FXI Options History — November 2021

In November 2021, FXI traded between $38.27 and $41.60. ATM implied volatility averaged 25.5%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.1% (HV 20d: 23.4%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2021-11-11: Highest Volume — 482,264 contracts
  • 2021-11-26: Largest IV spike — 9.4% change
  • 2021-11-26: Highest IV Rank — 53.4%
  • 2021-11-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.13$38.27$41.60$41.02$38.27
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV25.5%22.3%27.7%22.3%27.6%
Expected Move7.6%6.4%8.8%6.4%8.8%
HV 20d23.4%20.5%25.0%22.9%23.4%
HV 60d25.2%24.5%26.2%25.5%24.6%
IV Rank42.1%25.8%53.4%25.8%53.0%
IV Percentile76.9%53.2%91.3%53.2%90.9%
Term Structure0.1%-1.1%1.7%0.4%-0.3%
VWIV26.8%24.5%33.0%25.0%29.5%
Skew 25d2.6%1.4%4.9%2.9%4.9%
Skew 10d4.8%1.8%9.7%6.1%9.7%
Call IV 25d24.8%21.7%26.8%21.7%26.4%
Put IV 25d27.3%24.6%31.3%24.6%31.3%
Bid-Ask Spread %26.603.1549.877.7338.14
Gamma HHI0.080.070.090.070.09
Net GEX22.5M-47.4M126.7M45.2M-47.4M
Net DEX514.9M-700.3M1.53B62.6M1.53B
Net VEX-11.8M-13.3M-10.5M-11.7M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.152.161.341.56
Total Volume180,797.8156,115482,26464,384127,495
Total OI2,894,279.1432,594,3423,475,8822,676,9552,956,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$41.02$41.0022.3%6.4%22.9%25.8%25.0%2.9%0.4%45.2M62.6M-11.7M1.347.7327,52236,8621,520,1511,156,804
2021-11-02$39.98$41.0023.4%6.8%24.9%31.4%24.9%3.1%0.3%-15.3M785.4M-11.1M2.163.1539,21584,6381,435,1721,159,170
2021-11-03$40.31$41.0023.4%6.6%24.8%31.3%24.5%2.8%0.4%5.2M533.1M-11.7M1.1419.2461,67470,5011,451,4631,191,639
2021-11-04$40.01$41.0023.3%7.1%20.7%31.1%25.6%2.2%0.0%-18.9M798.4M-11.5M1.8919.3440,22176,1761,484,1731,210,954
2021-11-05$39.39$41.0023.4%7.3%21.1%31.6%25.4%2.4%0.3%-44.9M1.19B-10.8M0.3928.95102,55839,4891,494,1601,207,043
2021-11-08$39.79$41.0023.6%7.1%21.5%32.6%24.7%2.7%1.1%-21.3M959.1M-10.7M0.3820.1273,66027,9081,439,2121,178,028
2021-11-09$39.50$41.0024.5%7.6%21.5%37.1%26.3%3.0%1.7%-23.2M1.08B-10.5M1.0943.1183,32390,9071,479,5951,178,618
2021-11-10$39.78$41.0026.1%7.8%20.5%45.3%28.2%3.2%0.8%-14.6M938.6M-11.3M1.6614.2262,052102,6981,498,6581,238,834
2021-11-11$41.33$41.0026.5%7.9%24.7%47.1%26.7%1.8%1.5%70.3M-264.6M-12.1M0.2724.93379,206103,0581,517,7421,241,248
2021-11-12$41.41$41.0025.9%7.8%24.6%44.5%27.0%1.6%1.7%96.2M-402.3M-12.9M0.4234.46264,755111,0351,726,1241,275,716
2021-11-15$41.21$41.0026.7%7.7%24.6%48.2%26.9%1.9%-0.6%99.5M-375.5M-13.3M0.8517.3164,01954,2271,887,7761,248,778
2021-11-16$41.60$41.0026.6%7.7%22.9%47.6%26.4%1.4%-0.2%126.7M-700.3M-13.1M0.5548.41137,03074,9141,912,1981,252,361
2021-11-17$41.21$41.0026.9%7.7%23.0%49.1%26.6%1.6%-0.7%99.7M-317.7M-13.1M0.3249.87249,77480,5331,948,1591,293,265
2021-11-18$40.30$41.0026.3%7.6%24.2%46.5%26.3%1.7%-1.1%58.2M419.4M-12.8M0.1540.85367,12554,5942,090,8931,299,380
2021-11-19$40.47$41.0026.2%7.6%24.3%45.8%26.1%1.9%-1.0%57.2M211.0M-12.9M0.417.34125,77151,5382,176,8541,299,028
2021-11-22$40.12$41.0026.1%7.7%24.3%45.4%26.7%2.0%-0.7%30.2M399.0M-12.4M0.2835.34116,72632,9141,730,8321,080,604
2021-11-23$39.77$41.0025.9%7.7%23.7%44.3%26.9%2.3%-0.4%15.2M639.0M-11.8M1.2131.6847,56157,6821,732,9171,089,100
2021-11-24$39.90$41.0025.3%7.5%23.5%41.2%27.1%2.7%-0.6%17.2M651.1M-11.9M1.0339.5152,94054,5771,756,7221,125,450
2021-11-26$38.91$41.0027.7%8.3%25.0%53.4%29.2%3.8%-0.6%-24.2M1.23B-11.3M0.9310.4729,11527,0001,763,4321,153,624
2021-11-29$38.47$41.0027.5%8.6%24.5%52.5%33.0%4.2%-0.0%-39.2M1.45B-10.6M0.8924.4060,31953,4421,744,6861,153,090
2021-11-30$38.27$41.0027.6%8.8%23.4%53.0%29.5%4.9%-0.3%-47.4M1.53B-10.7M1.5638.1449,83777,6581,773,5601,182,649