FXI Options History — December 2021

In December 2021, FXI traded between $35.59 and $38.84. ATM implied volatility averaged 26.6%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.6% (HV 20d: 23.0%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2021-12-14: Highest Volume — 281,496 contracts
2021-12-21: Largest IV drop — 9.3% change
2021-12-03: Highest IV Rank — 70.0%
2021-12-03: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.27	$35.59	$38.84	$38.28	$36.74
Max Pain	$40.91	$40.00	$42.00	$41.00	$40.00
ATM IV	26.6%	23.8%	30.9%	28.3%	25.5%
Expected Move	7.7%	6.8%	10.1%	9.1%	7.3%
HV 20d	23.0%	19.0%	27.0%	21.9%	27.0%
HV 60d	24.2%	23.3%	25.1%	24.2%	24.5%
IV Rank	47.9%	33.3%	70.0%	56.5%	42.2%
IV Percentile	77.7%	58.3%	98.4%	94.0%	67.1%
Term Structure	-0.3%	-1.1%	0.5%	-0.5%	-0.6%
VWIV	28.0%	23.9%	38.0%	30.5%	25.5%
Skew 25d	4.7%	2.5%	7.4%	4.7%	3.8%
Skew 10d	9.3%	2.7%	16.3%	5.4%	8.2%
Call IV 25d	25.4%	23.0%	28.8%	26.4%	24.5%
Put IV 25d	30.0%	26.2%	36.2%	31.1%	28.3%
Bid-Ask Spread %	23.87	3.94	43.50	35.77	26.60
Gamma HHI	0.11	0.08	0.14	0.10	0.09
Net GEX	-44.8M	-81.2M	20.2M	-52.7M	-12.3M
Net DEX	1.47B	877.3M	2.10B	1.60B	979.1M
Net VEX	-11.0M	-11.7M	-10.2M	-11.0M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.18	1.74	1.74	0.18
Total Volume	150,528.636	86,864	281,496	185,390	192,026
Total OI	3,007,478.364	2,465,802	3,642,049	3,034,315	2,743,710

Daily Data (22 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
2021-12-01	$38.28	$41.00	28.3%	9.1%	21.9%	56.5%	30.5%	4.7%	-0.5%	-52.7M	1.60B	-11.0M	1.74	35.77	67,781	117,609	1,797,668	1,236,647
2021-12-02	$38.39	$41.00	28.3%	8.9%	21.6%	56.6%	32.6%	5.3%	-0.4%	-54.2M	1.54B	-11.2M	1.39	43.50	36,353	50,511	1,828,278	1,260,599
2021-12-03	$37.41	$41.00	30.9%	10.1%	23.1%	70.0%	38.0%	7.4%	-0.7%	-69.2M	2.01B	-10.7M	1.65	40.21	49,802	82,412	1,834,920	1,279,744
2021-12-06	$38.09	$42.00	28.1%	7.9%	23.8%	55.3%	30.7%	6.0%	-0.2%	-81.2M	1.73B	-10.8M	0.88	35.68	80,584	71,224	1,819,881	1,307,726
2021-12-07	$38.64	$42.00	25.7%	7.3%	24.2%	43.3%	26.8%	4.2%	0.4%	-73.2M	1.42B	-10.9M	0.20	14.71	134,266	26,388	1,826,062	1,315,360
2021-12-08	$38.84	$42.00	24.1%	7.0%	24.2%	35.0%	26.3%	2.8%	0.5%	-67.1M	1.24B	-11.1M	0.36	7.73	84,895	30,893	1,899,962	1,314,822
2021-12-09	$38.83	$42.00	24.7%	7.1%	24.0%	38.0%	28.8%	3.2%	0.4%	-57.8M	1.19B	-11.3M	0.83	24.14	59,235	49,093	1,958,252	1,324,674
2021-12-10	$38.81	$42.00	23.8%	6.8%	19.0%	33.3%	25.4%	2.5%	0.4%	-63.5M	1.21B	-11.2M	0.70	38.88	82,766	58,120	1,971,338	1,329,157
2021-12-13	$37.85	$42.00	25.3%	7.2%	20.4%	41.2%	24.7%	4.4%	-0.5%	-76.7M	1.69B	-11.0M	0.53	39.02	140,771	74,451	1,949,234	1,318,470
2021-12-14	$37.64	$41.00	26.6%	7.3%	20.4%	47.6%	26.6%	4.4%	-0.9%	-76.0M	1.64B	-11.6M	0.24	35.43	227,353	54,143	2,032,148	1,325,907
2021-12-15	$36.58	$41.00	28.3%	7.8%	21.4%	56.4%	29.9%	5.1%	-0.8%	-77.1M	2.09B	-11.0M	1.08	11.43	73,651	79,788	2,114,365	1,339,711
2021-12-16	$36.80	$41.00	27.4%	7.7%	21.8%	51.7%	29.2%	5.1%	-0.6%	-76.3M	1.95B	-11.4M	0.45	10.79	144,686	64,594	2,160,550	1,362,248
2021-12-17	$36.40	$41.00	28.4%	8.2%	21.0%	57.3%	29.7%	6.1%	0.2%	-48.8M	2.10B	-11.1M	1.01	10.79	76,353	77,161	2,262,055	1,379,994
2021-12-20	$35.59	$41.00	30.6%	8.7%	21.5%	68.5%	30.6%	6.6%	-0.4%	-29.7M	1.53B	-10.4M	0.27	7.52	134,709	36,428	1,420,297	1,045,505
2021-12-21	$36.57	$40.00	27.8%	8.0%	24.6%	53.9%	29.4%	5.2%	-0.1%	2.8M	1.10B	-11.4M	0.72	7.43	67,018	47,939	1,508,426	1,054,574
2021-12-22	$36.54	$40.00	25.8%	7.4%	24.6%	43.6%	25.5%	4.9%	0.2%	-7.9M	1.20B	-11.0M	0.40	3.94	79,642	31,553	1,508,553	1,071,069
2021-12-23	$36.63	$40.00	24.6%	7.0%	24.5%	37.4%	23.9%	4.5%	0.1%	-6.0M	1.14B	-11.2M	0.48	25.15	63,180	30,310	1,558,252	1,073,402
2021-12-27	$36.53	$40.00	25.3%	7.2%	23.3%	41.0%	24.7%	4.3%	-0.5%	-11.9M	1.19B	-10.9M	0.63	28.52	80,915	51,140	1,534,617	1,069,438
2021-12-28	$36.20	$40.00	25.1%	7.2%	23.2%	40.3%	24.7%	4.2%	-0.4%	-26.4M	1.35B	-10.6M	0.61	25.87	63,067	38,397	1,563,658	1,084,965
2021-12-29	$35.72	$40.00	25.5%	7.3%	23.4%	42.4%	25.5%	4.2%	-0.6%	-40.3M	1.53B	-10.2M	0.40	30.30	92,868	37,352	1,585,175	1,083,726
2021-12-30	$36.96	$40.00	25.7%	7.4%	27.0%	43.1%	26.1%	3.6%	-1.1%	20.2M	877.3M	-11.7M	0.47	21.63	115,644	54,559	1,620,357	1,089,028
2021-12-31	$36.74	$40.00	25.5%	7.3%	27.0%	42.2%	25.5%	3.8%	-0.6%	-12.3M	979.1M	-11.4M	0.18	26.60	162,582	29,444	1,651,012	1,092,698