FXI Options History — August 2021

In August 2021, FXI traded between $38.64 and $41.94. ATM implied volatility averaged 25.2%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 9.7% (HV 20d: 34.9%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2021-08-16: Highest Volume — 275,306 contracts
  • 2021-08-19: Largest IV spike — 14.6% change
  • 2021-08-20: Highest IV Rank — 63.9%
  • 2021-08-20: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.53$38.64$41.94$41.09$40.91
Max Pain$43.73$43.00$45.00$44.00$43.00
ATM IV25.2%21.5%29.6%26.9%25.8%
Expected Move7.3%6.2%8.5%8.0%7.4%
HV 20d34.9%25.7%39.4%39.4%26.3%
HV 60d27.4%26.7%28.7%27.0%28.2%
IV Rank41.2%21.8%63.9%49.8%43.9%
IV Percentile80.8%44.8%99.2%93.3%86.9%
Term Structure-0.1%-0.7%0.8%-0.7%-0.2%
VWIV26.9%22.3%31.9%28.8%25.6%
Skew 25d6.0%4.3%8.2%7.7%5.5%
Skew 10d13.1%9.6%17.6%16.0%11.2%
Call IV 25d23.3%19.9%27.6%24.0%24.0%
Put IV 25d29.3%24.8%35.7%31.7%29.6%
Bid-Ask Spread %5.401.9716.152.828.65
Gamma HHI0.120.090.190.110.10
Net GEX-37.6M-105.2M20.8M-36.7M20.3M
Net DEX1.88B906.9M3.39B1.70B906.9M
Net VEX-11.1M-12.2M-9.4M-11.8M-12.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.163.841.800.27
Total Volume127,78131,461275,30634,616232,423
Total OI2,817,304.52,420,2453,130,3692,758,7312,740,009

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$41.09$44.0026.9%8.0%39.4%49.8%28.8%7.7%-0.7%-36.7M1.70B-11.8M1.802.8212,36322,2531,296,3811,462,350
2021-08-03$40.80$44.0026.2%7.6%38.4%46.3%27.6%7.4%-0.6%-40.4M1.89B-11.3M0.873.0459,53551,9091,311,0141,471,894
2021-08-04$41.38$44.0024.3%7.0%38.9%36.5%30.0%7.2%-0.3%-34.6M1.59B-11.5M0.7410.9069,57451,8061,308,8401,485,535
2021-08-05$40.90$44.0023.8%6.8%37.7%33.9%23.8%6.0%-0.1%-41.2M1.88B-11.0M1.143.5245,67252,1851,334,4631,517,055
2021-08-06$40.40$45.0023.0%6.8%36.2%29.5%26.0%6.1%0.1%-59.8M2.31B-10.1M0.942.3339,30137,1051,312,9441,534,579
2021-08-09$41.17$44.0023.1%6.6%37.2%30.1%23.4%4.9%-0.0%-45.9M1.80B-11.2M0.302.01115,07734,8891,314,0341,374,331
2021-08-10$41.59$44.0022.7%6.3%37.2%28.0%22.8%4.6%-0.6%-39.0M1.53B-11.6M0.515.6465,20233,5061,335,4371,405,254
2021-08-11$41.94$44.0021.6%6.2%37.4%22.4%22.3%4.6%-0.0%-27.4M1.20B-12.2M1.708.3222,66138,6341,421,8821,422,498
2021-08-12$41.35$44.0021.8%6.4%37.4%23.2%25.8%4.3%0.8%-44.9M1.67B-11.7M1.732.2121,50337,2891,461,6431,437,446
2021-08-13$41.33$44.0021.5%6.3%37.4%21.8%23.1%4.9%0.8%-52.1M1.73B-11.4M1.471.9720,61630,2061,470,1781,440,279
2021-08-16$40.65$44.0023.1%6.6%37.4%30.3%26.4%5.4%0.3%-60.3M2.23B-10.5M3.842.1256,841218,4651,472,4871,432,647
2021-08-17$39.52$44.0025.3%7.2%38.4%41.3%26.9%6.6%0.5%-84.6M2.89B-9.4M1.422.5775,537107,4991,482,1931,445,649
2021-08-18$39.94$44.0025.2%7.2%38.7%41.2%25.3%6.0%-0.4%-99.0M2.76B-10.3M1.536.1731,99248,8421,502,9921,546,014
2021-08-19$39.05$44.0028.9%8.3%39.1%60.3%30.8%8.2%0.0%-105.2M3.33B-9.9M2.653.0448,238127,6191,533,7841,596,585
2021-08-20$38.64$44.0029.6%8.5%38.4%63.9%31.9%8.1%0.5%-63.9M3.39B-9.7M0.7213.24159,215114,8891,532,9061,571,422
2021-08-23$39.41$43.0028.3%8.3%34.5%57.1%31.2%6.9%-0.4%-46.2M1.94B-10.3M1.209.5761,86173,9461,208,7851,211,460
2021-08-24$40.80$43.0026.5%7.8%34.2%47.7%29.7%5.4%-0.3%2.4M1.01B-12.0M0.3116.15204,01462,8881,310,6491,280,178
2021-08-25$40.47$43.0026.3%7.7%26.3%46.9%28.2%5.5%-0.3%20.8M1.20B-11.7M0.162.97135,61922,2591,355,2611,307,102
2021-08-26$39.88$43.0028.0%8.2%26.4%55.2%29.1%5.9%-0.2%1.4M1.56B-11.7M0.752.9443,38532,4131,456,6501,335,978
2021-08-27$40.12$43.0026.5%7.7%26.2%47.8%25.5%5.7%-0.3%13.0M1.41B-11.8M0.385.7543,71216,7781,495,1681,329,910
2021-08-30$40.23$43.0026.7%7.9%25.7%48.8%27.9%5.5%-0.3%-3.8M1.37B-11.6M0.342.9623,5327,9291,444,6301,270,203
2021-08-31$40.91$43.0025.8%7.4%26.3%43.9%25.6%5.5%-0.2%20.3M906.9M-12.0M0.278.65182,63549,7881,458,3691,281,640