FXI Options History — February 2024 In February 2024, FXI traded between $21.43 and $24.31. ATM implied volatility averaged 31.0%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 3.2% (HV 20d: 34.3%). Max pain ranged from $22.50 to $22.85. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.45.
Notable Days 2024-02-06 : Highest Volume — 839,608 contracts2024-02-06 : Largest IV spike — 6.2% change2024-02-06 : Highest IV Rank — 87.7%2024-02-14 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.92 $21.43 $24.31 $21.88 $23.43 Max Pain $22.68 $22.50 $22.85 $22.85 $22.50 ATM IV 31.0% 29.2% 32.8% 29.7% 29.2% Expected Move 9.0% 8.5% 9.3% 8.5% 8.7% HV 20d 34.3% 29.1% 37.6% 29.1% 33.8% HV 60d 30.8% 28.5% 31.6% 28.5% 31.5% IV Rank 67.5% 45.9% 87.7% 52.5% 45.9% IV Percentile 81.7% 61.5% 97.6% 68.3% 61.5% Term Structure -0.5% -2.1% 0.2% -0.2% -0.7% VWIV 31.8% 30.1% 33.0% 30.1% 30.7% Skew 25d -0.1% -1.1% 0.9% 0.9% -0.0% Skew 10d 0.6% -1.2% 3.8% 3.8% 0.5% Call IV 25d 31.7% 30.0% 33.8% 30.0% 30.0% Put IV 25d 31.6% 29.9% 33.2% 30.8% 30.0% Bid-Ask Spread % 46.29 25.45 61.44 61.43 43.71 Gamma HHI 0.07 0.06 0.09 0.06 0.08 Net GEX 117.4M 15.2M 205.4M 49.1M 158.3M Net DEX -1.31B -2.84B 362.1M -85.0M -1.71B Net VEX -12.1M -13.2M -9.6M -10.5M -13.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.03 1.09 0.96 0.06 Total Volume 230,042.6 41,036 839,608 41,036 141,602 Total OI 5,056,946.35 4,555,603 5,821,131 4,827,576 5,114,704
Daily Data (20 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 2024-02-01 $21.88 $22.85 29.7% 8.5% 29.1% 52.5% 30.1% 0.9% -0.2% 49.1M -85.0M -10.5M 0.96 61.43 20,890 20,146 3,589,067 1,238,509 2024-02-02 $21.43 $22.85 30.4% 8.6% 29.5% 59.6% 31.0% 0.7% -0.1% 15.2M 362.1M -9.6M 0.33 59.44 151,712 49,626 3,601,598 1,249,630 2024-02-05 $21.89 $22.85 30.9% 8.8% 30.9% 65.8% 31.4% 0.9% 0.0% 49.9M -106.7M -10.3M 0.33 56.89 104,840 34,437 3,532,082 1,247,525 2024-02-06 $23.07 $22.85 32.8% 9.3% 36.4% 87.7% 33.0% -1.0% -0.6% 112.7M -1.52B -12.1M 0.20 55.39 700,504 139,104 3,536,479 1,258,697 2024-02-07 $22.64 $22.85 31.1% 8.9% 36.2% 68.6% 31.6% -0.0% 0.1% 109.2M -1.13B -12.5M 0.37 61.44 188,232 69,528 3,965,717 1,352,885 2024-02-08 $22.13 $22.85 29.8% 8.6% 37.1% 53.8% 30.4% -0.8% 0.1% 73.0M -408.9M -11.8M 0.70 51.37 82,423 57,679 4,102,010 1,377,855 2024-02-09 $22.32 $22.85 29.6% 8.6% 36.9% 51.4% 30.9% 0.1% 0.2% 84.7M -665.4M -11.9M 0.26 51.58 78,382 20,571 4,111,517 1,362,931 2024-02-12 $22.77 $22.85 31.2% 8.9% 37.6% 68.8% 31.6% 0.1% -0.0% 112.0M -1.27B -12.2M 0.40 53.78 48,852 19,404 4,037,061 1,328,053 2024-02-13 $22.16 $22.85 32.4% 9.3% 36.9% 83.0% 32.9% 0.2% -0.4% 67.1M -427.9M -11.2M 0.87 54.43 82,586 72,068 4,043,730 1,331,814 2024-02-14 $22.64 $22.85 32.6% 9.3% 36.3% 85.3% 33.0% 0.2% -0.3% 105.7M -1.20B -12.0M 0.76 57.53 107,223 82,004 4,116,665 1,339,529 2024-02-15 $22.73 $22.50 32.0% 9.2% 36.3% 78.8% 32.4% -0.4% 0.1% 113.8M -1.31B -12.1M 0.83 40.22 135,703 112,023 4,196,003 1,417,432 2024-02-16 $23.12 $22.50 32.2% 9.3% 36.6% 81.0% 33.0% -1.1% -0.3% 129.2M -2.05B -13.0M 0.32 40.68 251,263 80,326 4,307,791 1,513,340 2024-02-20 $22.93 $22.50 31.7% 9.2% 35.4% 74.9% 32.3% 0.1% -0.6% 115.6M -1.18B -12.3M 1.09 39.56 30,182 32,933 3,358,545 1,197,058 2024-02-21 $23.51 $22.50 32.1% 9.2% 33.4% 79.2% 32.7% 0.0% -1.3% 151.5M -1.87B -13.0M 0.60 37.38 155,318 92,938 3,424,603 1,240,267 2024-02-22 $23.93 $22.50 31.4% 9.1% 32.4% 71.8% 31.9% 0.2% -0.8% 165.7M -2.26B -13.0M 0.43 25.45 83,218 35,968 3,325,621 1,234,338 2024-02-23 $24.09 $22.50 30.6% 9.0% 32.4% 62.5% 31.3% -0.1% -1.2% 172.5M -2.45B -12.8M 0.03 32.56 399,921 13,029 3,344,421 1,247,555 2024-02-26 $23.94 $22.50 30.5% 9.1% 32.4% 61.4% 32.1% -1.0% -0.9% 184.8M -2.32B -13.1M 0.24 34.60 54,341 12,790 3,506,576 1,212,661 2024-02-27 $24.31 $22.50 30.4% 9.1% 32.2% 60.2% 32.0% -0.5% -0.9% 205.4M -2.84B -13.2M 0.11 28.65 480,851 54,142 3,515,738 1,218,408 2024-02-28 $23.54 $22.50 30.3% 9.0% 33.8% 58.6% 32.0% 0.0% -2.1% 172.2M -1.88B -13.2M 0.19 39.75 255,767 48,326 3,780,709 1,259,803 2024-02-29 $23.43 $22.50 29.2% 8.7% 33.8% 45.9% 30.7% -0.0% -0.7% 158.3M -1.71B -13.0M 0.06 43.71 133,196 8,406 3,811,958 1,302,746
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