FXI Options History — July 2023

In July 2023, FXI traded between $26.57 and $30.52. ATM implied volatility averaged 28.5%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.5% (HV 20d: 29.0%). Max pain ranged from $27.85 to $27.85. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2023-07-31: Highest Volume — 402,704 contracts
  • 2023-07-28: Largest IV spike — 11.5% change
  • 2023-07-31: Highest IV Rank — 23.9%
  • 2023-07-31: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.10$26.57$30.52$27.73$30.52
Max Pain$27.85$27.85$27.85$27.85$27.85
ATM IV28.5%26.8%31.6%26.8%31.6%
Expected Move8.2%7.7%9.3%7.7%9.3%
HV 20d29.0%26.5%32.6%26.5%32.6%
HV 60d29.5%28.6%31.3%28.7%31.3%
IV Rank12.0%5.2%23.9%5.2%23.9%
IV Percentile29.9%11.5%57.5%11.5%57.5%
Term Structure-0.2%-1.1%0.5%-0.0%-1.1%
VWIV29.1%27.5%33.0%28.2%33.0%
Skew 25d1.0%-0.8%1.7%1.5%0.3%
Skew 10d2.1%-3.8%3.5%2.6%1.2%
Call IV 25d28.5%26.5%32.4%26.5%31.9%
Put IV 25d29.5%28.0%32.1%28.0%32.1%
Bid-Ask Spread %5.413.3212.514.333.76
Gamma HHI0.120.080.180.130.08
Net GEX21.7M-24.2M79.1M12.3M79.1M
Net DEX-154.2M-1.54B617.7M43.5M-1.54B
Net VEX-7.7M-8.9M-7.1M-7.8M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.096.041.600.24
Total Volume131,028.524,661402,70432,215402,704
Total OI2,251,083.32,068,2402,490,2522,068,2402,490,252

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$27.73$27.8526.8%7.7%26.5%5.2%28.2%1.5%-0.0%12.3M43.5M-7.8M1.604.3312,36819,8471,175,371892,869
2023-07-05$27.36$27.8527.2%8.1%27.0%6.8%28.9%1.5%-0.3%-2.0M242.2M-7.5M6.043.324,81029,0301,177,368910,417
2023-07-06$26.57$27.8528.2%7.9%27.5%10.7%27.5%1.5%-0.5%-24.2M617.7M-7.1M0.185.2588,14116,2221,181,448929,852
2023-07-07$27.24$27.8528.3%8.2%28.5%11.3%28.5%1.4%-0.5%-3.8M311.3M-7.4M1.706.1717,68630,0551,155,856930,940
2023-07-10$27.16$27.8528.6%8.2%28.3%12.4%28.7%1.5%0.2%-4.5M371.5M-7.3M2.104.4623,42949,1321,140,756933,862
2023-07-11$27.32$27.8527.9%8.1%28.4%9.5%28.7%1.7%0.5%-9.5M317.9M-7.3M0.974.6738,18436,8641,151,404956,278
2023-07-12$28.18$27.8527.9%8.1%30.6%9.5%28.0%0.6%0.3%26.6M-180.8M-7.5M0.244.35175,37741,8341,176,493983,855
2023-07-13$28.80$27.8527.9%8.0%31.2%9.5%28.3%1.5%-0.1%70.1M-685.3M-8.0M0.504.06111,45255,4051,307,0311,001,982
2023-07-14$28.31$27.8528.2%8.2%31.6%10.7%28.7%0.7%0.3%3.3M-294.4M-7.9M0.484.9045,43021,6981,315,8791,036,888
2023-07-17$28.13$27.8528.4%8.1%30.6%11.7%28.6%1.2%-0.4%22.1M-162.5M-7.7M0.414.8880,38933,3031,300,8861,013,833
2023-07-18$27.48$27.8528.7%8.2%31.6%12.6%29.2%1.6%0.1%-1.7M281.2M-7.3M0.664.5751,46434,0351,281,2501,030,299
2023-07-19$27.70$27.8528.6%8.2%27.9%12.2%28.7%1.0%-0.4%9.4M137.6M-7.4M0.274.97113,29931,0091,308,3401,036,795
2023-07-20$27.59$27.8528.2%8.1%27.9%10.7%28.7%1.3%0.0%14.9M197.5M-7.5M0.745.7814,17810,4831,405,4811,049,037
2023-07-21$27.59$27.8529.2%8.5%27.9%14.5%29.5%0.8%-0.9%16.5M239.4M-7.6M0.814.9149,76340,2851,418,7741,042,771
2023-07-24$28.20$27.8528.7%8.3%27.5%12.8%29.0%1.0%-0.2%22.7M-206.0M-7.6M0.295.36133,58439,3911,183,881922,186
2023-07-25$28.62$27.8528.8%8.2%27.8%13.0%29.7%0.8%-0.2%48.0M-486.1M-8.0M1.6012.51108,423173,0031,276,626939,110
2023-07-26$28.96$27.8527.7%8.0%27.3%8.8%28.5%0.9%0.4%50.0M-635.7M-8.4M0.157.8098,06314,6571,274,0831,032,565
2023-07-27$28.48$27.8528.1%8.0%27.9%10.3%28.4%0.7%-0.1%36.0M-360.5M-8.3M0.527.9841,36321,3121,280,0921,041,836
2023-07-28$30.04$27.8531.3%9.1%32.4%23.0%32.6%-0.8%-0.4%68.4M-1.29B-8.5M0.094.13287,82725,0711,282,6011,052,419
2023-07-31$30.52$27.8531.6%9.3%32.6%23.9%33.0%0.3%-1.1%79.1M-1.54B-8.9M0.243.76323,61079,0941,433,2471,057,005