FXI Options History — September 2023

In September 2023, FXI traded between $26.23 and $28.02. ATM implied volatility averaged 27.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.1% (HV 20d: 23.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2023-09-29: Highest Volume — 290,037 contracts
  • 2023-09-25: Largest IV spike — 4.1% change
  • 2023-09-05: Highest IV Rank — 13.0%
  • 2023-09-08: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.99$26.23$28.02$28.02$26.52
Max Pain$27.57$27.00$28.00$27.85$27.00
ATM IV27.5%25.2%28.8%28.7%27.5%
Expected Move7.9%7.2%8.4%7.8%7.8%
HV 20d23.4%20.7%25.9%24.5%23.1%
HV 60d28.7%27.8%29.8%29.2%27.8%
IV Rank8.5%0.0%13.0%12.5%8.8%
IV Percentile17.9%0.0%29.8%26.6%19.8%
Term Structure0.2%-0.6%0.5%-0.6%0.5%
VWIV28.1%25.8%31.2%27.6%27.6%
Skew 25d1.4%0.7%1.9%0.7%1.6%
Skew 10d3.4%1.6%5.3%1.6%3.3%
Call IV 25d27.3%25.3%28.8%28.8%27.2%
Put IV 25d28.7%26.1%29.9%29.5%28.8%
Bid-Ask Spread %3.762.914.813.633.26
Gamma HHI0.070.050.110.110.06
Net GEX-1.3M-33.7M133.0M133.0M-15.3M
Net DEX236.2M-753.5M759.1M-753.5M545.6M
Net VEX-9.6M-11.5M-8.4M-11.5M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.263.640.630.42
Total Volume139,134.654,416290,037141,181290,037
Total OI3,557,622.53,020,2214,099,3863,938,0383,465,424

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$28.02$27.8528.7%7.8%24.5%12.5%27.6%0.7%-0.6%133.0M-753.5M-11.5M0.633.6386,46054,7212,508,3121,429,726
2023-09-05$27.66$28.0028.8%8.3%24.8%13.0%29.2%1.4%0.1%43.7M-323.4M-10.9M1.394.1447,85966,7552,417,3071,430,391
2023-09-06$27.73$28.0028.5%8.3%24.2%12.0%28.8%1.3%0.3%43.7M-329.8M-10.8M0.303.84221,26366,6062,438,7721,465,585
2023-09-07$26.95$28.0028.5%8.3%25.9%12.0%29.0%1.3%0.2%-27.1M471.6M-9.8M1.074.5849,80753,0722,310,2021,496,879
2023-09-08$26.88$28.0028.2%8.4%25.6%10.8%31.2%1.9%0.3%-31.7M522.7M-9.7M0.793.4996,32576,5432,343,4921,501,724
2023-09-11$27.23$27.5028.5%8.2%24.2%11.9%29.6%1.7%0.0%-10.7M146.5M-9.9M1.563.5146,67672,7432,385,8061,531,734
2023-09-12$27.31$27.5027.9%8.0%24.1%9.5%28.1%1.7%0.1%-6.5M26.2M-10.0M0.553.1150,69927,8892,433,2831,571,473
2023-09-13$27.09$27.5027.4%8.0%23.4%7.7%28.4%1.8%0.3%-33.7M259.7M-9.6M0.812.9133,62627,2922,469,3671,581,588
2023-09-14$27.34$27.5027.1%7.7%22.5%6.5%27.5%1.0%-0.1%-15.5M16.5M-9.7M0.283.34126,39735,9142,458,5421,587,755
2023-09-15$27.13$27.5026.8%7.8%22.6%5.2%27.2%1.0%0.5%-12.9M164.9M-9.5M0.633.7092,89958,4282,494,7101,604,676
2023-09-18$27.05$27.5026.9%7.7%20.8%5.6%27.3%1.2%-0.2%5.8M229.0M-9.2M1.254.0844,01754,9901,769,9331,250,288
2023-09-19$27.02$27.5026.2%7.5%20.7%2.9%26.5%1.4%0.3%944.5K261.6M-9.1M0.403.8158,61123,5991,800,5551,275,674
2023-09-20$26.84$27.5025.2%7.2%21.0%0.0%26.6%0.9%0.4%-10.5M367.9M-8.9M0.654.0375,28849,0441,798,4611,295,592
2023-09-21$26.23$27.5026.0%7.4%21.4%3.3%25.8%1.0%0.5%-32.5M759.1M-8.4M0.523.2652,21227,1301,781,4911,276,352
2023-09-22$27.13$27.5026.6%7.6%24.6%5.7%26.6%1.2%-0.1%7.7M111.7M-9.4M0.264.11156,99141,1231,812,0081,274,011
2023-09-25$26.70$27.5027.7%8.0%25.3%9.9%27.6%1.6%0.4%-5.8M349.5M-9.2M2.123.1226,31155,7191,880,3771,283,570
2023-09-26$26.34$27.5028.1%8.1%24.2%11.3%28.4%1.7%-0.1%-19.3M625.7M-9.0M0.954.8027,89926,5171,893,4991,314,557
2023-09-27$26.38$27.5027.9%8.0%22.9%10.5%28.7%1.8%0.4%-19.0M593.1M-9.0M0.684.8194,43864,6081,905,5081,318,964
2023-09-28$26.24$27.0028.1%8.1%22.8%11.4%30.8%1.8%0.1%-20.5M678.6M-9.0M3.643.7547,858174,3261,948,4011,346,461
2023-09-29$26.52$27.0027.5%7.8%23.1%8.8%27.6%1.6%0.5%-15.3M545.6M-9.7M0.423.26204,95585,0821,976,8441,488,580