FXI Options History — January 2021

In January 2021, FXI traded between $46.33 and $52.67. ATM implied volatility averaged 22.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 20.3%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2021-01-25: Highest Volume — 187,640 contracts
  • 2021-01-27: Largest IV spike — 13.1% change
  • 2021-01-27: Highest IV Rank — 18.7%
  • 2021-01-27: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.49$46.33$52.67$46.33$49.34
Max Pain$47.11$46.00$48.00$46.00$48.00
ATM IV22.9%21.0%27.4%21.4%26.2%
Expected Move6.4%5.9%7.5%6.0%7.4%
HV 20d20.3%15.1%27.8%15.1%27.8%
HV 60d20.8%19.3%22.9%19.3%22.9%
IV Rank12.6%8.0%18.7%11.8%16.0%
IV Percentile40.2%18.3%75.0%24.6%69.4%
Term Structure-0.1%-0.9%1.3%-0.3%0.8%
VWIV24.0%20.9%30.9%24.3%30.9%
Skew 25d0.9%-1.7%4.1%1.9%4.1%
Skew 10d3.1%-5.3%8.8%4.7%7.8%
Call IV 25d23.4%21.6%28.0%21.6%25.5%
Put IV 25d24.3%22.0%29.6%23.5%29.6%
Bid-Ask Spread %22.945.8340.5316.6621.95
Gamma HHI0.120.050.210.070.05
Net GEX46.9M-9.6M121.2M22.9M-9.6M
Net DEX-913.6M-1.55B-201.6M-236.6M-201.6M
Net VEX-6.7M-8.0M-5.8M-6.8M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.196.671.032.99
Total Volume73,623.52616,019187,64057,742123,892
Total OI1,691,879.2111,268,4322,158,5471,891,9411,432,654

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$46.33$46.0021.4%6.0%15.1%11.8%24.3%1.9%-0.3%22.9M-236.6M-6.8M1.0316.6628,39729,345721,2511,170,690
2021-01-05$47.44$46.0021.9%6.1%17.5%12.8%21.3%1.7%-0.4%63.6M-726.3M-6.6M1.5615.9026,71741,578721,1851,182,507
2021-01-06$47.00$46.0022.1%6.2%17.3%13.3%22.3%2.4%-0.4%40.4M-508.6M-6.9M1.0418.3629,74431,039728,4091,213,500
2021-01-07$47.34$47.0022.0%6.1%17.5%13.1%22.9%1.2%-0.9%46.3M-568.4M-6.9M6.6734.876,73844,955734,4771,219,958
2021-01-08$48.25$47.0021.8%6.0%17.9%12.7%23.1%1.4%-0.4%83.3M-965.8M-6.6M0.5927.4418,00010,690735,9181,261,676
2021-01-11$47.70$47.0022.7%6.3%17.9%14.5%22.9%0.6%-0.6%60.4M-736.6M-6.5M1.469.216,5239,496738,8841,254,153
2021-01-12$48.31$47.0022.1%6.2%17.8%13.2%23.4%0.7%-0.2%81.0M-988.0M-6.1M0.2333.1557,43213,191737,0711,261,185
2021-01-13$48.49$47.0021.7%6.1%16.4%12.5%22.4%0.7%-0.5%87.1M-1.07B-6.3M0.1932.8598,92218,588771,0251,269,328
2021-01-14$48.75$47.0021.1%5.9%16.4%11.2%20.9%0.3%-0.7%121.2M-1.23B-6.4M0.8329.7734,58828,671849,6511,280,880
2021-01-15$48.65$47.0021.0%6.0%16.5%11.0%21.4%0.4%-0.4%28.8M-1.09B-6.6M1.4440.538,46612,231853,3141,305,233
2021-01-19$50.66$47.0022.0%6.3%21.2%13.1%22.4%0.0%1.3%49.3M-1.17B-6.0M0.2128.9865,35913,527511,675756,757
2021-01-20$52.27$47.0022.6%6.5%22.9%9.7%23.1%-0.7%0.3%58.3M-1.55B-5.8M0.397.2785,04333,242520,527767,659
2021-01-21$52.05$47.0022.2%6.3%22.8%8.9%22.2%-0.5%0.4%49.2M-1.37B-5.9M1.1322.6330,27334,072508,828792,128
2021-01-22$51.77$47.0022.5%6.4%22.9%8.0%22.8%-0.2%0.4%48.7M-1.29B-6.3M0.505.8344,01422,057527,506820,872
2021-01-25$52.67$48.0024.7%7.1%23.2%12.9%25.1%-1.7%0.2%50.6M-1.53B-6.4M0.5016.64125,45062,190556,394801,192
2021-01-26$52.25$48.0024.2%6.9%22.2%11.8%27.6%0.4%0.3%16.8M-1.09B-6.6M1.5610.3824,85338,807486,576848,238
2021-01-27$50.56$48.0027.4%7.5%26.4%18.7%29.6%2.1%-0.6%-3.3M-531.7M-7.9M2.4535.6925,37562,064496,099879,968
2021-01-28$50.45$48.0025.0%7.1%26.3%13.5%27.1%2.2%0.3%-4.8M-500.7M-7.9M2.0327.6917,57635,742508,678919,659
2021-01-29$49.34$48.0026.2%7.4%27.8%16.0%30.9%4.1%0.8%-9.6M-201.6M-8.0M2.9921.9531,03392,859520,370912,284