FXI Options History — October 2021

In October 2021, FXI traded between $37.70 and $42.32. ATM implied volatility averaged 25.0%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.2% (HV 20d: 26.1%). Max pain ranged from $41.00 to $42.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-10-29: Highest Volume — 275,406 contracts
  • 2021-10-04: Largest IV spike — 11.0% change
  • 2021-10-04: Highest IV Rank — 68.2%
  • 2021-10-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.43$37.70$42.32$38.60$40.30
Max Pain$41.36$41.00$42.50$41.00$41.00
ATM IV25.0%22.1%30.6%27.6%22.4%
Expected Move7.1%6.5%8.3%7.7%6.5%
HV 20d26.1%22.1%30.2%25.3%24.4%
HV 60d28.8%25.2%31.4%30.1%25.4%
IV Rank39.4%25.0%68.2%52.8%26.6%
IV Percentile70.8%50.0%98.4%91.3%54.8%
Term Structure-0.1%-0.8%0.6%0.3%0.6%
VWIV25.4%22.0%31.5%28.8%23.1%
Skew 25d4.7%2.1%8.2%7.2%3.0%
Skew 10d10.1%4.5%18.3%15.9%6.5%
Call IV 25d23.3%21.3%27.2%25.1%21.4%
Put IV 25d28.0%24.0%35.3%32.3%24.4%
Bid-Ask Spread %30.022.8059.2810.6810.13
Gamma HHI0.080.070.100.080.07
Net GEX29.2M-58.9M120.9M-44.7M3.7M
Net DEX337.7M-950.8M1.87B1.50B543.7M
Net VEX-11.2M-13.1M-8.9M-9.6M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.162.860.860.46
Total Volume125,667.33339,879275,40696,346275,406
Total OI2,524,239.9052,094,3462,816,1242,424,5912,649,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$38.60$41.0027.6%7.7%25.3%52.8%28.8%7.2%0.3%-44.7M1.50B-9.6M0.8610.6851,79344,5531,287,5831,137,008
2021-10-04$37.70$42.5030.6%8.3%26.2%68.2%31.0%8.2%-0.7%-58.9M1.87B-8.9M1.093.3633,94536,9101,259,7311,128,634
2021-10-05$38.25$42.0028.4%8.1%25.4%57.2%27.4%7.8%-0.3%-57.5M1.67B-9.3M1.8831.4731,61859,3551,294,8131,145,472
2021-10-06$38.00$42.0029.0%8.2%25.3%60.0%31.5%7.9%-0.5%-57.0M1.79B-9.4M1.1010.4119,02620,8531,311,4231,158,195
2021-10-07$39.56$42.0027.9%7.7%29.9%54.6%29.7%6.5%-0.1%-20.1M971.9M-10.6M0.4634.86160,20274,2881,316,1691,183,960
2021-10-08$39.97$42.0026.8%7.6%30.2%48.7%25.1%6.1%-0.3%-13.4M727.6M-10.7M0.2149.65163,04633,9051,329,1561,175,636
2021-10-11$39.95$42.0027.1%7.7%30.2%50.1%26.1%6.4%-0.4%7.8M722.3M-10.7M0.6151.1478,51547,9361,373,3081,185,317
2021-10-12$39.72$42.0026.7%7.4%29.3%48.5%30.0%5.6%-0.8%4.8M802.6M-10.9M2.667.7418,49249,1941,480,5881,204,410
2021-10-13$40.47$41.0025.8%7.5%30.0%43.6%24.9%4.8%0.3%41.8M307.3M-11.2M0.265.5680,03920,8961,507,9621,224,723
2021-10-14$40.34$41.0024.6%7.2%29.5%37.3%23.6%5.1%0.6%27.5M491.8M-11.1M0.5458.0634,00318,3081,507,6831,268,525
2021-10-15$40.69$41.0023.1%6.6%29.6%30.1%24.0%4.6%-0.5%37.9M163.3M-11.0M0.4912.47170,74383,6371,548,3821,267,742
2021-10-18$40.92$41.0022.9%6.6%24.0%29.0%23.1%4.0%-0.3%32.7M158.7M-10.8M0.6954.2432,67522,5711,092,4061,001,940
2021-10-19$42.02$41.0022.8%6.5%25.1%28.4%23.0%3.0%-0.3%70.6M-628.4M-11.8M0.1645.85175,38227,5441,159,6391,032,571
2021-10-20$42.20$41.0023.3%6.7%24.5%30.9%23.1%2.8%-0.5%101.9M-893.0M-12.6M0.3055.2096,47228,8641,339,9071,074,053
2021-10-21$42.16$41.0023.2%6.7%24.2%30.6%23.9%2.7%-0.4%111.4M-895.7M-12.8M0.6856.7981,35355,6431,397,0281,089,856
2021-10-22$42.14$41.0022.6%6.5%22.4%27.5%23.0%2.6%-0.2%116.9M-880.7M-13.1M0.6246.1539,37224,2261,464,5331,115,657
2021-10-25$42.32$41.0022.4%6.5%22.1%26.2%24.6%2.1%0.3%120.9M-950.8M-12.5M2.8659.2823,32966,7981,442,9281,066,958
2021-10-26$41.55$41.0022.1%6.5%23.5%25.0%23.9%2.4%0.6%80.5M-357.2M-12.2M0.4913.7194,96246,2991,449,5621,101,397
2021-10-27$41.10$41.0022.4%6.5%23.8%26.1%22.8%2.8%0.4%56.1M-28.9M-12.0M0.5510.9186,86247,9481,496,0661,120,503
2021-10-28$41.04$41.0022.3%6.5%23.7%25.7%22.0%2.7%0.5%50.5M1.2M-11.9M1.692.8030,54751,5041,496,0031,121,633
2021-10-29$40.30$41.0022.4%6.5%24.4%26.6%23.1%3.0%0.6%3.7M543.7M-11.3M0.4610.13189,16986,2371,502,0351,147,943