FXI Options History — September 2021

In September 2021, FXI traded between $38.15 and $42.39. ATM implied volatility averaged 27.0%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.5% (HV 20d: 26.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2021-09-20: Highest Volume — 202,100 contracts
  • 2021-09-20: Largest IV spike — 39.3% change
  • 2021-09-20: Highest IV Rank — 100.0%
  • 2021-09-20: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.15$38.15$42.39$41.82$39.05
Max Pain$40.71$40.00$43.00$43.00$41.00
ATM IV27.0%23.8%36.8%25.5%28.3%
Expected Move7.8%6.7%10.9%7.5%8.1%
HV 20d26.5%24.0%28.9%27.0%25.3%
HV 60d29.7%28.7%31.0%28.7%30.6%
IV Rank50.1%33.6%100.0%42.4%56.8%
IV Percentile87.0%73.0%100.0%83.7%95.6%
Term Structure-0.2%-1.0%0.6%-0.6%0.2%
VWIV28.6%23.6%39.5%26.5%27.8%
Skew 25d6.6%4.7%11.4%4.7%7.7%
Skew 10d14.9%9.4%26.2%9.4%16.3%
Call IV 25d24.9%22.3%32.8%24.1%25.6%
Put IV 25d31.6%27.2%44.2%28.8%33.3%
Bid-Ask Spread %25.944.9256.2017.338.45
Gamma HHI0.110.080.330.100.08
Net GEX-5.6M-108.3M97.8M48.5M-30.0M
Net DEX1.03B-251.8M2.00B306.7M1.32B
Net VEX-11.2M-13.1M-9.4M-12.7M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.462.900.560.97
Total Volume100,588.04818,992202,100150,33839,382
Total OI2,671,126.6192,072,1873,072,9872,750,8732,410,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$41.82$43.0025.5%7.5%27.0%42.4%26.5%4.7%-0.6%48.5M306.7M-12.7M0.5617.3396,51953,8191,467,5031,283,370
2021-09-02$41.40$40.0024.9%7.2%26.9%39.6%24.3%5.1%-0.1%54.9M440.6M-12.9M0.7923.2837,15729,5321,593,4861,300,397
2021-09-03$41.49$40.0024.4%7.1%26.5%37.0%27.7%4.8%-0.1%18.6M404.1M-13.1M2.8630.7621,46761,3391,619,3671,329,804
2021-09-07$42.39$40.0023.8%7.0%26.7%33.6%25.9%4.8%0.6%97.8M-251.8M-13.0M0.5449.6597,44152,8911,602,2331,302,786
2021-09-08$42.00$40.0024.0%6.8%26.8%34.8%24.1%4.8%-0.2%79.5M67.0M-12.6M0.5047.0820,55210,3371,614,9181,337,637
2021-09-09$41.58$40.0024.0%6.7%26.8%34.6%23.6%5.1%-0.6%42.2M531.4M-12.5M0.4656.2013,0315,9611,634,5061,367,305
2021-09-10$41.56$40.0024.5%6.9%26.3%37.3%26.4%5.0%-0.6%26.3M541.8M-12.5M2.6120.8120,77854,1831,637,0141,372,810
2021-09-13$41.47$40.0025.4%7.3%26.4%42.0%28.6%5.2%-0.9%30.8M606.2M-11.6M1.957.3311,07721,6501,601,5211,354,628
2021-09-14$40.56$41.0025.6%7.3%26.9%43.1%29.9%5.9%0.4%-31.4M1.33B-11.3M2.7424.6848,397132,7981,606,5691,394,070
2021-09-15$40.28$41.0026.1%7.5%24.9%45.8%26.3%5.5%-0.8%-51.8M1.56B-10.8M2.7143.4740,568109,7501,612,4191,407,511
2021-09-16$39.67$41.0026.1%7.5%25.3%45.5%27.1%6.1%0.3%-72.3M2.00B-10.2M1.9455.7449,44995,9991,628,3151,401,339
2021-09-17$39.92$41.0026.4%7.6%24.0%47.3%26.4%6.4%0.0%-108.3M1.80B-10.6M1.847.0258,837108,4921,652,6671,420,320
2021-09-20$38.15$40.0036.8%10.9%28.9%100.0%39.5%11.4%-1.0%-20.2M1.30B-10.3M2.0120.7467,102134,9981,137,335934,852
2021-09-21$38.66$41.0032.8%9.7%28.4%79.7%33.2%10.4%-0.5%-25.1M1.41B-10.3M0.584.9293,24654,3301,176,7351,001,386
2021-09-22$39.41$41.0029.4%8.5%26.3%62.3%27.0%8.4%-0.3%-14.9M1.17B-10.9M0.6027.7869,36741,9621,221,2581,050,758
2021-09-23$39.07$41.0027.8%8.0%26.3%53.8%29.9%7.5%-0.3%-20.2M1.25B-10.2M2.327.8630,10969,7671,256,0951,054,524
2021-09-24$38.26$41.0027.8%8.1%26.8%54.0%32.7%8.0%-0.2%-42.1M1.64B-9.4M2.9019.9329,21584,6801,246,6341,072,801
2021-09-27$38.84$41.0027.1%7.8%27.3%50.5%30.6%7.3%0.0%-29.9M1.35B-9.5M1.6433.7127,83445,7531,233,4461,032,644
2021-09-28$38.84$41.0028.2%8.3%27.3%56.2%36.1%7.9%0.0%-31.5M1.34B-9.8M1.9113.0817,87934,1521,249,7251,088,049
2021-09-29$38.65$41.0028.1%8.3%26.4%55.8%28.0%7.4%0.3%-37.9M1.45B-9.9M0.9824.9410,37610,1731,269,0471,115,011
2021-09-30$39.05$41.0028.3%8.1%25.3%56.8%27.8%7.7%0.2%-30.0M1.32B-10.1M0.978.4519,94619,4361,281,1631,129,701