FXI Options History — January 2024 In January 2024, FXI traded between $21.19 and $23.68. ATM implied volatility averaged 29.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.8% (HV 20d: 32.1%). Max pain ranged from $22.00 to $24.85. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.
Notable Days 2024-01-09 : Highest Volume — 489,463 contracts2024-01-03 : Largest IV drop — 5.8% change2024-01-22 : Highest IV Rank — 84.1%2024-01-22 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $22.44 $21.19 $23.68 $23.23 $21.86 Max Pain $22.27 $22.00 $24.85 $24.85 $22.00 ATM IV 29.2% 27.0% 32.5% 29.5% 30.3% Expected Move 8.5% 7.7% 9.5% 8.5% 9.0% HV 20d 32.1% 29.9% 34.1% 30.9% 30.2% HV 60d 27.8% 26.8% 29.2% 27.5% 29.0% IV Rank 43.4% 13.4% 84.1% 31.6% 58.5% IV Percentile 56.7% 17.5% 94.8% 64.3% 74.6% Term Structure -0.3% -0.9% 0.2% 0.2% -0.0% VWIV 29.8% 27.2% 33.3% 30.3% 32.2% Skew 25d 0.7% -0.3% 1.9% -0.3% 1.4% Skew 10d 1.7% -0.7% 3.9% 0.1% 3.3% Call IV 25d 29.5% 27.5% 32.1% 30.3% 30.4% Put IV 25d 30.2% 27.5% 33.7% 30.0% 31.8% Bid-Ask Spread % 53.25 31.74 64.29 36.77 56.27 Gamma HHI 0.06 0.06 0.08 0.07 0.06 Net GEX 52.8M 15.0M 100.7M 50.5M 47.5M Net DEX -47.9M -930.2M 724.1M -9.7M -79.7M Net VEX -9.3M -11.3M -7.8M -8.3M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.12 2.13 0.31 0.24 Total Volume 240,842.905 94,700 489,463 125,717 182,479 Total OI 4,277,618.524 3,506,584 4,954,662 3,506,584 4,760,239
Daily Data (21 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 2024-01-02 $23.23 $24.85 29.5% 8.5% 30.9% 31.6% 30.3% -0.3% 0.2% 50.5M -9.7M -8.3M 0.31 36.77 95,901 29,816 2,636,824 869,760 2024-01-03 $23.68 $24.85 27.8% 7.9% 31.0% 19.0% 27.6% 0.6% -0.0% 65.9M -291.7M -9.0M 0.54 39.48 100,961 54,042 2,691,580 893,116 2024-01-04 $23.38 $22.00 27.5% 7.9% 30.9% 16.7% 27.5% -0.3% 0.2% 58.8M -90.2M -8.6M 0.30 61.04 124,219 37,170 2,753,076 893,146 2024-01-05 $23.24 $22.00 27.0% 7.7% 31.0% 13.4% 27.7% 0.0% 0.2% 56.7M -83.0M -8.9M 0.63 64.02 88,090 55,638 2,842,338 906,119 2024-01-08 $22.95 $22.00 27.5% 7.7% 31.2% 18.2% 27.6% 0.9% -0.8% 42.3M 166.9M -8.1M 0.23 64.29 228,519 52,478 2,835,326 918,622 2024-01-09 $22.48 $22.00 27.8% 7.9% 31.7% 23.7% 27.6% 0.9% -0.5% 30.3M 377.0M -7.9M 0.22 61.96 400,505 88,958 2,955,519 934,164 2024-01-10 $22.48 $22.00 27.7% 7.9% 31.6% 24.6% 27.4% 0.4% -0.4% 41.4M 236.3M -8.7M 2.13 54.60 65,532 139,905 3,260,480 969,327 2024-01-11 $22.80 $22.00 27.6% 7.8% 32.1% 24.3% 27.2% -0.0% -0.6% 56.4M -93.1M -9.5M 0.12 55.85 269,668 31,470 3,354,390 994,503 2024-01-12 $22.77 $22.00 27.5% 7.7% 32.1% 26.4% 28.0% 0.2% -0.9% 75.4M -163.8M -9.8M 0.77 62.08 141,093 109,227 3,567,833 1,004,395 2024-01-16 $22.01 $22.00 29.0% 8.3% 33.2% 43.6% 28.8% 0.3% -0.7% 28.7M 487.2M -8.5M 0.43 60.92 130,776 56,719 3,657,404 1,099,567 2024-01-17 $21.45 $22.00 30.2% 8.7% 34.0% 57.9% 30.7% 1.6% -0.3% 15.0M 724.1M -8.0M 1.50 55.48 137,695 206,677 3,719,473 1,092,290 2024-01-18 $21.55 $22.00 29.6% 8.5% 34.1% 50.9% 30.0% 1.0% -0.4% 19.8M 511.7M -8.1M 0.55 62.57 150,663 82,324 3,795,220 1,062,774 2024-01-19 $21.71 $22.00 31.2% 9.0% 33.7% 69.6% 31.3% 0.9% -0.8% 33.7M 337.7M -8.7M 0.21 60.20 241,979 49,697 3,860,630 1,094,032 2024-01-22 $21.19 $22.00 32.5% 9.5% 29.9% 84.1% 33.2% 1.9% -0.5% 22.3M 480.0M -7.8M 0.36 52.62 174,546 62,373 2,878,041 980,220 2024-01-23 $22.11 $22.00 32.2% 9.5% 32.4% 80.6% 33.3% 1.3% -0.4% 60.4M -292.2M -9.9M 0.17 51.68 336,527 58,627 3,034,775 1,005,429 2024-01-24 $22.77 $22.00 30.5% 8.7% 33.3% 61.1% 30.9% 0.1% -0.2% 93.5M -918.7M -11.2M 0.18 52.13 395,079 70,752 3,200,048 1,051,817 2024-01-25 $22.76 $22.00 29.9% 8.7% 33.2% 54.2% 30.7% 0.1% -0.1% 100.7M -930.2M -11.3M 0.40 31.74 171,943 68,239 3,325,633 1,082,161 2024-01-26 $22.59 $22.00 29.0% 8.5% 33.3% 44.2% 29.6% 0.7% 0.1% 90.2M -821.8M -11.3M 0.25 42.22 90,943 22,315 3,486,024 1,132,320 2024-01-29 $22.32 $22.00 29.4% 8.8% 31.8% 48.7% 31.2% 1.3% 0.1% 67.9M -430.0M -10.5M 0.55 39.58 60,931 33,769 3,412,545 1,143,617 2024-01-30 $21.91 $22.00 30.5% 9.2% 32.0% 61.1% 32.9% 1.1% -0.1% 50.8M -121.6M -10.4M 0.26 52.77 126,584 32,872 3,480,779 1,194,433 2024-01-31 $21.86 $22.00 30.3% 9.0% 30.2% 58.5% 32.2% 1.4% -0.0% 47.5M -79.7M -10.4M 0.24 56.27 147,565 34,914 3,541,613 1,218,626
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