FXI Options History — December 2020

In December 2020, FXI traded between $44.91 and $47.43. ATM implied volatility averaged 20.3%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.3% (HV 20d: 18.9%). Max pain ranged from $44.00 to $45.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.53.

Notable Days

2020-12-11: Highest Volume — 515,191 contracts
2020-12-08: Largest IV drop — 6.3% change
2020-12-01: Highest IV Rank — 13.9%
2020-12-01: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.06	$44.91	$47.43	$47.43	$46.25
Max Pain	$44.64	$44.00	$45.50	$44.00	$45.50
ATM IV	20.3%	18.9%	21.7%	21.7%	20.6%
Expected Move	5.9%	5.4%	7.0%	7.0%	5.8%
HV 20d	18.9%	14.3%	24.4%	24.3%	15.1%
HV 60d	19.5%	19.1%	20.0%	20.0%	19.4%
IV Rank	10.7%	8.2%	13.9%	13.9%	10.2%
IV Percentile	17.2%	9.1%	29.0%	29.0%	17.5%
Term Structure	0.3%	-0.2%	2.2%	0.1%	0.2%
VWIV	21.2%	17.8%	25.5%	25.5%	20.6%
Skew 25d	1.5%	-0.2%	3.1%	0.3%	1.7%
Skew 10d	3.1%	-1.3%	6.9%	-0.9%	5.0%
Call IV 25d	20.4%	18.7%	22.5%	21.8%	20.3%
Put IV 25d	21.9%	20.3%	23.8%	22.1%	22.0%
Bid-Ask Spread %	5.19	3.84	6.39	5.56	4.20
Gamma HHI	0.08	0.07	0.12	0.12	0.08
Net GEX	15.6M	-25.2M	75.5M	75.5M	23.0M
Net DEX	-208.4M	-1.26B	399.8M	-1.26B	-190.4M
Net VEX	-7.2M	-8.0M	-6.1M	-6.8M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.09	4.15	2.78	3.17
Total Volume	63,245.455	15,551	515,191	60,032	24,813
Total OI	2,240,593.455	1,844,148	2,534,012	2,466,582	1,896,652

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
2020-12-01	$47.43	$44.00	21.7%	7.0%	24.3%	13.9%	25.5%	0.3%	0.1%	75.5M	-1.26B	-6.8M	2.78	5.56	15,889	44,143	992,924	1,473,658
2020-12-02	$47.24	$44.00	21.5%	7.0%	24.4%	13.5%	24.8%	0.8%	0.1%	64.5M	-1.10B	-6.8M	3.05	5.16	6,721	20,480	991,385	1,501,356
2020-12-03	$47.09	$44.00	21.5%	6.2%	20.9%	13.5%	22.0%	0.9%	0.5%	54.9M	-974.1M	-6.9M	0.23	5.77	39,005	9,029	993,328	1,521,629
2020-12-04	$47.16	$44.00	20.9%	6.1%	19.9%	12.4%	21.9%	0.8%	0.7%	56.5M	-957.1M	-6.6M	1.27	5.27	13,726	17,393	969,702	1,523,347
2020-12-07	$46.64	$44.00	21.5%	6.1%	20.2%	13.5%	22.8%	-0.1%	-0.2%	41.6M	-644.7M	-6.5M	0.30	4.59	46,330	13,763	956,532	1,518,934
2020-12-08	$46.57	$44.00	20.1%	5.9%	19.8%	10.8%	21.0%	0.2%	0.4%	39.0M	-642.5M	-6.3M	0.16	6.28	24,613	4,022	987,178	1,530,529
2020-12-09	$46.00	$44.00	20.2%	5.8%	18.4%	10.8%	20.6%	0.0%	0.3%	20.7M	-312.9M	-6.2M	0.56	5.72	40,092	22,590	989,350	1,530,547
2020-12-10	$46.67	$44.00	19.2%	5.6%	18.9%	8.9%	20.1%	-0.1%	0.1%	54.8M	-630.0M	-6.1M	0.67	6.39	16,970	11,379	988,296	1,538,888
2020-12-11	$46.16	$44.00	19.4%	5.7%	18.7%	9.3%	17.8%	-0.2%	0.2%	28.4M	-266.8M	-6.3M	0.09	5.97	470,561	44,630	987,616	1,546,396
2020-12-14	$45.43	$45.00	19.6%	5.6%	19.0%	9.8%	22.3%	2.1%	0.1%	-18.0M	362.1M	-7.6M	4.15	5.19	24,979	103,766	814,141	1,477,728
2020-12-15	$45.47	$45.00	18.9%	5.4%	18.8%	8.2%	19.0%	1.9%	0.4%	-20.3M	345.5M	-7.5M	0.54	5.19	27,678	14,972	833,297	1,505,920
2020-12-16	$45.59	$45.00	19.1%	5.5%	18.8%	8.7%	23.1%	1.9%	0.0%	-19.7M	325.6M	-7.8M	3.97	5.23	16,430	65,159	830,214	1,522,100
2020-12-17	$45.81	$45.00	18.9%	5.4%	18.9%	8.3%	20.2%	2.3%	0.1%	-6.5M	254.0M	-8.0M	0.62	5.23	27,490	16,944	836,924	1,557,122
2020-12-18	$45.70	$45.00	19.4%	5.6%	18.9%	9.4%	19.9%	2.0%	0.0%	-5.2M	282.3M	-7.8M	0.91	5.06	8,162	7,389	846,593	1,563,621
2020-12-21	$45.44	$45.00	20.5%	5.9%	18.7%	11.6%	21.3%	2.5%	0.1%	-10.8M	134.3M	-7.8M	0.91	4.93	14,047	12,784	709,814	1,134,334
2020-12-22	$45.25	$45.00	20.6%	5.9%	18.7%	11.7%	20.9%	2.7%	2.2%	-15.7M	208.9M	-7.8M	1.04	4.61	11,578	12,099	720,322	1,137,274
2020-12-23	$45.65	$45.00	19.9%	5.7%	19.0%	10.1%	20.6%	2.8%	0.4%	-4.9M	14.7M	-7.8M	3.76	4.15	5,403	20,331	728,020	1,141,771
2020-12-24	$44.91	$45.00	20.3%	5.8%	19.6%	9.6%	20.2%	2.9%	0.4%	-25.2M	399.8M	-7.8M	1.07	5.55	11,526	12,318	725,197	1,146,220
2020-12-28	$44.92	$45.00	21.2%	6.2%	16.1%	11.5%	21.8%	2.8%	0.3%	-21.9M	292.9M	-7.3M	2.49	3.84	10,678	26,550	723,087	1,136,733
2020-12-29	$45.62	$45.00	20.7%	6.0%	14.3%	10.5%	20.5%	3.1%	0.3%	811.2K	30.0M	-7.2M	1.02	6.27	13,670	13,994	724,690	1,152,207
2020-12-30	$46.28	$45.50	19.7%	5.6%	15.2%	8.4%	19.7%	1.8%	0.3%	31.0M	-247.2M	-7.2M	0.85	4.14	14,722	12,582	726,985	1,160,495
2020-12-31	$46.25	$45.50	20.6%	5.8%	15.1%	10.2%	20.6%	1.7%	0.2%	23.0M	-190.4M	-7.4M	3.17	4.20	5,950	18,863	728,073	1,168,579