FXI Options History — December 2023

In December 2023, FXI traded between $22.98 and $24.87. ATM implied volatility averaged 27.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.1% (HV 20d: 25.5%). Max pain ranged from $24.85 to $26.85. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2023-12-20: Highest Volume — 487,718 contracts
  • 2023-12-20: Largest IV spike — 5.6% change
  • 2023-12-29: Highest IV Rank — 27.8%
  • 2023-12-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.84$22.98$24.87$24.87$24.01
Max Pain$25.75$24.85$26.85$25.85$24.85
ATM IV27.6%25.2%29.1%29.0%29.0%
Expected Move7.8%7.2%8.5%7.9%8.5%
HV 20d25.5%18.2%29.0%27.2%29.0%
HV 60d25.0%23.3%26.7%24.2%26.7%
IV Rank16.8%0.5%27.8%23.3%27.8%
IV Percentile27.8%0.4%56.3%49.2%56.3%
Term Structure-0.2%-1.6%0.8%-1.6%-0.2%
VWIV27.5%23.3%30.2%27.9%29.9%
Skew 25d0.4%-1.7%3.3%1.9%-0.2%
Skew 10d0.3%-2.7%3.6%2.1%-0.3%
Call IV 25d27.7%26.4%29.7%27.8%29.7%
Put IV 25d28.2%25.9%30.3%29.7%29.4%
Bid-Ask Spread %20.403.4349.413.4336.79
Gamma HHI0.080.070.110.100.08
Net GEX23.8M-16.8M88.6M-14.3M88.6M
Net DEX594.0M-597.3M1.25B801.8M-597.3M
Net VEX-6.7M-9.3M-5.7M-6.6M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.011.350.470.18
Total Volume184,100.9553,853487,718138,215239,554
Total OI3,493,095.92,823,9564,099,8873,488,5123,571,984

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$24.87$25.8529.0%7.9%27.2%23.3%27.9%1.9%-1.6%-14.3M801.8M-6.6M0.473.4394,25843,9572,375,1111,113,401
2023-12-04$24.31$26.8528.8%7.7%26.5%22.0%26.5%1.7%-0.6%-16.8M1.10B-5.7M0.084.84179,82614,2532,323,8191,117,401
2023-12-05$23.98$26.8529.1%7.9%26.6%25.7%28.0%3.3%-0.6%-14.3M1.22B-5.7M0.404.00100,22940,1832,451,1481,120,496
2023-12-06$23.98$26.8528.5%7.8%26.6%22.2%27.9%1.9%-0.2%-9.1M1.13B-6.0M0.698.01127,59088,2722,540,1301,119,216
2023-12-07$24.02$26.8527.9%7.7%26.7%18.2%28.4%1.1%-0.6%-7.6M1.08B-6.1M0.015.71150,3492,1342,623,3281,122,537
2023-12-08$23.73$25.8527.2%7.5%26.5%13.6%27.1%1.1%-0.4%-5.8M1.25B-5.7M0.303.8597,59528,9722,718,0081,127,628
2023-12-11$23.77$25.8527.8%7.8%26.6%19.0%26.7%0.2%-1.0%3.5M1.21B-5.7M0.375.08101,98037,3642,739,9821,128,526
2023-12-12$23.89$25.8527.3%7.6%25.9%15.3%27.0%-0.2%-0.4%10.5M1.08B-6.0M0.305.91181,41954,5672,815,9411,131,459
2023-12-13$23.80$25.8527.3%7.6%24.2%15.7%27.5%-0.2%-0.7%10.6M1.11B-6.1M0.936.9889,63983,7972,850,3211,136,312
2023-12-14$24.18$25.8526.6%7.5%23.4%10.7%27.2%-0.2%-0.6%24.6M709.7M-6.7M0.1911.00109,16520,8972,895,2411,100,166
2023-12-15$24.16$25.8527.1%7.7%19.6%14.1%28.3%-1.0%-0.1%43.0M586.6M-7.1M0.2429.52102,56424,6893,001,1341,098,753
2023-12-18$23.87$25.8525.8%7.3%19.8%4.4%26.0%-1.7%0.4%31.6M387.0M-6.5M0.4511.7489,77440,4072,071,818752,138
2023-12-19$24.20$25.8525.2%7.2%18.2%0.5%23.3%-1.1%0.8%47.4M252.6M-6.9M0.3115.7252,77816,4972,126,562779,897
2023-12-20$22.98$25.8526.6%7.6%24.2%10.7%27.3%0.2%0.5%23.1M590.7M-6.3M0.9847.29246,234241,4842,152,121795,656
2023-12-21$23.63$24.8526.5%7.6%26.9%9.9%27.7%0.0%-0.0%57.0M-38.0M-7.5M0.4540.43134,40360,7462,326,321709,285
2023-12-22$23.05$24.8527.5%7.9%27.5%16.9%27.9%0.3%0.3%35.6M201.5M-7.1M0.4149.41164,01967,2732,435,656716,932
2023-12-26$23.20$24.8528.2%8.2%27.9%22.0%30.2%1.0%0.4%47.2M103.4M-7.2M1.3539.7722,93030,9232,459,654726,970
2023-12-27$23.23$24.8528.2%8.1%27.8%21.9%27.1%0.8%0.0%45.5M95.2M-7.2M1.3541.36115,163155,9632,467,598738,535
2023-12-28$23.84$24.8528.2%8.0%28.8%22.4%28.3%0.1%-0.2%74.6M-390.2M-8.5M0.3437.21172,30357,8692,565,615815,118
2023-12-29$24.01$24.8529.0%8.5%29.0%27.8%29.9%-0.2%-0.2%88.6M-597.3M-9.3M0.1836.79203,79835,7562,712,888859,096