FXI Options History — November 2023

In November 2023, FXI traded between $25.06 and $27.20. ATM implied volatility averaged 28.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.7% (HV 20d: 25.5%). Max pain ranged from $25.85 to $26.85. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2023-11-15: Highest Volume — 417,071 contracts
  • 2023-11-20: Largest IV spike — 6.5% change
  • 2023-11-22: Highest IV Rank — 26.4%
  • 2023-11-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$25.06$27.20$25.43$25.13
Max Pain$26.33$25.85$26.85$26.85$25.85
ATM IV28.2%25.5%30.6%28.7%28.9%
Expected Move7.8%7.4%8.5%8.5%7.7%
HV 20d25.5%22.9%28.1%24.9%27.5%
HV 60d24.0%22.8%25.1%23.6%24.8%
IV Rank14.7%1.5%26.4%13.6%22.9%
IV Percentile34.0%1.2%66.7%39.3%48.4%
Term Structure0.1%-2.2%3.1%-0.0%-2.2%
VWIV27.5%25.7%31.5%31.5%27.1%
Skew 25d1.3%-0.1%2.6%1.6%1.4%
Skew 10d2.6%-0.4%5.1%4.5%1.9%
Call IV 25d27.4%25.2%29.2%28.7%27.3%
Put IV 25d28.7%26.5%31.1%30.3%28.7%
Bid-Ask Spread %3.831.6414.053.693.68
Gamma HHI0.100.080.140.120.10
Net GEX3.4M-41.4M75.8M-24.1M-13.4M
Net DEX216.7M-973.3M891.3M891.3M693.8M
Net VEX-7.6M-8.5M-6.1M-7.8M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.121.910.970.68
Total Volume143,149.90513,526417,07163,10687,937
Total OI3,408,325.1432,888,7533,969,6653,404,9703,379,899

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$25.43$26.8528.7%8.5%24.9%13.6%31.5%1.6%-0.0%-24.1M891.3M-7.8M0.973.6932,05631,0502,012,1991,392,771
2023-11-02$25.74$26.8528.0%8.0%25.2%11.1%27.9%1.8%0.2%-16.5M609.3M-7.9M0.333.23161,59453,5382,020,6871,393,072
2023-11-03$26.36$26.8527.5%7.9%25.4%9.2%28.0%1.6%0.0%1.6M137.6M-8.5M0.273.0050,81913,5292,031,0401,444,036
2023-11-06$26.43$26.8528.1%8.0%25.4%11.2%28.0%1.5%-0.2%3.7M85.8M-8.2M0.633.4034,60321,6882,026,3871,422,637
2023-11-07$26.32$26.8526.9%7.9%23.5%6.7%27.0%1.3%0.5%536.3K143.3M-7.8M0.923.3661,87756,9182,041,6351,433,709
2023-11-08$26.09$26.8526.7%7.7%23.3%6.7%26.7%1.2%0.3%-14.7M383.5M-7.5M0.292.1734,59710,1912,054,8621,447,659
2023-11-09$25.71$26.8526.0%7.4%23.0%3.7%26.3%1.2%-0.6%-40.6M740.1M-7.0M0.384.22112,81542,7002,057,0041,443,977
2023-11-10$25.70$26.8525.5%7.4%22.9%1.5%25.7%1.4%0.5%-41.4M739.8M-7.0M0.521.64125,71465,3702,102,5461,460,451
2023-11-13$26.09$26.8526.9%7.7%23.4%7.8%27.8%1.0%2.6%-16.2M312.6M-7.6M1.913.2355,134105,2892,146,3341,483,252
2023-11-14$26.62$26.8527.8%8.0%24.4%12.0%28.0%0.7%2.6%34.9M-298.7M-7.9M0.232.73211,02748,9242,174,1221,457,118
2023-11-15$27.20$25.8528.3%8.1%24.4%14.2%28.5%-0.1%2.8%75.8M-973.3M-8.2M0.201.77348,71068,3612,276,3331,453,436
2023-11-16$26.13$25.8527.7%7.8%28.1%11.5%27.1%0.7%3.1%27.7M19.5M-8.0M0.482.86190,20491,4742,497,9301,471,735
2023-11-17$26.09$25.8528.4%7.8%27.1%14.9%27.8%0.6%3.1%18.3M-85.6M-7.8M0.392.5155,38921,8652,474,2901,478,638
2023-11-20$26.71$25.8530.3%7.9%28.1%23.7%27.9%2.6%-1.6%31.7M-260.9M-7.9M0.1414.05164,25522,2851,832,3701,056,383
2023-11-21$26.16$25.8530.6%7.8%27.1%25.5%27.6%1.2%-1.7%22.7M30.9M-7.8M0.373.7922,8938,3961,987,4391,072,465
2023-11-22$26.27$25.8530.6%7.6%26.1%26.4%27.0%1.7%-1.7%24.5M-15.1M-7.7M1.274.6128,79136,4472,011,4231,086,661
2023-11-24$26.34$25.8529.7%7.6%26.1%25.4%26.6%0.9%-2.0%27.6M-66.8M-7.6M0.723.807,8685,6582,019,9441,088,570
2023-11-27$26.04$25.8528.1%7.4%26.5%17.0%26.7%2.1%-1.1%7.0M191.7M-7.0M0.223.6295,18821,0872,011,0561,093,021
2023-11-28$25.70$25.8528.4%7.4%26.5%18.4%25.7%1.9%-1.6%-13.6M460.0M-6.6M0.124.4052,0246,1142,006,3191,107,684
2023-11-29$25.06$25.8529.4%7.9%27.5%24.4%27.5%1.7%-1.7%-25.0M811.8M-6.1M0.184.65289,83551,9342,020,6651,103,069
2023-11-30$25.13$25.8528.9%7.7%27.5%22.9%27.1%1.4%-2.2%-13.4M693.8M-6.8M0.683.6852,27235,6652,258,2131,121,686