FXI Options History — May 2021

In May 2021, FXI traded between $43.60 and $46.45. ATM implied volatility averaged 20.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.5% (HV 20d: 17.2%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2021-05-10: Highest Volume — 296,499 contracts
  • 2021-05-10: Largest IV spike — 15.9% change
  • 2021-05-12: Highest IV Rank — 59.0%
  • 2021-05-12: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.34$43.60$46.45$46.01$46.32
Max Pain$47.55$47.00$50.00$50.00$47.00
ATM IV20.7%17.8%25.4%19.8%17.8%
Expected Move5.9%5.1%6.9%5.6%5.1%
HV 20d17.2%12.8%19.5%17.9%18.1%
HV 60d24.0%22.3%24.8%24.8%22.3%
IV Rank20.5%0.0%59.0%9.2%0.0%
IV Percentile21.9%0.0%79.8%6.7%0.0%
Term Structure0.1%-0.9%1.7%0.8%0.2%
VWIV21.4%18.2%26.1%20.6%18.4%
Skew 25d2.4%1.0%4.2%1.5%1.0%
Skew 10d5.9%1.4%15.6%5.6%1.4%
Call IV 25d20.1%17.9%23.1%19.9%17.9%
Put IV 25d22.5%18.9%27.3%21.3%18.9%
Bid-Ask Spread %24.854.2256.554.2218.97
Gamma HHI0.120.090.170.100.10
Net GEX-62.2M-126.0M27.5M-55.9M25.0M
Net DEX1.33B48.8M2.53B1.20B104.8M
Net VEX-10.1M-10.7M-9.5M-10.7M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.199.671.480.83
Total Volume81,61520,849296,49922,90339,416
Total OI2,350,549.12,119,0642,678,4142,208,4252,276,690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$46.01$50.0019.8%5.6%17.9%9.2%20.6%1.5%0.8%-55.9M1.20B-10.7M1.484.229,24113,6621,067,1571,141,268
2021-05-04$45.53$50.0020.7%5.9%17.9%16.6%21.3%2.1%0.6%-68.0M1.48B-10.5M1.3448.078,91611,9331,074,1971,144,134
2021-05-05$45.78$50.0020.1%5.6%15.0%15.9%20.7%2.2%1.1%-65.9M1.36B-10.4M0.4856.5531,81015,4051,079,5431,151,874
2021-05-06$45.86$48.0019.7%5.8%13.7%12.6%22.8%2.7%1.7%-67.2M1.37B-10.3M0.4116.4617,5987,1981,076,3601,165,884
2021-05-07$46.07$48.0018.4%5.5%12.8%2.4%19.5%1.4%1.0%-58.8M1.24B-10.0M1.196.0745,58054,1511,110,1951,171,375
2021-05-10$44.86$47.0021.4%6.1%15.8%26.3%21.6%2.1%-0.6%-101.5M1.83B-9.6M0.4245.56208,86887,6311,097,7111,172,720
2021-05-11$44.70$47.0022.4%6.3%15.8%35.0%23.1%3.1%-0.9%-100.5M1.91B-10.0M1.3156.3717,19922,5601,131,6221,208,478
2021-05-12$44.18$47.0025.4%6.9%16.1%59.0%26.1%4.2%-0.8%-103.4M2.17B-10.1M9.6747.366,33561,2581,149,5801,226,478
2021-05-13$43.60$47.0023.2%6.6%16.3%41.1%25.3%4.1%-0.6%-126.0M2.53B-9.5M2.5221.0626,24766,0461,150,8601,260,239
2021-05-14$44.23$47.0021.5%6.1%17.3%27.2%21.6%3.1%-0.4%-125.9M2.22B-9.7M2.2045.8224,63954,2521,172,8791,293,676
2021-05-17$44.61$47.0021.6%6.2%17.8%28.2%21.5%2.9%-0.3%-124.2M1.96B-9.7M0.2312.5740,2079,0581,180,7341,310,697
2021-05-18$45.11$47.0021.2%6.1%18.4%25.0%21.4%2.7%0.2%-84.1M1.59B-10.0M0.5917.30146,77686,6441,206,3851,319,295
2021-05-19$45.05$47.0022.3%6.4%18.4%33.6%24.3%3.1%-0.0%-78.3M1.58B-10.4M7.3420.3814,022102,9831,310,5131,351,742
2021-05-20$45.62$47.0021.1%6.1%19.0%24.3%21.7%2.5%0.1%-25.2M1.15B-10.5M0.798.8326,33320,7391,317,8221,334,860
2021-05-21$45.12$47.0020.9%6.0%18.3%22.5%20.7%2.6%-0.6%-83.5M1.52B-10.2M0.567.9937,27220,8221,327,1821,351,232
2021-05-24$45.11$47.0019.7%5.6%17.5%12.5%19.4%2.3%0.0%-52.2M927.2M-9.7M0.3036.5181,09624,2921,057,0781,061,986
2021-05-25$46.14$47.0019.6%5.6%19.5%11.7%19.7%1.8%-0.3%1.7M250.1M-10.1M0.6111.5235,69121,9051,079,1831,069,646
2021-05-26$46.45$47.0018.9%5.5%19.5%6.5%19.4%1.2%0.0%23.0M48.8M-10.2M0.197.2656,54910,8101,092,6101,085,317
2021-05-27$46.42$47.0018.1%5.3%19.4%0.0%18.2%1.1%0.2%27.5M63.7M-10.1M0.318.0951,34115,8151,139,5561,092,224
2021-05-28$46.32$47.0017.8%5.1%18.1%0.0%18.4%1.0%0.2%25.0M104.8M-10.0M0.8318.9721,56117,8551,181,0631,095,627