FXI Options History — February 2023

In February 2023, FXI traded between $27.84 and $32.61. ATM implied volatility averaged 31.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.9% (HV 20d: 28.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2023-02-24: Highest Volume — 314,398 contracts
  • 2023-02-10: Largest IV spike — 4.4% change
  • 2023-02-28: Highest IV Rank — 22.0%
  • 2023-02-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.01$27.84$32.61$32.61$27.98
Max Pain$28.47$28.00$30.00$30.00$29.00
ATM IV31.1%29.3%32.6%29.4%32.6%
Expected Move9.1%8.5%9.7%8.9%9.6%
HV 20d28.2%25.3%30.5%30.5%27.2%
HV 60d34.4%31.0%38.8%38.8%31.0%
IV Rank17.5%12.4%22.0%12.6%22.0%
IV Percentile24.9%16.3%32.1%16.7%32.1%
Term Structure-0.3%-1.4%0.6%-0.1%-1.3%
VWIV31.6%29.2%34.0%31.1%33.3%
Skew 25d3.0%2.3%4.1%3.2%3.2%
Skew 10d5.8%4.2%7.2%6.9%4.2%
Call IV 25d30.0%27.8%31.8%27.8%31.3%
Put IV 25d33.0%31.0%34.7%31.0%34.5%
Bid-Ask Spread %6.653.2817.4317.433.28
Gamma HHI0.120.090.160.150.09
Net GEX53.5M-18.4M166.5M166.5M-9.7M
Net DEX-1.27B-3.81B521.6M-3.81B345.1M
Net VEX-12.6M-14.5M-10.8M-14.5M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.191.770.330.19
Total Volume177,555.05363,152314,398266,336251,462
Total OI4,346,220.2633,653,1124,701,5374,502,0403,972,168

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$32.61$30.0029.4%8.9%30.5%12.6%31.1%3.2%-0.1%166.5M-3.81B-14.5M0.3317.43199,85966,4772,915,6051,586,435
2023-02-02$31.84$28.0029.3%8.5%25.3%12.4%29.2%3.4%0.1%133.9M-3.00B-14.1M0.245.30218,43151,7892,894,2421,581,485
2023-02-03$31.06$28.0029.9%8.6%26.8%14.3%30.8%2.9%0.1%93.9M-2.17B-13.9M0.798.5295,09275,5532,859,6051,627,161
2023-02-06$30.63$28.0031.0%8.9%27.3%17.8%30.7%3.6%-0.1%79.8M-1.74B-13.5M0.3312.95191,14863,0032,855,0931,637,776
2023-02-07$30.87$28.0030.3%8.7%27.4%15.8%30.3%4.1%-0.1%89.8M-2.00B-13.6M0.534.2067,70335,7992,841,1361,659,619
2023-02-08$30.41$28.0030.2%8.9%27.6%15.3%30.2%3.2%0.5%75.8M-1.58B-13.3M0.8012.7840,72032,6042,859,9621,673,222
2023-02-09$30.96$28.0030.8%9.0%28.2%17.2%30.9%2.5%0.6%103.9M-2.17B-13.6M0.3112.83133,19140,8792,885,3251,690,191
2023-02-10$30.11$28.0032.1%9.3%29.6%21.5%33.0%2.9%0.2%62.5M-1.30B-13.3M0.874.4988,55876,6942,942,3561,712,430
2023-02-13$30.70$28.0032.5%9.3%30.0%22.0%32.2%2.4%-0.2%83.7M-1.90B-13.1M0.493.4442,25320,8992,934,8721,728,655
2023-02-14$30.39$28.0031.4%9.0%29.4%18.2%31.2%2.5%-0.7%58.9M-1.50B-12.6M0.764.3073,44455,8082,927,8521,733,685
2023-02-15$30.05$28.0030.4%8.7%29.5%15.1%30.7%2.3%-0.5%46.3M-1.18B-12.2M0.574.00151,48886,0482,923,1881,713,157
2023-02-16$30.16$28.0030.6%8.8%28.8%15.7%30.8%2.5%-0.7%44.7M-1.30B-12.3M1.484.2651,59176,2502,950,4641,751,073
2023-02-17$29.43$29.0030.9%9.0%28.2%16.7%31.3%2.6%-1.4%3.1M-589.2M-11.6M1.774.3593,162165,2762,952,9551,719,219
2023-02-21$29.21$29.0031.3%9.5%27.6%18.0%33.0%3.6%-0.1%9.1M-464.6M-11.4M0.295.48103,59530,4682,200,6061,452,506
2023-02-22$28.91$29.0031.5%9.3%27.5%18.5%32.7%3.1%0.1%1.7M-245.1M-11.5M1.165.8136,29441,9552,305,7611,486,161
2023-02-23$28.80$29.0031.2%9.3%27.3%17.7%33.1%3.2%-0.5%-2.8M-159.5M-11.3M0.715.96104,69974,0882,318,8311,507,182
2023-02-24$27.84$29.0032.3%9.4%28.0%21.2%32.4%3.2%-0.1%-18.4M521.6M-10.8M1.183.29144,234170,1642,347,3391,544,013
2023-02-27$28.27$29.0032.3%9.7%29.2%21.1%34.0%3.0%-1.0%-5.6M166.4M-11.1M0.213.67101,82821,0402,295,4741,591,381
2023-02-28$27.98$29.0032.6%9.6%27.2%22.0%33.3%3.2%-1.3%-9.7M345.1M-10.8M0.193.28210,58540,8772,364,9381,607,230