FXI Options History — June 2023

In June 2023, FXI traded between $26.63 and $29.05. ATM implied volatility averaged 26.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 5.0% (HV 20d: 31.8%). Max pain ranged from $27.85 to $28.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2023-06-02: Highest Volume — 312,906 contracts
  • 2023-06-07: Largest IV drop — 5.3% change
  • 2023-06-02: Highest IV Rank — 10.6%
  • 2023-06-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.64$26.63$29.05$26.63$27.21
Max Pain$27.89$27.85$28.00$28.00$27.85
ATM IV26.8%25.4%28.4%28.1%26.3%
Expected Move7.8%7.2%8.7%8.4%7.7%
HV 20d31.8%27.8%34.8%33.6%27.8%
HV 60d28.3%27.6%29.2%28.1%28.5%
IV Rank4.9%0.0%10.6%9.4%3.4%
IV Percentile9.0%0.0%18.7%17.5%4.8%
Term Structure-0.1%-0.8%2.0%-0.8%-0.2%
VWIV27.3%25.2%31.7%30.6%26.8%
Skew 25d1.1%-0.3%2.4%2.0%1.2%
Skew 10d2.5%-1.1%4.3%4.3%2.6%
Call IV 25d27.0%25.3%29.7%28.0%26.4%
Put IV 25d28.1%26.5%30.0%30.0%27.6%
Bid-Ask Spread %11.092.8171.364.662.81
Gamma HHI0.160.120.250.190.13
Net GEX3.6M-52.7M100.4M-52.7M1.8M
Net DEX172.7M-908.4M1.07B1.07B283.7M
Net VEX-7.7M-8.2M-6.2M-7.0M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.106.361.191.20
Total Volume117,152.95226,816312,90668,98651,001
Total OI2,565,917.3332,046,1233,177,4092,688,4202,171,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$26.63$28.0028.1%8.4%33.6%9.4%30.6%2.0%-0.8%-52.7M1.07B-7.0M1.194.6631,51937,4671,426,2671,262,153
2023-06-02$27.44$28.0028.4%8.7%34.1%10.6%31.7%-0.3%-0.7%-31.7M559.7M-7.6M0.305.18239,98172,9251,448,2711,282,111
2023-06-05$27.39$28.0028.1%8.1%33.6%9.8%28.2%1.1%-0.0%-20.3M524.1M-7.8M0.9310.0941,99838,9181,598,2011,295,025
2023-06-06$28.01$28.0027.9%8.1%34.5%8.8%27.9%0.9%0.1%-4.2M181.2M-8.0M0.498.46122,34660,2391,590,5561,323,670
2023-06-07$27.52$28.0026.4%7.5%34.6%2.9%26.3%-0.3%2.0%-11.9M405.4M-8.2M6.3671.3615,61299,3491,630,2811,344,180
2023-06-08$27.80$28.0026.7%7.7%34.8%3.9%27.5%2.4%0.3%-13.4M348.9M-8.0M1.3761.6213,53518,5561,632,3271,320,744
2023-06-09$27.82$27.8525.6%7.5%34.6%0.0%26.5%1.2%0.2%-13.4M206.2M-7.8M2.437.0129,77872,3971,636,9751,316,914
2023-06-12$27.77$27.8525.7%7.3%33.3%0.2%25.7%1.5%-0.1%-18.5M263.3M-7.6M1.405.4183,545116,6771,633,5921,279,816
2023-06-13$28.09$27.8525.5%7.3%29.3%0.0%25.2%1.4%-0.0%4.5M-39.8M-7.6M0.564.7156,73131,6661,664,6741,267,483
2023-06-14$28.45$27.8525.4%7.2%29.6%0.0%25.6%1.1%-0.5%25.2M-319.8M-7.7M0.754.86109,38781,8141,668,6481,278,108
2023-06-15$29.05$27.8526.3%7.4%30.2%3.5%26.5%1.1%-0.5%90.6M-908.4M-8.0M0.175.11224,58538,8981,751,0251,262,390
2023-06-16$28.89$27.8526.6%7.7%29.9%4.4%27.0%0.8%0.3%100.4M-845.9M-6.2M0.205.07240,29248,8601,900,4321,276,977
2023-06-20$27.68$27.8527.4%7.9%33.7%7.7%27.9%1.4%0.0%24.2M40.0M-8.1M0.396.3577,74330,2181,220,854841,146
2023-06-21$27.52$27.8526.4%7.6%33.0%3.7%27.1%0.8%0.0%9.3M153.6M-7.9M0.343.8574,69425,3031,187,688858,435
2023-06-22$27.45$27.8526.9%7.7%31.1%5.6%27.0%0.6%-0.6%6.1M178.4M-7.9M0.173.8922,8473,9691,212,585860,701
2023-06-23$26.84$27.8526.5%7.6%31.3%4.0%27.5%1.0%-0.1%-16.7M444.4M-7.6M0.254.5452,48212,9261,218,697863,009
2023-06-26$27.05$27.8527.4%7.8%30.4%7.7%27.1%1.1%-0.4%-6.8M356.1M-7.5M0.105.0926,6122,6261,193,666857,774
2023-06-27$27.59$27.8527.2%7.9%30.6%6.9%27.1%1.6%-0.4%8.9M120.2M-7.7M0.215.1041,7118,8981,211,504851,707
2023-06-28$27.38$27.8526.9%7.8%28.6%5.6%27.2%1.1%-0.4%798.0K228.1M-7.7M0.343.0552,59217,8761,213,206883,693
2023-06-29$26.93$27.8526.7%7.8%29.3%5.0%27.6%1.1%-0.1%-6.3M376.4M-7.5M0.754.6318,10113,5381,260,783886,715
2023-06-30$27.21$27.8526.3%7.7%27.8%3.4%26.8%1.2%-0.2%1.8M283.7M-7.5M1.202.8123,15927,8421,271,014900,267