FXI Options History — November 2022

In November 2022, FXI traded between $21.81 and $28.09. ATM implied volatility averaged 44.3%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 10.9% (HV 20d: 55.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2022-11-15: Highest Volume — 891,306 contracts
  • 2022-11-04: Largest IV spike — 19.3% change
  • 2022-11-04: Highest IV Rank — 83.7%
  • 2022-11-04: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.01$21.81$28.09$21.81$28.09
Max Pain$25.05$25.00$26.00$25.00$25.00
ATM IV44.3%40.6%51.0%43.0%41.1%
Expected Move13.6%12.4%15.2%13.5%14.1%
HV 20d55.2%47.5%64.0%49.5%48.7%
HV 60d42.3%36.8%45.8%36.8%45.8%
IV Rank63.1%51.7%83.7%60.6%53.0%
IV Percentile93.3%83.3%99.2%95.6%83.3%
Term Structure-0.1%-3.2%4.5%-0.2%-1.6%
VWIV47.8%44.1%51.8%48.7%50.3%
Skew 25d0.6%-8.9%4.4%4.4%-0.8%
Skew 10d-0.0%-25.0%11.0%11.0%-2.4%
Call IV 25d44.8%40.4%56.2%41.8%41.7%
Put IV 25d45.4%40.9%53.4%46.2%40.9%
Bid-Ask Spread %8.262.5341.6210.115.10
Gamma HHI0.100.070.130.080.12
Net GEX97.5M5.3M185.9M5.3M185.9M
Net DEX-823.4M-3.65B1.44B1.44B-3.65B
Net VEX-12.2M-16.5M-6.0M-6.0M-16.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.080.510.360.08
Total Volume444,56254,828891,306287,686796,016
Total OI5,265,605.4764,328,3236,172,1204,328,3235,517,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$21.81$25.0043.0%13.5%49.5%60.6%48.7%4.4%-0.2%5.3M1.44B-6.0M0.3610.11211,69275,9942,985,5951,342,728
2022-11-02$21.99$25.0042.1%12.9%49.3%56.7%45.4%-8.9%3.2%9.7M1.38B-6.3M0.2910.18219,25463,6933,124,4821,377,379
2022-11-03$22.18$25.0042.8%13.2%49.8%58.8%44.1%2.7%-0.6%16.4M1.18B-7.1M0.413.89139,04056,3403,287,9041,360,990
2022-11-04$23.79$25.0051.0%15.2%56.9%83.7%51.3%0.7%-1.8%55.6M47.4M-10.1M0.1141.62787,67284,7923,361,1041,371,042
2022-11-07$23.99$25.0044.1%13.6%56.4%62.7%46.9%0.6%3.5%75.7M-3.0M-9.8M0.113.07786,70987,0753,757,4211,338,934
2022-11-08$23.94$25.0042.9%13.4%55.6%58.7%45.7%0.9%3.5%76.3M-30.6M-10.5M0.337.11226,39975,7523,890,3291,392,962
2022-11-09$23.00$25.0043.7%13.6%57.2%61.0%46.9%1.5%3.5%46.7M662.0M-9.4M0.413.75277,157114,1633,943,0701,445,589
2022-11-10$24.31$25.0045.2%14.0%60.9%65.7%47.8%1.2%4.3%88.5M-329.7M-11.7M0.1815.92342,98361,5364,036,2381,502,519
2022-11-11$25.44$25.0045.7%14.0%62.8%67.1%49.1%1.0%4.5%153.6M-1.41B-13.3M0.283.31290,13381,0824,143,0721,526,639
2022-11-14$25.64$25.0046.7%13.7%62.0%70.3%47.0%1.9%-1.1%119.3M-1.39B-12.9M0.093.84449,72739,9474,089,1901,494,911
2022-11-15$26.88$25.0046.5%13.4%64.0%69.4%46.9%0.6%-1.8%159.8M-2.63B-14.6M0.324.69677,400213,9064,065,1231,504,253
2022-11-16$26.36$25.0047.1%13.5%62.1%71.6%47.5%1.1%-2.3%125.0M-1.86B-14.2M0.452.53171,18877,4234,041,8441,634,690
2022-11-17$26.94$25.0046.8%13.5%62.3%70.6%47.6%-1.2%-2.1%148.6M-2.49B-14.7M0.1920.88660,668124,5314,112,1081,664,302
2022-11-18$26.16$25.0046.6%13.7%63.6%70.0%48.2%0.4%-3.2%142.3M-1.72B-14.7M0.183.99492,33489,8124,447,7631,724,357
2022-11-21$25.68$25.0045.5%13.7%51.0%66.6%47.3%1.8%-1.8%92.5M-886.7M-13.5M0.224.06290,78862,6503,453,1701,394,801
2022-11-22$25.48$25.0042.9%12.9%51.3%58.7%46.7%1.8%-2.0%87.3M-741.6M-13.6M0.217.35335,44069,7853,610,7351,432,488
2022-11-23$25.81$25.0042.4%12.5%50.2%56.9%51.1%1.0%-0.9%113.5M-1.13B-14.5M0.354.75207,20271,6533,816,6281,470,358
2022-11-25$25.43$25.0040.6%12.4%49.7%51.7%44.7%0.8%-1.9%99.1M-743.1M-13.7M0.364.0640,28114,5473,862,5821,498,808
2022-11-28$25.57$25.0042.7%14.2%47.5%57.9%51.8%0.7%-1.4%101.5M-879.3M-13.8M0.445.87102,85945,3563,737,8211,482,726
2022-11-29$26.80$26.0041.1%14.3%47.9%53.2%48.9%0.6%-2.1%145.4M-2.10B-15.2M0.517.45212,220108,6033,828,9811,504,635
2022-11-30$28.09$25.0041.1%14.1%48.7%53.0%50.3%-0.8%-1.6%185.9M-3.65B-16.5M0.085.10737,05758,9593,944,3621,573,082