FXI Options History — December 2022

In December 2022, FXI traded between $27.38 and $29.11. ATM implied volatility averaged 37.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.8% (HV 20d: 37.8%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2022-12-12: Highest Volume — 1,396,299 contracts
  • 2022-12-08: Largest IV drop — 5.8% change
  • 2022-12-01: Highest IV Rank — 54.3%
  • 2022-12-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.33$27.38$29.11$27.81$28.34
Max Pain$27.81$26.00$29.00$26.00$28.00
ATM IV37.0%33.1%41.5%41.5%37.2%
Expected Move10.9%9.6%14.4%14.4%10.9%
HV 20d37.8%31.7%49.6%49.4%32.5%
HV 60d45.4%44.7%46.1%45.8%46.1%
IV Rank39.5%26.9%54.3%54.3%38.7%
IV Percentile62.6%40.5%85.3%85.3%62.3%
Term Structure-0.2%-1.6%1.0%-1.6%1.0%
VWIV38.5%33.9%51.9%51.9%38.5%
Skew 25d0.7%-1.8%2.3%-1.6%1.8%
Skew 10d1.3%-5.7%4.7%-3.3%3.5%
Call IV 25d37.4%33.5%43.3%42.7%36.7%
Put IV 25d38.1%34.4%41.4%41.2%38.5%
Bid-Ask Spread %14.623.2134.9912.603.21
Gamma HHI0.130.100.240.120.11
Net GEX143.6M74.8M273.3M179.5M96.8M
Net DEX-2.54B-4.68B-942.3M-3.36B-1.95B
Net VEX-15.9M-17.8M-14.5M-16.8M-15.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.072.580.250.39
Total Volume283,914.71450,1901,396,299422,916147,494
Total OI5,121,404.4294,373,1395,911,1185,757,7774,569,188

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$27.81$26.0041.5%14.4%49.4%54.3%51.9%-1.6%-1.6%179.5M-3.36B-16.8M0.2512.60338,46084,4564,147,7581,610,019
2022-12-02$28.54$26.0040.6%14.0%49.6%51.4%50.7%-1.8%0.0%184.6M-4.29B-17.8M0.2423.35206,56148,8504,252,1571,658,961
2022-12-05$28.41$27.0040.2%11.1%45.0%50.2%39.4%-0.2%-0.3%190.0M-3.98B-16.9M0.3629.77155,30955,5094,105,8111,641,850
2022-12-06$28.80$27.0039.3%11.0%45.0%47.7%39.2%0.2%-0.3%200.7M-4.44B-17.1M0.718.6275,65853,9704,119,6271,681,588
2022-12-07$28.26$27.0039.9%11.3%46.0%49.4%40.3%-0.0%-0.2%189.3M-3.74B-16.6M0.3822.32121,24845,6204,119,0451,694,790
2022-12-08$29.05$27.0037.6%11.0%42.7%42.4%35.3%0.3%0.3%218.6M-4.68B-16.7M0.3826.98471,928178,1464,149,1291,738,839
2022-12-09$28.99$28.0037.8%10.9%39.7%42.9%38.1%-0.0%0.2%273.3M-4.15B-16.6M0.8424.68179,514151,4574,072,0781,739,653
2022-12-12$28.62$28.0039.1%11.3%37.9%46.9%39.8%0.2%0.2%168.6M-3.11B-15.6M0.0734.991,307,62188,6783,841,8501,790,241
2022-12-13$28.39$29.0038.4%11.0%38.2%43.4%38.3%2.3%-0.1%135.2M-1.73B-16.5M0.4922.54145,87071,0163,399,9891,836,328
2022-12-14$28.51$28.0037.4%10.6%34.8%40.3%37.3%1.8%-0.6%144.3M-1.88B-16.7M2.1122.1996,957204,7453,459,9961,857,854
2022-12-15$27.91$28.0035.8%10.2%35.0%35.2%35.6%1.4%-0.5%113.6M-1.21B-16.0M0.223.59201,48044,0353,488,5361,829,549
2022-12-16$28.02$29.0035.9%10.2%34.2%35.6%36.1%1.4%-0.2%140.2M-1.33B-15.7M0.7012.2788,09562,0983,491,6821,839,397
2022-12-19$27.77$29.0035.0%10.0%32.5%32.8%36.2%1.0%-0.7%87.0M-1.29B-15.0M1.866.0517,56132,6292,952,8801,422,643
2022-12-20$27.38$29.0034.3%9.8%32.1%30.4%34.6%1.4%-0.5%74.8M-942.3M-14.5M0.3615.2563,64323,0352,958,0181,428,254
2022-12-21$28.09$28.0033.6%9.6%32.8%28.2%34.3%1.1%-0.5%98.5M-1.62B-15.1M1.024.0144,47745,4312,999,1391,404,386
2022-12-22$27.91$28.0033.9%9.7%32.9%29.1%35.0%0.8%-0.7%92.9M-1.49B-14.8M2.584.5223,27559,9852,975,6821,405,245
2022-12-23$27.80$28.0033.1%9.6%32.3%26.9%33.9%0.6%-0.5%86.2M-1.36B-14.5M0.5813.62108,75562,5482,996,9161,422,163
2022-12-27$29.11$28.0034.9%10.3%35.5%31.5%37.7%1.6%0.4%119.5M-2.47B-15.2M0.278.45246,20766,0402,969,7581,403,381
2022-12-28$28.20$28.0036.4%10.7%34.6%36.3%37.5%1.5%0.6%103.0M-1.80B-15.2M0.434.26283,355120,5783,109,7361,445,817
2022-12-29$28.95$28.0036.2%10.7%31.7%35.7%38.5%0.9%0.6%118.8M-2.45B-15.6M0.603.8187,65952,2563,063,4711,456,089
2022-12-30$28.34$28.0037.2%10.9%32.5%38.7%38.5%1.8%1.0%96.8M-1.95B-15.1M0.393.21105,78441,7103,098,7511,470,437