FXI Options History — July 2021 In July 2021, FXI traded between $39.05 and $46.08. ATM implied volatility averaged 23.0%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.0% (HV 20d: 23.9%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.74.
Notable Days 2021-07-27 : Highest Volume — 718,112 contracts2021-07-26 : Largest IV spike — 43.7% change2021-07-26 : Highest IV Rank — 100.0%2021-07-27 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $43.31 $39.05 $46.08 $46.08 $40.49 Max Pain $45.76 $44.00 $46.00 $46.00 $44.00 ATM IV 23.0% 18.7% 36.6% 18.7% 27.3% Expected Move 6.6% 5.2% 11.0% 5.2% 8.0% HV 20d 23.9% 14.1% 38.7% 14.1% 38.7% HV 60d 20.2% 16.6% 26.8% 16.8% 26.8% IV Rank 38.2% 11.2% 100.0% 11.2% 51.7% IV Percentile 47.4% 7.9% 100.0% 7.9% 94.8% Term Structure -0.2% -1.9% 0.5% 0.1% -0.6% VWIV 24.9% 20.7% 39.0% 23.9% 29.7% Skew 25d 4.6% 1.2% 11.4% 1.2% 7.6% Skew 10d 10.3% 4.1% 24.8% 4.1% 17.2% Call IV 25d 21.7% 18.7% 32.0% 19.0% 24.9% Put IV 25d 26.2% 20.2% 43.4% 20.2% 32.5% Bid-Ask Spread % 12.97 2.97 47.93 23.86 3.11 Gamma HHI 0.13 0.09 0.17 0.11 0.12 Net GEX -87.9M -141.7M -7.3M -7.3M -57.0M Net DEX 1.52B 284.8M 2.75B 284.8M 2.12B Net VEX -9.9M -10.9M -7.5M -10.4M -10.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.74 0.32 18.46 1.17 1.19 Total Volume 153,507.857 30,572 718,112 34,767 77,145 Total OI 1,972,272.524 1,681,756 2,709,989 1,784,818 2,709,989
Daily Data (21 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 2021-07-01 $46.08 $46.00 18.7% 5.2% 14.1% 11.2% 23.9% 1.2% 0.1% -7.3M 284.8M -10.4M 1.17 23.86 16,019 18,748 780,890 1,003,928 2021-07-02 $45.50 $46.00 18.9% 5.4% 14.3% 12.3% 21.7% 1.3% 0.1% -44.0M 690.0M -10.3M 1.87 3.82 20,899 39,117 790,489 1,021,064 2021-07-06 $44.25 $46.00 20.5% 5.8% 16.9% 24.5% 23.1% 2.1% -0.1% -114.7M 1.41B -9.7M 12.94 17.23 13,630 176,427 786,909 1,050,251 2021-07-07 $44.33 $46.00 20.3% 5.9% 16.9% 23.2% 21.0% 2.2% -0.2% -128.4M 1.43B -10.0M 1.40 3.66 22,945 32,108 790,888 1,179,116 2021-07-08 $42.98 $46.00 22.1% 6.3% 19.8% 37.3% 23.0% 3.6% -0.2% -141.7M 2.11B -9.5M 1.32 8.31 31,841 42,156 794,965 1,176,305 2021-07-09 $44.14 $46.00 21.8% 6.1% 22.4% 37.6% 22.5% 3.3% -1.2% -120.3M 1.48B -10.3M 0.57 47.93 74,476 42,464 813,142 1,181,972 2021-07-12 $44.02 $46.00 20.6% 5.9% 22.4% 27.7% 21.5% 3.8% -0.1% -127.0M 1.49B -9.8M 1.33 4.90 43,028 57,047 820,574 1,166,973 2021-07-13 $44.48 $46.00 20.4% 5.9% 22.8% 26.0% 21.8% 3.6% 0.2% -111.7M 1.28B -10.3M 1.45 8.32 63,593 91,995 840,663 1,184,828 2021-07-14 $44.35 $46.00 19.9% 5.8% 22.4% 21.7% 23.3% 3.1% 0.4% -116.7M 1.27B -10.3M 18.46 4.94 5,877 108,475 880,390 1,211,360 2021-07-15 $44.72 $46.00 19.8% 5.6% 22.2% 20.9% 21.4% 3.6% -0.4% -121.1M 1.14B -10.6M 2.71 3.05 8,248 22,324 882,552 1,279,662 2021-07-16 $44.38 $46.00 19.8% 5.7% 21.9% 20.9% 24.0% 3.8% 0.5% -59.7M 1.32B -10.4M 1.85 20.29 12,317 22,803 883,854 1,278,244 2021-07-19 $43.68 $46.00 22.8% 6.5% 22.5% 45.8% 25.1% 5.1% 0.0% -83.4M 1.38B -10.0M 1.72 7.53 15,408 26,499 608,539 1,073,217 2021-07-20 $43.67 $46.00 21.5% 6.2% 22.5% 35.0% 23.4% 4.2% 0.1% -88.5M 1.33B -9.8M 1.39 8.24 21,998 30,580 617,040 1,089,614 2021-07-21 $43.67 $46.00 20.8% 6.0% 22.4% 29.2% 22.5% 3.6% 0.5% -79.9M 1.31B -9.6M 0.62 43.55 104,742 64,852 634,883 1,077,994 2021-07-22 $43.89 $46.00 19.8% 5.7% 22.1% 21.0% 20.7% 3.8% 0.3% -51.7M 1.12B -10.1M 1.65 3.81 12,153 19,999 739,749 1,061,121 2021-07-23 $42.76 $46.00 22.1% 6.3% 23.3% 40.3% 22.7% 5.0% 0.2% -98.7M 1.63B -9.8M 1.40 11.72 44,579 62,338 752,449 1,074,654 2021-07-26 $40.49 $46.00 31.8% 9.4% 28.0% 100.0% 33.1% 9.8% -1.1% -82.4M 2.36B -8.3M 1.63 23.32 177,351 288,372 710,420 1,059,202 2021-07-27 $39.05 $46.00 36.6% 11.0% 29.4% 100.0% 39.0% 11.4% -1.9% -73.3M 2.75B -7.5M 2.24 18.27 221,676 496,436 730,963 1,097,806 2021-07-28 $41.51 $45.00 29.0% 8.6% 38.7% 60.4% 31.2% 7.0% -0.9% -78.7M 2.02B -10.3M 0.35 3.63 257,573 89,158 871,283 1,214,833 2021-07-29 $40.97 $44.00 27.9% 8.1% 38.7% 54.8% 28.2% 6.6% -0.4% -59.9M 1.95B -10.7M 0.32 2.97 185,884 60,385 1,045,687 1,449,261 2021-07-30 $40.49 $44.00 27.3% 8.0% 38.7% 51.7% 29.7% 7.6% -0.6% -57.0M 2.12B -10.9M 1.19 3.11 35,300 41,845 1,227,892 1,482,097
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