FXI Options History — September 2022

In September 2022, FXI traded between $25.91 and $29.80. ATM implied volatility averaged 33.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.9% (HV 20d: 29.2%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2022-09-30: Highest Volume — 476,715 contracts
2022-09-13: Largest IV spike — 13.5% change
2022-09-27: Highest IV Rank — 47.6%
2022-09-27: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.95	$25.91	$29.80	$29.80	$25.91
Max Pain	$29.71	$28.00	$32.00	$32.00	$28.00
ATM IV	33.2%	29.3%	38.5%	29.9%	36.6%
Expected Move	9.5%	8.4%	11.3%	8.8%	10.4%
HV 20d	29.2%	25.0%	33.4%	25.0%	27.7%
HV 60d	26.6%	25.0%	29.8%	29.8%	26.0%
IV Rank	32.2%	20.8%	47.6%	22.8%	42.2%
IV Percentile	66.0%	48.8%	86.9%	53.6%	79.8%
Term Structure	-0.1%	-1.4%	2.2%	0.1%	0.7%
VWIV	33.7%	28.7%	39.5%	30.7%	36.0%
Skew 25d	4.3%	2.3%	6.2%	3.6%	4.8%
Skew 10d	8.8%	3.2%	16.2%	7.2%	10.3%
Call IV 25d	31.8%	28.3%	36.9%	28.9%	35.1%
Put IV 25d	36.1%	31.4%	42.5%	32.5%	39.9%
Bid-Ask Spread %	5.76	2.40	12.76	6.23	2.60
Gamma HHI	0.14	0.09	0.53	0.11	0.13
Net GEX	-25.0M	-150.6M	46.2M	-12.9M	2.9M
Net DEX	1.36B	908.9M	2.07B	999.7M	1.28B
Net VEX	-8.3M	-10.2M	-7.3M	-10.2M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.09	2.86	0.93	0.09
Total Volume	209,194.095	67,780	476,715	74,469	476,715
Total OI	3,323,406.429	2,554,086	3,786,046	3,450,214	3,720,235

Daily Data (21 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
2022-09-01	$29.80	$32.00	29.9%	8.8%	25.0%	22.8%	30.7%	3.6%	0.1%	-12.9M	999.7M	-10.2M	0.93	6.23	38,668	35,801	1,962,244	1,487,970
2022-09-02	$29.23	$32.00	29.6%	8.4%	25.7%	21.8%	29.4%	2.3%	2.2%	-33.1M	1.35B	-9.5M	1.28	3.17	30,353	38,818	1,974,272	1,473,782
2022-09-06	$28.72	$30.00	32.0%	9.1%	26.2%	28.7%	32.9%	3.0%	0.0%	-50.2M	1.68B	-8.5M	0.48	2.96	85,201	41,303	1,960,493	1,488,083
2022-09-07	$29.07	$30.00	30.7%	8.8%	26.6%	24.9%	32.7%	3.4%	0.4%	-45.8M	1.48B	-8.9M	0.87	2.55	64,664	56,143	1,996,579	1,490,839
2022-09-08	$28.62	$30.00	30.3%	8.6%	27.0%	23.7%	29.8%	2.9%	0.3%	-61.7M	1.79B	-8.2M	0.32	2.40	77,409	24,554	2,008,368	1,497,543
2022-09-09	$29.35	$30.00	29.3%	8.8%	27.8%	20.8%	30.9%	3.1%	-0.1%	-33.9M	1.24B	-9.1M	0.44	12.76	96,498	42,791	2,058,746	1,499,073
2022-09-12	$29.73	$30.00	30.4%	8.6%	28.1%	24.2%	28.7%	4.5%	-0.5%	-15.3M	908.9M	-9.3M	1.27	10.37	94,057	119,375	2,076,694	1,480,331
2022-09-13	$28.46	$30.00	34.5%	9.9%	32.0%	36.1%	36.6%	4.0%	0.3%	-54.8M	1.72B	-8.2M	2.86	3.89	102,408	292,817	2,073,921	1,533,017
2022-09-14	$28.53	$30.00	34.3%	9.6%	31.9%	35.4%	33.2%	4.4%	-0.8%	-50.5M	1.70B	-8.5M	0.50	4.99	78,373	39,081	2,130,873	1,509,015
2022-09-15	$28.46	$30.00	32.1%	9.3%	31.9%	29.1%	32.1%	4.7%	0.5%	-58.2M	1.79B	-8.4M	0.69	4.26	113,054	78,509	2,175,048	1,511,403
2022-09-16	$27.95	$30.00	31.9%	9.1%	32.3%	28.5%	32.5%	4.8%	-0.2%	-150.6M	2.07B	-7.9M	1.00	10.98	115,903	116,009	2,269,582	1,516,464
2022-09-19	$28.05	$30.00	32.1%	9.2%	32.3%	28.9%	32.8%	4.8%	-0.3%	-10.0M	992.4M	-7.9M	0.19	8.11	57,129	10,651	1,552,147	1,001,939
2022-09-20	$27.94	$30.00	31.0%	8.9%	32.1%	25.9%	31.3%	4.8%	0.2%	-12.9M	1.04B	-7.8M	0.18	2.92	190,464	35,219	1,594,167	1,008,784
2022-09-21	$27.15	$30.00	33.8%	9.7%	33.4%	34.0%	34.2%	4.3%	-1.4%	-16.1M	1.26B	-7.5M	1.49	4.44	33,898	50,416	1,754,733	1,034,461
2022-09-22	$27.11	$30.00	33.0%	9.5%	33.2%	31.7%	34.5%	3.9%	-0.9%	-19.1M	1.31B	-7.4M	0.80	6.44	55,214	44,103	1,765,469	1,044,715
2022-09-23	$26.64	$30.00	36.6%	10.6%	27.9%	42.2%	36.6%	4.5%	-0.8%	-16.2M	1.40B	-7.3M	0.25	5.42	311,973	78,368	1,796,044	1,060,569
2022-09-26	$26.87	$28.00	37.0%	10.6%	28.5%	43.3%	36.8%	6.2%	-1.1%	25.1M	1.10B	-7.6M	0.24	10.46	204,606	49,840	2,070,639	1,017,526
2022-09-27	$26.49	$28.00	38.5%	11.3%	28.6%	47.6%	39.5%	5.5%	-0.2%	23.4M	1.15B	-7.8M	0.10	7.26	316,016	32,139	2,170,608	1,034,795
2022-09-28	$26.83	$28.00	35.4%	10.3%	28.2%	38.7%	37.7%	5.3%	-0.4%	46.2M	929.2M	-8.5M	0.33	4.90	244,624	81,658	2,373,704	1,050,733
2022-09-29	$25.97	$28.00	38.0%	11.0%	27.9%	46.4%	38.7%	6.2%	-0.3%	18.9M	1.28B	-7.7M	0.15	3.90	294,953	43,301	2,494,274	1,071,653
2022-09-30	$25.91	$28.00	36.6%	10.4%	27.7%	42.2%	36.0%	4.8%	0.7%	2.9M	1.28B	-7.8M	0.09	2.60	439,241	37,474	2,628,799	1,091,436