FXI Options History — July 2022

In July 2022, FXI traded between $30.39 and $34.05. ATM implied volatility averaged 32.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.5% (HV 20d: 30.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2022-07-29: Highest Volume — 406,026 contracts
2022-07-11: Largest IV spike — 10.5% change
2022-07-05: Highest IV Rank — 42.5%
2022-07-11: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.11	$30.39	$34.05	$33.95	$30.39
Max Pain	$32.70	$32.00	$33.00	$33.00	$32.00
ATM IV	32.2%	28.0%	35.1%	34.7%	30.4%
Expected Move	9.2%	8.0%	10.0%	9.8%	8.9%
HV 20d	30.6%	23.2%	38.6%	38.6%	26.2%
HV 60d	37.2%	35.8%	38.2%	37.3%	36.4%
IV Rank	33.1%	18.6%	42.5%	42.4%	25.5%
IV Percentile	63.3%	44.0%	75.4%	74.6%	56.3%
Term Structure	-0.2%	-0.7%	0.3%	-0.2%	-0.2%
VWIV	32.4%	29.1%	37.8%	34.2%	31.2%
Skew 25d	3.9%	3.1%	4.8%	3.6%	4.2%
Skew 10d	8.1%	5.4%	13.2%	7.4%	8.6%
Call IV 25d	31.1%	27.4%	33.7%	33.7%	29.2%
Put IV 25d	35.0%	31.1%	37.5%	37.3%	33.4%
Bid-Ask Spread %	7.72	2.20	23.83	2.78	2.20
Gamma HHI	0.10	0.08	0.14	0.12	0.10
Net GEX	21.6M	-46.6M	131.6M	100.7M	-34.2M
Net DEX	137.4M	-1.48B	1.30B	-1.32B	1.30B
Net VEX	-13.0M	-15.9M	-10.6M	-15.9M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.09	5.42	0.13	0.38
Total Volume	179,692.05	68,793	406,026	279,714	406,026
Total OI	3,391,533.75	3,030,717	3,719,816	3,509,180	3,335,638

Daily Data (20 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
2022-07-01	$33.95	$33.00	34.7%	9.8%	38.6%	42.4%	34.2%	3.6%	-0.2%	100.7M	-1.32B	-15.9M	0.13	2.78	247,722	31,992	1,958,165	1,551,015
2022-07-05	$33.83	$33.00	34.8%	9.6%	38.1%	42.5%	34.5%	3.9%	-0.7%	111.7M	-1.29B	-15.7M	0.52	5.93	55,206	28,672	2,096,688	1,561,421
2022-07-06	$33.40	$33.00	34.5%	9.7%	37.5%	40.2%	34.3%	3.4%	-0.5%	95.7M	-945.6M	-15.2M	0.26	23.83	63,748	16,500	2,106,224	1,566,867
2022-07-07	$34.05	$33.00	33.0%	9.3%	37.7%	36.0%	32.2%	3.2%	-0.6%	131.6M	-1.48B	-15.5M	0.34	14.81	158,612	53,618	2,108,624	1,573,676
2022-07-08	$33.68	$33.00	31.6%	8.9%	36.5%	32.2%	31.9%	3.3%	-0.2%	104.4M	-1.07B	-14.8M	1.10	12.15	124,566	136,612	2,073,812	1,555,411
2022-07-11	$32.19	$33.00	34.9%	10.0%	37.0%	41.2%	33.8%	3.5%	0.3%	25.9M	78.3M	-14.1M	0.34	12.50	266,510	91,290	2,063,721	1,596,820
2022-07-12	$31.92	$33.00	35.1%	9.9%	37.1%	41.9%	37.8%	4.1%	-0.6%	3.0M	325.2M	-13.6M	5.42	2.32	42,206	228,877	2,047,643	1,616,494
2022-07-13	$31.78	$33.00	34.2%	9.8%	33.1%	39.3%	34.6%	4.1%	0.0%	323.8K	451.1M	-13.5M	0.59	2.77	135,164	79,259	2,021,491	1,623,313
2022-07-14	$31.26	$33.00	33.9%	9.8%	31.8%	38.5%	34.5%	4.4%	0.3%	-28.5M	809.8M	-12.8M	0.63	19.64	42,229	26,564	2,069,237	1,650,579
2022-07-15	$30.99	$33.00	32.7%	9.4%	30.8%	35.3%	32.4%	4.4%	-0.2%	-46.6M	1.06B	-12.2M	0.58	11.89	90,295	52,537	2,069,327	1,645,697
2022-07-18	$31.59	$33.00	33.4%	9.5%	28.4%	37.0%	33.6%	3.1%	-0.3%	2.5M	437.5M	-12.6M	0.58	3.42	71,060	41,364	1,637,989	1,392,728
2022-07-19	$31.96	$33.00	32.9%	9.4%	28.0%	35.7%	31.9%	4.5%	-0.5%	12.9M	263.5M	-12.8M	0.41	7.28	77,454	31,415	1,669,000	1,408,400
2022-07-20	$31.76	$33.00	31.7%	9.1%	26.0%	32.5%	31.2%	4.8%	-0.1%	1.6M	444.8M	-12.3M	0.62	7.71	44,337	27,478	1,630,090	1,423,731
2022-07-21	$31.97	$33.00	30.3%	8.7%	25.3%	28.6%	30.2%	4.1%	0.3%	5.6M	330.9M	-12.1M	0.63	2.25	59,739	37,684	1,634,119	1,426,149
2022-07-22	$31.29	$32.00	29.8%	8.5%	25.6%	27.2%	29.4%	3.9%	-0.1%	-23.3M	754.6M	-11.5M	1.35	4.70	47,417	64,191	1,654,880	1,446,571
2022-07-25	$31.50	$32.00	29.7%	8.6%	23.7%	23.5%	29.3%	3.7%	-0.0%	-9.5M	655.3M	-11.5M	0.61	7.52	46,646	28,320	1,647,224	1,452,538
2022-07-26	$31.44	$32.00	29.2%	8.4%	23.2%	22.1%	29.1%	3.7%	-0.3%	-13.6M	730.6M	-11.2M	0.45	2.57	70,288	31,413	1,646,907	1,456,164
2022-07-27	$31.84	$32.00	28.0%	8.0%	23.8%	18.6%	29.5%	3.8%	-0.1%	-64.1K	494.1M	-11.4M	0.09	5.44	189,969	17,440	1,672,516	1,472,941
2022-07-28	$31.40	$32.00	28.7%	8.1%	24.1%	20.8%	32.8%	4.0%	-0.1%	-8.3M	730.6M	-11.2M	1.19	2.61	150,130	179,291	1,790,481	1,476,384
2022-07-29	$30.39	$32.00	30.4%	8.9%	26.2%	25.5%	31.2%	4.2%	-0.2%	-34.2M	1.30B	-10.6M	0.38	2.20	293,250	112,776	1,868,477	1,467,161