FXI Options History — February 2021

In February 2021, FXI traded between $49.39 and $54.48. ATM implied volatility averaged 23.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.2% (HV 20d: 27.3%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2021-02-24: Highest Volume — 114,274 contracts
  • 2021-02-22: Largest IV spike — 10.9% change
  • 2021-02-25: Highest IV Rank — 18.3%
  • 2021-02-25: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.05$49.39$54.48$50.67$49.39
Max Pain$49.32$48.00$50.00$48.00$50.00
ATM IV23.2%20.0%27.2%24.7%26.6%
Expected Move6.7%6.0%8.1%6.9%7.7%
HV 20d27.3%24.5%29.1%28.9%26.4%
HV 60d22.6%21.7%24.3%23.4%23.2%
IV Rank9.5%2.6%18.3%12.9%17.0%
IV Percentile42.6%6.3%75.0%61.9%71.8%
Term Structure0.1%-1.1%0.6%-0.0%-1.1%
VWIV24.3%20.8%28.5%28.5%27.0%
Skew 25d2.3%-0.1%14.4%3.3%14.4%
Skew 10d3.6%-8.2%28.9%7.7%28.9%
Call IV 25d23.1%20.2%27.0%24.0%25.6%
Put IV 25d25.4%21.5%40.0%27.3%40.0%
Bid-Ask Spread %10.673.8428.0216.8114.56
Gamma HHI0.090.060.130.060.13
Net GEX6.8M-66.3M55.1M-203.9K-66.3M
Net DEX-890.6M-1.92B489.4M-592.2M489.4M
Net VEX-8.4M-9.7M-7.6M-7.9M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.351.900.351.20
Total Volume64,586.10532,872114,27483,81850,465
Total OI1,664,065.7891,475,2121,923,6301,475,2121,634,743

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$50.67$48.0024.7%6.9%28.9%12.9%28.5%3.3%-0.0%-203.9K-592.2M-7.9M0.3516.8162,13921,679519,744955,468
2021-02-02$51.44$48.0023.4%6.4%29.1%10.0%23.8%2.4%0.2%5.9M-793.9M-7.8M1.367.0722,58930,790523,169980,863
2021-02-03$51.60$48.0022.4%6.0%28.3%7.8%22.6%2.2%0.4%13.9M-913.3M-7.6M1.484.9234,36250,870536,092990,081
2021-02-04$51.09$49.0022.2%6.6%28.3%7.3%24.1%1.7%0.3%2.8M-671.2M-8.2M1.9011.2731,24459,293564,4581,033,110
2021-02-05$51.65$49.0021.3%6.3%28.4%5.2%23.3%1.6%0.6%10.5M-862.0M-8.3M1.6010.1727,80144,614589,9391,074,182
2021-02-08$51.49$49.0021.0%6.2%28.0%4.7%21.8%1.4%0.5%10.7M-819.7M-8.0M1.633.8412,65320,676586,7741,054,330
2021-02-09$52.28$49.0020.0%6.0%27.7%2.6%20.8%1.3%0.6%27.8M-1.14B-7.6M1.486.2721,65032,042595,8531,066,312
2021-02-10$52.65$49.0020.5%6.0%27.6%3.6%22.2%0.6%0.3%32.5M-1.23B-8.1M0.6919.3535,48224,611605,6901,093,340
2021-02-11$53.58$49.0021.3%6.2%28.0%5.3%22.5%-0.1%0.2%39.4M-1.59B-7.8M0.4210.5465,75127,319622,3501,110,756
2021-02-12$53.55$49.0021.5%6.2%28.0%5.9%22.9%0.4%0.3%16.5M-1.61B-8.2M1.7722.9033,93359,904667,1811,130,243
2021-02-16$53.65$50.0022.7%6.5%28.0%8.4%22.9%0.6%0.1%44.2M-1.61B-8.3M0.744.4719,10514,141676,8231,160,520
2021-02-17$54.48$50.0023.2%6.6%25.0%9.4%24.5%0.8%0.1%55.1M-1.92B-8.1M0.467.2732,76814,973689,3741,175,866
2021-02-18$53.23$50.0023.4%6.7%24.5%9.8%25.2%1.8%0.3%38.0M-1.45B-8.4M1.546.9627,30942,075702,3111,184,857
2021-02-19$53.62$50.0022.6%6.4%24.5%8.1%22.7%1.5%0.2%23.4M-1.52B-8.6M0.469.3824,03011,039708,1341,215,496
2021-02-22$51.81$50.0025.0%7.2%27.5%13.5%26.4%1.5%-0.2%-16.9M-456.4M-8.8M0.545.1948,58426,373604,431922,344
2021-02-23$52.00$50.0025.1%7.2%26.8%13.7%26.1%1.7%0.1%-19.5M-468.4M-8.8M0.3728.0236,23213,494586,333930,729
2021-02-24$50.68$50.0026.2%7.6%28.2%16.2%26.6%2.4%-0.3%-46.6M38.8M-9.1M0.544.8374,29539,979569,611935,684
2021-02-25$50.01$50.0027.2%8.1%26.0%18.3%28.1%3.7%-0.2%-41.7M202.6M-9.7M1.028.8916,29816,574667,896952,163
2021-02-26$49.39$50.0026.6%7.7%26.4%17.0%27.0%14.4%-1.1%-66.3M489.4M-9.3M1.2014.5622,90427,561675,125959,618