FXI Options History — November 2020

In November 2020, FXI traded between $44.88 and $48.59. ATM implied volatility averaged 22.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 21.9%). Max pain ranged from $41.00 to $44.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.83.

Notable Days

2020-11-05: Highest Volume — 212,405 contracts
2020-11-04: Largest IV drop — 17.2% change
2020-11-02: Highest IV Rank — 26.8%
2020-11-03: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.24	$44.88	$48.59	$44.88	$47.15
Max Pain	$43.08	$41.00	$44.50	$44.50	$44.00
ATM IV	22.5%	20.2%	28.1%	28.1%	22.1%
Expected Move	6.8%	6.1%	8.8%	8.8%	7.1%
HV 20d	21.9%	17.8%	25.0%	17.8%	25.0%
HV 60d	18.8%	16.9%	19.9%	16.9%	19.9%
IV Rank	15.5%	10.9%	26.8%	26.8%	14.7%
IV Percentile	38.3%	19.4%	79.0%	79.0%	33.7%
Term Structure	-0.1%	-2.2%	2.2%	-0.5%	-0.0%
VWIV	24.2%	21.6%	31.1%	31.1%	24.4%
Skew 25d	2.1%	0.4%	5.8%	5.8%	0.5%
Skew 10d	4.1%	-0.2%	11.5%	11.5%	-0.1%
Call IV 25d	22.0%	19.7%	26.4%	26.4%	22.1%
Put IV 25d	24.1%	21.0%	32.1%	32.1%	22.6%
Bid-Ask Spread %	5.28	3.35	16.29	4.22	6.44
Gamma HHI	0.11	0.07	0.15	0.07	0.12
Net GEX	87.1M	30.9M	116.4M	30.9M	69.0M
Net DEX	-2.18B	-3.43B	-1.08B	-1.08B	-1.15B
Net VEX	-8.1M	-11.6M	-6.7M	-11.6M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.30	1.58	0.59	0.77
Total Volume	87,362.8	27,870	212,405	59,406	40,320
Total OI	2,926,412.55	2,407,590	3,241,811	2,882,386	2,451,161

Daily Data (20 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
2020-11-02	$44.88	$44.50	28.1%	8.8%	17.8%	26.8%	31.1%	5.8%	-0.5%	30.9M	-1.08B	-11.6M	0.59	4.22	37,267	22,139	1,218,294	1,664,092
2020-11-03	$45.20	$44.50	27.9%	8.8%	17.8%	26.4%	31.0%	5.3%	-0.4%	42.6M	-1.33B	-11.2M	1.20	5.35	44,515	53,599	1,218,294	1,664,092
2020-11-04	$46.86	$44.50	23.1%	6.8%	21.2%	16.8%	23.9%	3.9%	0.2%	106.4M	-2.64B	-9.8M	0.56	4.98	88,690	49,441	1,269,457	1,715,723
2020-11-05	$47.67	$41.00	23.7%	7.2%	21.7%	17.9%	25.8%	2.6%	0.0%	116.4M	-3.23B	-9.1M	0.30	3.52	162,866	49,539	1,290,964	1,753,891
2020-11-06	$47.92	$42.00	22.3%	6.9%	21.6%	15.1%	24.3%	2.0%	0.2%	112.0M	-3.17B	-8.5M	0.54	3.50	25,201	13,567	1,231,100	1,791,131
2020-11-09	$48.36	$42.00	22.5%	7.0%	20.4%	15.6%	24.7%	1.3%	2.0%	101.7M	-3.43B	-7.9M	0.41	4.55	117,501	48,578	1,249,829	1,757,524
2020-11-10	$47.20	$42.00	23.4%	7.2%	22.8%	17.4%	24.6%	2.4%	1.6%	84.2M	-2.42B	-8.7M	0.88	3.35	72,147	63,663	1,258,152	1,793,095
2020-11-11	$47.60	$42.00	21.8%	6.8%	22.2%	14.2%	23.6%	2.6%	1.2%	97.2M	-2.72B	-8.2M	0.65	16.29	51,937	33,736	1,275,215	1,811,306
2020-11-12	$46.95	$42.00	22.3%	6.9%	22.6%	15.1%	26.3%	2.7%	1.7%	92.7M	-2.22B	-8.4M	1.01	5.79	32,267	32,703	1,306,593	1,836,167
2020-11-13	$47.43	$42.00	21.5%	6.6%	22.5%	13.5%	23.6%	2.1%	2.2%	108.5M	-2.54B	-8.3M	0.79	4.45	19,516	15,475	1,319,387	1,863,219
2020-11-16	$47.69	$42.00	22.1%	6.5%	22.4%	14.7%	23.2%	1.6%	-2.2%	105.4M	-2.62B	-7.7M	0.56	4.59	17,873	9,997	1,293,945	1,854,844
2020-11-17	$47.41	$42.00	21.8%	6.3%	22.7%	14.0%	23.5%	1.6%	-1.2%	97.9M	-2.47B	-7.2M	1.23	3.77	50,693	62,425	1,286,419	1,865,737
2020-11-18	$47.20	$43.00	21.9%	6.3%	22.8%	14.3%	22.0%	1.3%	-0.5%	90.7M	-2.14B	-7.3M	0.53	5.58	31,753	16,954	1,294,226	1,899,464
2020-11-19	$47.15	$44.00	21.5%	6.2%	22.7%	13.6%	21.6%	1.3%	-1.0%	94.9M	-2.04B	-7.1M	1.51	3.68	51,243	77,156	1,294,180	1,911,619
2020-11-20	$47.47	$44.00	21.2%	6.2%	22.7%	12.9%	21.7%	1.4%	-1.2%	72.8M	-2.32B	-7.1M	1.18	4.12	80,230	94,953	1,286,425	1,955,386
2020-11-23	$47.25	$44.00	21.4%	6.3%	22.4%	13.2%	22.4%	1.3%	-1.2%	66.2M	-1.33B	-6.9M	1.58	5.89	20,524	32,367	973,523	1,434,067
2020-11-24	$47.49	$44.00	20.3%	6.1%	22.4%	11.2%	21.8%	1.5%	-0.6%	75.9M	-1.40B	-6.7M	0.74	5.55	20,600	15,201	985,788	1,458,568
2020-11-25	$47.26	$44.00	20.2%	6.1%	21.2%	10.9%	21.6%	1.2%	-0.6%	65.4M	-1.19B	-6.9M	1.15	5.30	16,717	19,238	1,010,432	1,478,700
2020-11-27	$48.59	$44.00	21.0%	6.5%	22.6%	12.5%	22.6%	0.4%	-1.3%	110.5M	-2.06B	-6.7M	0.36	4.63	40,164	14,501	1,019,357	1,486,885
2020-11-30	$47.15	$44.00	22.1%	7.1%	25.0%	14.7%	24.4%	0.5%	-0.0%	69.0M	-1.15B	-6.9M	0.77	6.44	22,744	17,576	994,315	1,456,846