FXI Options History — January 2022

In January 2022, FXI traded between $35.31 and $39.05. ATM implied volatility averaged 27.8%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.2% (HV 20d: 28.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2022-01-20: Highest Volume — 455,513 contracts
  • 2022-01-25: Largest IV drop — 11.8% change
  • 2022-01-24: Highest IV Rank — 81.0%
  • 2022-01-24: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$35.31$39.05$36.55$37.78
Max Pain$38.75$38.00$40.00$40.00$39.00
ATM IV27.8%25.0%33.1%25.0%28.5%
Expected Move8.1%7.3%9.8%7.4%8.7%
HV 20d28.0%24.7%32.7%25.5%32.7%
HV 60d24.8%22.9%27.1%22.9%27.1%
IV Rank54.1%39.7%81.0%39.7%57.5%
IV Percentile83.4%60.3%99.2%60.3%91.7%
Term Structure-0.3%-1.8%0.8%0.1%-0.2%
VWIV29.1%25.7%34.1%26.5%30.2%
Skew 25d3.9%2.3%5.1%3.7%4.4%
Skew 10d8.1%4.5%10.7%8.2%10.5%
Call IV 25d26.7%23.9%31.1%23.9%27.4%
Put IV 25d30.7%27.6%35.8%27.6%31.8%
Bid-Ask Spread %27.423.5958.824.3110.45
Gamma HHI0.100.090.120.090.11
Net GEX36.8M-35.7M116.5M-12.1M78.2M
Net DEX299.0M-842.3M1.54B1.01B-295.3M
Net VEX-12.9M-14.8M-9.9M-11.1M-14.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.241.560.490.46
Total Volume173,596.0598,218455,51398,218138,169
Total OI2,848,848.652,615,3953,355,8622,618,3182,777,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$36.55$40.0025.0%7.4%25.5%39.7%26.5%3.7%0.1%-12.1M1.01B-11.1M0.494.3165,81432,4041,555,9281,062,390
2022-01-04$35.99$40.0025.4%7.6%24.9%41.8%27.3%3.8%-0.0%-22.5M1.27B-10.7M0.499.9770,86034,5571,578,2851,068,349
2022-01-05$35.31$40.0025.6%7.7%24.7%42.7%27.1%3.5%0.2%-35.7M1.54B-9.9M1.3528.9868,30091,9681,603,1951,070,360
2022-01-06$35.85$38.0026.2%7.5%25.5%45.7%27.6%4.2%0.0%-21.6M1.30B-10.8M0.8716.4973,73464,5041,629,2071,099,304
2022-01-07$36.58$38.0025.7%7.4%26.9%43.0%26.6%4.4%0.2%-838.0K921.1M-11.5M0.3058.82146,72943,4121,632,0201,100,057
2022-01-10$36.61$38.0026.5%7.5%26.9%47.0%28.5%4.5%-0.1%625.1K925.9M-11.6M0.4655.3694,28642,9761,691,8681,097,276
2022-01-11$37.80$38.0026.5%7.7%28.2%47.1%27.2%4.1%0.8%45.6M99.7M-13.1M0.6247.30170,236105,3881,736,8531,095,057
2022-01-12$38.64$38.0025.6%7.3%29.2%42.5%25.7%3.1%0.0%81.0M-515.0M-13.8M0.5158.22172,66688,2061,800,4411,101,302
2022-01-13$37.82$38.0027.2%7.8%28.3%51.1%27.3%2.9%-0.2%66.9M-38.0M-14.0M0.9217.2297,23089,3251,953,8261,120,471
2022-01-14$38.16$39.0026.9%7.8%28.4%49.4%26.8%3.0%-0.0%67.6M-267.9M-14.2M0.4831.02102,75249,7641,990,5151,151,892
2022-01-18$37.69$39.0028.9%8.3%28.5%59.8%30.9%3.7%-1.1%39.6M207.4M-13.3M1.525.7857,57187,7141,942,1241,144,946
2022-01-19$37.92$38.0027.8%8.0%27.0%54.1%29.0%3.7%-0.7%57.8M63.3M-13.2M1.273.5957,11772,5781,968,8241,114,410
2022-01-20$39.05$38.0027.6%7.9%27.3%52.8%27.9%2.3%-0.9%116.5M-842.3M-14.1M0.2424.08367,25188,2621,960,4891,127,367
2022-01-21$38.34$39.0030.2%8.8%28.4%66.3%33.6%3.1%-1.8%71.1M-369.0M-14.8M1.5650.3055,68086,6042,181,7321,174,130
2022-01-24$37.57$39.0033.1%9.8%29.5%81.0%34.1%4.7%-1.1%60.1M-175.9M-14.3M1.1642.9049,57057,6981,738,117877,278
2022-01-25$37.84$39.0029.2%8.6%29.5%61.1%29.6%4.7%-0.1%68.0M-254.5M-14.2M1.1122.5461,10367,8231,755,352891,731
2022-01-26$37.04$39.0030.5%9.1%30.4%67.8%32.6%4.9%-0.0%41.9M170.0M-13.5M0.6234.58110,27068,6611,782,175912,966
2022-01-27$36.41$39.0030.3%9.1%30.7%66.8%34.1%5.0%-0.2%22.6M522.3M-12.8M1.027.8482,26384,0141,812,609919,938
2022-01-28$36.09$39.0029.8%8.9%28.2%64.5%30.5%5.1%0.1%10.5M701.4M-12.2M0.3418.61130,12644,3361,837,696919,294
2022-01-31$37.78$39.0028.5%8.7%32.7%57.5%30.2%4.4%-0.2%78.2M-295.3M-14.0M0.4610.4594,79243,3771,856,539920,660