17.6%	17.6%	17.0%
IV Rank	18.6%	14.8%	28.1%	14.8%	28.1%
IV Percentile	59.0%	45.6%	82.1%	45.6%	82.1%
Term Structure	0.0%	-0.7%	3.0%	3.0%	-0.5%
VWIV	24.8%	21.8%	30.2%	21.8%	30.2%
Skew 25d	3.1%	1.6%	5.9%	3.9%	5.9%
Skew 10d	6.9%	4.0%	11.7%	8.1%	11.7%
Call IV 25d	23.3%	20.5%	27.1%	20.5%	27.1%
Put IV 25d	26.4%	24.0%	33.0%	24.4%	33.0%
Bid-Ask Spread %	3.51	2.35	5.13	3.06	4.75
Gamma HHI	0.08	0.06	0.34	0.09	0.06
Net GEX	15.4M	-64.5M	171.5M	-61.8M	-6.3M
Net DEX	-757.6M	-1.49B	306.2M	155.1M	-518.0M
Net VEX	-11.0M	-12.1M	-10.0M	-11.1M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.15	3.63	0.89	1.41
Total Volume	89,539.409	36,937	208,362	63,354	102,252
Total OI	2,659,177.955	2,361,563	2,872,870	2,361,563	2,871,948

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
2020-10-01	$42.40	$43.00	22.1%	6.1%	18.6%	14.8%	21.8%	3.9%	3.0%	-61.8M	155.1M	-11.1M	0.89	3.06	33,490	29,864	873,453	1,488,110
2020-10-02	$42.10	$43.00	23.2%	6.4%	17.1%	16.9%	22.8%	3.7%	2.8%	-63.2M	306.2M	-11.3M	1.99	3.33	28,699	56,970	885,594	1,486,209
2020-10-05	$42.16	$42.00	24.6%	7.2%	17.0%	19.8%	26.9%	4.0%	-0.1%	-64.5M	232.4M	-11.0M	2.15	3.04	61,194	131,868	890,998	1,498,757
2020-10-06	$42.48	$42.00	24.7%	7.2%	15.9%	19.9%	24.3%	3.6%	-0.1%	-44.0M	37.2M	-11.5M	0.17	3.53	123,478	21,272	927,552	1,570,629
2020-10-07	$42.92	$42.00	24.4%	7.1%	16.3%	19.3%	25.2%	3.4%	-0.0%	-12.6M	-365.9M	-11.5M	0.75	3.49	22,913	17,255	1,026,368	1,592,322
2020-10-08	$43.16	$42.00	23.6%	6.8%	15.1%	17.7%	24.6%	3.1%	-0.0%	-638.8K	-536.4M	-11.1M	3.27	2.62	13,987	45,806	1,033,446	1,599,427
2020-10-09	$43.25	$42.00	22.3%	6.4%	15.0%	15.2%	23.2%	2.6%	0.2%	948.0K	-629.3M	-10.8M	0.89	3.15	55,408	49,354	1,040,596	1,627,550
2020-10-12	$44.34	$42.00	22.4%	6.3%	17.1%	15.2%	24.7%	1.7%	-0.3%	56.4M	-1.33B	-10.0M	0.99	4.54	40,987	40,630	1,059,715	1,633,969
2020-10-13	$44.41	$42.00	22.5%	6.4%	17.0%	15.5%	23.3%	1.8%	-0.2%	57.6M	-1.32B	-10.5M	1.17	3.27	47,317	55,428	1,083,814	1,656,818
2020-10-14	$43.91	$42.00	22.6%	6.4%	17.6%	15.8%	22.2%	1.6%	-0.2%	34.0M	-895.9M	-10.8M	0.86	2.98	41,666	35,895	1,065,122	1,706,307
2020-10-15	$43.49	$42.00	23.0%	6.5%	17.8%	16.6%	22.3%	2.0%	-0.3%	23.0M	-649.2M	-10.9M	0.97	3.05	38,820	37,567	1,094,092	1,728,237
2020-10-16	$44.06	$42.00	23.0%	6.6%	18.3%	16.6%	23.0%	1.9%	-0.3%	171.5M	-1.11B	-10.7M	0.58	2.35	81,209	47,508	1,119,490	1,753,380
2020-10-19	$44.05	$43.00	23.1%	6.6%	17.7%	16.7%	24.9%	2.3%	-0.4%	14.3M	-873.6M	-10.6M	1.64	2.81	14,004	22,933	1,029,402	1,501,082
2020-10-20	$44.34	$43.50	23.5%	6.7%	17.5%	17.6%	24.2%	2.2%	-0.6%	22.7M	-997.8M	-10.8M	1.65	4.09	22,848	37,653	1,036,786	1,505,969
2020-10-21	$44.70	$43.50	23.6%	6.8%	17.0%	17.7%	23.4%	2.4%	-0.5%	27.9M	-1.24B	-10.5M	0.15	3.64	180,477	27,885	1,054,653	1,530,170
2020-10-22	$45.08	$44.00	23.7%	6.8%	15.9%	17.9%	25.2%	2.7%	-0.7%	44.7M	-1.49B	-10.9M	1.81	3.37	34,476	62,455	1,123,422	1,541,714
2020-10-23	$45.08	$44.00	23.3%	6.7%	14.8%	17.2%	23.4%	2.7%	-0.3%	48.8M	-1.43B	-11.0M	0.78	3.41	36,803	28,582	1,137,332	1,590,382
2020-10-26	$44.62	$44.00	25.1%	7.4%	15.1%	20.8%	25.7%	3.5%	-0.2%	30.9M	-1.16B	-11.0M	0.98	4.31	36,222	35,505	1,140,603	1,588,005
2020-10-27	$44.80	$44.50	25.1%	7.4%	14.9%	20.8%	27.7%	3.5%	0.0%	35.9M	-1.22B	-11.2M	1.66	3.86	17,118	28,439	1,166,704	1,610,554
2020-10-28	$43.99	$44.50	27.8%	8.3%	15.9%	26.2%	29.2%	4.7%	-0.5%	4.0M	-630.5M	-11.9M	3.63	5.13	13,792	50,064	1,174,519	1,618,539
2020-10-29	$44.60	$44.50	26.2%	7.8%	16.1%	23.0%	27.3%	4.6%	-0.5%	19.9M	-990.3M	-11.5M	1.70	3.44	22,106	37,668	1,179,788	1,658,388
2020-10-30	$44.02	$44.50	28.7%	8.7%	16.7%	28.1%	30.2%	5.9%	-0.5%	-6.3M	-518.0M	-12.1M	1.41	4.75	42,374	59,878	1,198,593	1,673,355