FXI Options History — March 2021 In March 2021, FXI traded between $45.33 and $50.40. ATM implied volatility averaged 25.8%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.2% (HV 20d: 30.0%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.09.
Notable Days 2021-03-24 : Highest Volume — 220,847 contracts2021-03-04 : Largest IV spike — 13.7% change2021-03-24 : Highest IV Rank — 28.6%2021-03-08 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $47.86 $45.33 $50.40 $50.40 $46.75 Max Pain $49.83 $49.00 $50.00 $50.00 $50.00 ATM IV 25.8% 22.7% 29.4% 25.5% 22.7% Expected Move 7.4% 6.5% 8.2% 7.4% 6.5% HV 20d 30.0% 24.6% 33.1% 26.2% 31.1% HV 60d 26.6% 23.5% 28.6% 23.5% 28.5% IV Rank 18.7% 13.2% 28.6% 14.5% 15.9% IV Percentile 68.4% 40.5% 84.1% 67.5% 40.5% Term Structure -0.2% -1.2% 0.6% -0.7% -0.5% VWIV 26.1% 22.3% 29.2% 26.3% 22.3% Skew 25d 3.0% -1.1% 4.7% 3.6% 2.3% Skew 10d 7.8% 5.5% 11.5% 8.0% 5.5% Call IV 25d 25.3% 22.3% 29.5% 24.5% 22.3% Put IV 25d 28.3% 24.6% 32.2% 28.2% 24.6% Bid-Ask Spread % 13.20 5.33 36.48 16.93 10.05 Gamma HHI 0.14 0.09 0.20 0.14 0.10 Net GEX -59.4M -85.6M -24.2M -30.7M -67.6M Net DEX 955.0M -1.0M 1.86B -1.0M 1.23B Net VEX -9.9M -11.3M -9.1M -9.3M -11.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.30 3.38 0.30 0.52 Total Volume 89,177.87 9,674 220,847 9,674 91,002 Total OI 1,793,486.13 1,490,069 2,124,488 1,627,312 2,057,585
Daily Data (23 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 2021-03-01 $50.40 $50.00 25.5% 7.4% 26.2% 14.5% 26.3% 3.6% -0.7% -30.7M -1.0M -9.3M 0.30 16.93 7,421 2,253 671,820 955,492 2021-03-02 $49.52 $50.00 25.6% 7.5% 25.1% 14.8% 28.3% 2.8% -0.9% -42.9M 348.3M -9.1M 1.91 5.56 36,388 69,526 675,412 955,880 2021-03-03 $49.84 $50.00 25.6% 7.5% 24.6% 14.8% 27.3% 2.9% -0.9% -45.8M 260.4M -9.4M 3.38 10.18 9,066 30,632 698,287 1,001,591 2021-03-04 $48.41 $50.00 29.1% 8.0% 26.4% 22.5% 27.0% 4.7% -1.2% -56.6M 907.6M -9.6M 1.38 14.96 18,104 25,029 700,491 1,020,917 2021-03-05 $48.95 $50.00 27.3% 7.5% 26.7% 18.6% 25.5% 4.1% -1.0% -53.8M 728.4M -9.7M 1.69 36.00 8,074 13,635 710,098 1,044,033 2021-03-08 $47.24 $50.00 29.4% 8.2% 28.7% 23.0% 28.3% 4.4% 0.1% -63.6M 1.27B -9.1M 1.39 10.41 31,087 43,233 688,455 1,027,121 2021-03-09 $48.25 $50.00 27.3% 7.7% 30.1% 18.5% 27.0% 3.6% -0.2% -64.2M 896.0M -9.4M 0.62 9.45 53,569 33,070 701,409 1,057,341 2021-03-10 $47.75 $50.00 27.0% 7.6% 29.4% 17.9% 26.1% 3.7% -0.4% -66.9M 1.11B -9.1M 0.63 11.39 25,292 15,990 679,614 1,054,985 2021-03-11 $49.50 $50.00 25.7% 7.5% 32.5% 14.9% 26.7% 2.7% 0.6% -48.1M 329.4M -9.3M 1.17 36.48 38,479 44,989 699,854 1,050,104 2021-03-12 $48.12 $50.00 27.1% 7.8% 32.8% 18.0% 26.5% 3.4% 0.3% -67.9M 976.5M -9.5M 0.80 8.33 64,299 51,269 723,826 1,080,830 2021-03-15 $48.00 $49.00 26.9% 7.7% 32.7% 17.5% 27.0% 3.4% -0.2% -66.0M 995.8M -9.4M 0.63 9.68 28,453 17,897 757,366 1,098,207 2021-03-16 $48.51 $49.00 25.2% 7.2% 33.1% 14.0% 27.0% 2.9% 0.3% -71.2M 759.7M -9.4M 3.24 17.62 42,382 137,519 782,496 1,106,193 2021-03-17 $48.42 $49.00 25.1% 7.2% 32.3% 13.7% 26.8% 2.9% 0.0% -57.2M 725.6M -9.8M 0.54 11.56 93,580 50,714 805,470 1,148,044 2021-03-18 $48.08 $49.00 25.3% 7.2% 31.6% 14.1% 25.3% 3.0% -0.0% -47.6M 935.0M -9.9M 1.30 7.72 74,661 96,874 846,242 1,167,637 2021-03-19 $47.98 $50.00 24.6% 7.0% 31.3% 13.2% 24.9% 2.9% 0.0% -24.2M 1.02B -10.4M 1.05 28.79 27,521 28,781 891,495 1,232,993 2021-03-22 $47.99 $50.00 24.2% 6.9% 29.4% 14.0% 23.7% 2.7% 0.1% -44.9M 687.5M -10.2M 0.98 8.10 49,303 48,162 607,121 882,948 2021-03-23 $46.86 $50.00 23.7% 6.8% 30.1% 13.8% 23.5% 2.9% 0.1% -73.1M 1.19B -10.1M 0.93 6.22 24,106 22,448 638,750 927,339 2021-03-24 $45.34 $50.00 25.8% 7.5% 30.9% 28.6% 26.1% -1.1% -0.3% -80.8M 1.74B -9.6M 0.84 8.85 119,962 100,885 655,797 948,739 2021-03-25 $45.33 $50.00 25.6% 7.4% 30.8% 28.0% 22.4% 3.2% 0.2% -85.6M 1.86B -10.0M 0.56 5.33 71,885 40,325 717,703 1,032,667 2021-03-26 $46.55 $50.00 25.4% 7.4% 32.6% 27.0% 27.0% 3.3% 0.2% -65.2M 1.32B -10.9M 0.39 7.25 84,353 32,518 774,452 1,052,969 2021-03-29 $46.35 $50.00 25.6% 7.6% 31.4% 27.8% 29.2% 2.7% -0.5% -75.2M 1.39B -11.1M 0.46 16.97 45,509 20,997 822,403 1,102,372 2021-03-30 $46.66 $50.00 24.6% 7.3% 31.2% 24.1% 25.4% 3.0% -0.3% -67.7M 1.28B -11.3M 0.46 5.79 54,549 25,300 864,961 1,130,672 2021-03-31 $46.75 $50.00 22.7% 6.5% 31.1% 15.9% 22.3% 2.3% -0.5% -67.6M 1.23B -11.2M 0.52 10.05 59,859 31,143 912,004 1,145,581
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