FXI Options History — March 2022

In March 2022, FXI traded between $27.09 and $34.76. ATM implied volatility averaged 39.5%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 16.2% (HV 20d: 55.7%). Max pain ranged from $36.00 to $37.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2022-03-18: Highest Volume — 1,177,873 contracts
2022-03-11: Largest IV spike — 16.5% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-11: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.00	$27.09	$34.76	$34.76	$32.15
Max Pain	$36.83	$36.00	$37.50	$37.50	$36.00
ATM IV	39.5%	31.2%	56.4%	33.4%	33.4%
Expected Move	11.4%	9.2%	15.9%	10.2%	9.5%
HV 20d	55.7%	19.4%	85.8%	19.9%	85.8%
HV 60d	41.2%	26.3%	53.6%	26.8%	53.6%
IV Rank	71.9%	37.0%	100.0%	82.7%	41.3%
IV Percentile	97.1%	89.7%	100.0%	99.2%	92.5%
Term Structure	-0.9%	-2.8%	1.1%	-1.0%	-0.1%
VWIV	39.9%	31.0%	59.2%	42.1%	31.0%
Skew 25d	7.3%	5.1%	15.4%	6.2%	5.8%
Skew 10d	13.5%	6.4%	32.0%	12.2%	11.8%
Call IV 25d	36.9%	29.3%	49.7%	31.2%	31.1%
Put IV 25d	44.2%	34.8%	65.2%	37.4%	37.0%
Bid-Ask Spread %	7.78	2.57	49.47	4.08	5.99
Gamma HHI	0.08	0.06	0.13	0.10	0.09
Net GEX	17.4M	-40.3M	85.5M	-2.7M	50.3M
Net DEX	1.13B	-64.9M	2.19B	1.16B	762.1M
Net VEX	-9.2M	-12.9M	-4.1M	-9.8M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.18	4.52	4.52	0.35
Total Volume	246,561.696	87,547	1,177,873	136,318	219,467
Total OI	3,163,091.478	2,700,211	3,693,348	2,700,211	3,452,306

Daily Data (23 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
2022-03-01	$34.76	$37.50	33.4%	10.2%	19.9%	82.7%	42.1%	6.2%	-1.0%	-2.7M	1.16B	-9.8M	4.52	4.08	24,696	111,622	1,801,017	899,194
2022-03-02	$34.67	$37.50	31.2%	9.3%	19.4%	71.4%	31.5%	5.4%	-0.6%	-17.4M	1.33B	-9.3M	0.90	3.55	67,392	60,358	1,805,904	940,585
2022-03-03	$33.68	$37.50	32.5%	10.0%	21.2%	77.8%	34.0%	5.3%	-0.6%	-32.7M	1.62B	-8.4M	0.92	4.82	64,329	59,309	1,855,678	961,347
2022-03-04	$32.95	$37.50	35.5%	11.1%	22.0%	93.5%	39.3%	7.5%	-1.2%	-40.3M	1.80B	-7.9M	1.27	6.65	46,916	59,572	1,882,333	969,396
2022-03-07	$31.82	$37.50	39.2%	13.5%	23.3%	100.0%	46.1%	7.0%	-0.6%	-23.4M	1.95B	-6.8M	0.72	15.59	53,086	38,275	1,858,126	947,140
2022-03-08	$31.35	$37.50	39.3%	13.1%	23.3%	100.0%	38.7%	6.2%	-0.1%	-22.7M	2.02B	-6.2M	0.70	4.67	108,320	75,975	1,873,224	946,261
2022-03-09	$31.81	$37.50	36.0%	11.8%	24.2%	85.3%	46.4%	6.6%	-0.4%	-24.7M	1.99B	-6.7M	0.77	3.71	71,095	54,475	1,930,832	976,480
2022-03-10	$30.41	$37.50	41.8%	14.3%	25.2%	100.0%	52.5%	10.1%	1.1%	-19.9M	2.09B	-5.5M	1.30	3.91	79,008	102,410	1,950,804	951,707
2022-03-11	$29.14	$37.00	48.8%	15.9%	27.4%	100.0%	59.2%	12.8%	-1.2%	-17.5M	2.19B	-5.2M	0.99	4.79	131,500	129,699	1,983,650	1,013,151
2022-03-14	$27.10	$37.00	56.4%	13.9%	34.5%	100.0%	50.7%	15.4%	-2.8%	-12.8M	2.19B	-4.1M	1.00	7.09	119,378	118,805	2,001,403	1,013,383
2022-03-15	$27.09	$37.00	52.4%	13.2%	34.9%	89.8%	43.0%	12.5%	-1.4%	-12.2M	2.16B	-4.3M	0.79	5.52	119,053	94,531	2,067,722	1,044,322
2022-03-16	$32.59	$37.00	47.6%	11.9%	79.2%	77.5%	41.8%	7.2%	-2.1%	11.0M	899.6M	-9.6M	0.52	14.86	432,142	223,719	2,133,224	1,051,191
2022-03-17	$31.50	$37.00	46.0%	12.1%	79.5%	73.4%	40.6%	6.3%	-2.2%	13.5M	1.17B	-10.3M	0.89	7.07	167,536	148,269	2,367,125	1,177,738
2022-03-18	$33.20	$37.00	42.9%	11.4%	82.5%	65.4%	45.4%	6.6%	-1.6%	32.0M	521.9M	-11.7M	0.24	4.82	948,050	229,823	2,454,257	1,239,091
2022-03-21	$31.69	$37.00	43.5%	11.2%	83.4%	66.9%	37.2%	6.8%	-1.0%	35.5M	617.7M	-11.1M	0.32	4.78	189,108	60,598	2,118,335	1,053,910
2022-03-22	$33.13	$36.00	39.7%	10.7%	84.9%	57.4%	37.1%	6.2%	-0.9%	69.9M	-64.9M	-12.8M	1.37	4.31	107,911	147,887	2,225,692	1,062,176
2022-03-23	$33.11	$36.00	38.2%	10.5%	84.9%	53.4%	34.0%	6.2%	0.2%	73.8M	-29.3M	-12.9M	1.33	3.96	83,803	111,324	2,282,792	1,094,169
2022-03-24	$32.65	$36.00	37.1%	10.1%	84.9%	50.6%	36.6%	5.2%	-0.3%	59.3M	312.3M	-12.2M	1.01	9.92	99,988	101,187	2,326,066	1,128,437
2022-03-25	$32.12	$36.00	36.3%	10.1%	85.0%	48.5%	33.0%	6.1%	-0.5%	49.0M	619.2M	-11.3M	1.00	3.76	79,958	80,267	2,361,660	1,134,787
2022-03-28	$32.55	$36.00	33.7%	9.4%	85.2%	42.1%	33.2%	5.5%	0.0%	63.7M	442.3M	-11.4M	0.74	3.01	50,252	37,295	2,331,642	1,115,695
2022-03-29	$33.29	$36.00	31.8%	9.2%	85.7%	37.0%	32.0%	5.1%	-0.2%	85.5M	78.9M	-12.1M	0.50	2.57	85,666	42,915	2,335,963	1,124,679
2022-03-30	$33.14	$36.00	32.9%	9.3%	85.7%	39.9%	31.0%	5.8%	-2.7%	82.8M	150.4M	-12.0M	0.18	49.47	197,800	36,150	2,364,857	1,141,653
2022-03-31	$32.15	$36.00	33.4%	9.5%	85.8%	41.3%	31.0%	5.8%	-0.1%	50.3M	762.1M	-10.5M	0.35	5.99	162,154	57,313	2,300,008	1,152,298