FXI Options History — August 2023 In August 2023, FXI traded between $26.14 and $29.68. ATM implied volatility averaged 30.5%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.9% (HV 20d: 32.4%). Max pain ranged from $27.85 to $28.85. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2023-08-18 : Highest Volume — 406,418 contracts2023-08-04 : Largest IV drop — 7.1% change2023-08-03 : Highest IV Rank — 29.5%2023-08-02 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $27.73 $26.14 $29.68 $29.68 $27.46 Max Pain $28.07 $27.85 $28.85 $27.85 $27.85 ATM IV 30.5% 28.7% 33.0% 31.5% 28.7% Expected Move 8.8% 8.1% 9.6% 9.3% 8.1% HV 20d 32.4% 23.4% 35.8% 34.3% 23.4% HV 60d 31.0% 29.1% 32.4% 31.5% 29.1% IV Rank 19.8% 12.7% 29.5% 23.6% 12.7% IV Percentile 47.7% 27.4% 67.9% 56.3% 27.4% Term Structure -0.3% -0.9% 0.3% -0.7% -0.4% VWIV 31.1% 28.8% 33.8% 32.9% 28.8% Skew 25d 1.2% -0.4% 2.9% -0.2% 1.6% Skew 10d 2.5% -1.1% 5.6% -0.2% 3.5% Call IV 25d 30.4% 28.6% 33.3% 32.1% 28.6% Put IV 25d 31.6% 29.4% 34.2% 31.9% 30.1% Bid-Ask Spread % 3.93 2.65 6.05 2.65 3.15 Gamma HHI 0.08 0.06 0.15 0.08 0.06 Net GEX 19.8M -72.7M 83.8M 75.9M 42.4M Net DEX -19.1M -1.14B 1.19B -1.14B -201.8M Net VEX -9.9M -11.7M -8.6M -9.5M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.10 3.18 0.37 0.43 Total Volume 192,312.261 33,675 406,418 129,936 135,684 Total OI 3,325,104.435 2,718,826 3,879,386 2,718,826 3,879,386
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2023-08-01 $29.68 $27.85 31.5% 9.3% 34.3% 23.6% 32.9% -0.2% -0.7% 75.9M -1.14B -9.5M 0.37 2.65 95,088 34,848 1,619,458 1,099,368 2023-08-02 $28.80 $27.85 31.6% 9.6% 35.8% 23.9% 33.8% 0.7% -0.5% 43.7M -537.4M -9.5M 0.39 3.26 162,813 63,739 1,682,891 1,125,078 2023-08-03 $29.54 $28.85 33.0% 9.2% 34.6% 29.5% 32.7% -0.3% -0.9% 74.1M -1.09B -10.2M 0.25 3.69 314,967 78,726 1,719,612 1,150,530 2023-08-04 $29.14 $28.85 30.6% 8.7% 34.4% 20.3% 30.5% -0.4% -0.4% 68.0M -821.1M -10.2M 0.46 4.48 65,464 30,008 1,820,002 1,238,984 2023-08-07 $28.99 $28.85 29.0% 8.2% 34.5% 14.0% 29.5% 0.3% -0.2% 60.5M -660.4M -10.0M 0.17 4.87 91,436 15,436 1,832,763 1,220,301 2023-08-08 $28.48 $28.85 29.2% 8.3% 35.3% 14.8% 29.8% 0.9% -0.2% 28.5M -287.3M -9.5M 1.25 5.68 36,581 45,862 1,796,778 1,234,730 2023-08-09 $28.62 $28.85 29.6% 8.5% 33.6% 16.3% 30.5% 0.8% 0.0% 35.5M -383.5M -9.6M 0.78 5.52 112,947 88,451 1,806,036 1,256,491 2023-08-10 $28.80 $27.85 29.2% 8.4% 32.8% 14.5% 30.9% 0.1% 0.3% 54.0M -585.6M -10.1M 0.23 3.67 27,395 6,280 1,894,181 1,307,935 2023-08-11 $27.95 $27.85 30.0% 8.6% 33.9% 17.7% 30.9% 1.3% 0.3% -3.1M 116.1M -9.5M 1.07 6.05 132,971 142,648 1,895,299 1,311,275 2023-08-14 $27.68 $27.85 29.8% 8.5% 34.0% 17.2% 30.2% 1.4% 0.3% -23.2M 350.3M -9.2M 0.41 3.49 130,571 52,951 1,933,801 1,367,376 2023-08-15 $27.19 $27.85 30.7% 8.8% 33.6% 20.6% 30.9% 1.5% -0.6% -42.1M 664.7M -9.0M 0.63 3.95 116,494 73,635 2,028,648 1,334,957 2023-08-16 $26.68 $27.85 30.1% 8.6% 34.1% 18.2% 31.2% 1.9% 0.1% -69.9M 1.04B -8.6M 1.14 3.53 143,314 162,977 2,096,550 1,376,338 2023-08-17 $26.86 $27.85 31.6% 9.1% 34.2% 24.0% 31.9% 1.6% -0.5% -72.7M 853.5M -9.2M 0.67 3.23 71,258 47,915 2,193,902 1,395,880 2023-08-18 $26.23 $27.85 32.7% 9.4% 35.1% 28.4% 32.7% 2.4% -0.6% -23.0M 1.19B -8.9M 0.52 3.93 268,053 138,365 2,264,422 1,413,418 2023-08-21 $26.14 $27.85 31.1% 8.9% 33.9% 21.9% 31.2% 2.9% -0.2% -18.4M 783.3M -8.8M 3.18 4.81 39,867 126,796 1,878,450 1,194,852 2023-08-22 $26.16 $27.85 31.0% 9.0% 33.2% 21.6% 31.7% 2.4% -0.2% -22.9M 841.4M -9.1M 0.56 3.77 157,208 88,044 1,912,643 1,284,582 2023-08-23 $26.70 $27.85 30.8% 8.8% 33.9% 20.9% 30.2% 2.3% -0.3% 4.7M 407.2M -9.8M 0.19 4.18 86,435 16,503 2,064,917 1,320,957 2023-08-24 $26.82 $27.85 30.4% 8.9% 33.7% 19.4% 31.4% 1.5% -0.5% 25.8M 239.9M -10.1M 0.10 3.64 261,366 25,635 2,151,286 1,314,857 2023-08-25 $26.79 $27.85 30.5% 8.8% 26.4% 19.8% 31.2% 1.5% -0.6% 24.8M 211.2M -10.7M 0.13 2.99 292,074 38,389 2,389,875 1,326,775 2023-08-28 $27.41 $27.85 30.7% 8.9% 27.2% 20.5% 32.4% 1.6% -0.7% 47.8M -218.8M -11.0M 0.55 2.76 81,312 44,776 2,375,196 1,324,005 2023-08-29 $27.95 $27.85 30.2% 8.8% 27.2% 18.7% 31.0% 1.3% -0.3% 83.8M -721.9M -11.7M 0.26 2.80 168,489 43,829 2,440,729 1,369,309 2023-08-30 $27.73 $27.85 29.6% 8.4% 25.4% 16.4% 29.7% 1.0% -0.5% 60.1M -489.1M -11.3M 0.81 4.18 36,239 29,343 2,429,225 1,403,354 2023-08-31 $27.46 $27.85 28.7% 8.1% 23.4% 12.7% 28.8% 1.6% -0.4% 42.4M -201.8M -11.0M 0.43 3.15 94,862 40,822 2,464,312 1,415,074
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