FXI Options History — March 2024

In March 2024, FXI traded between $23.04 and $24.63. ATM implied volatility averaged 27.8%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.1% (HV 20d: 27.9%). Max pain ranged from $22.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2024-03-04: Highest Volume — 565,544 contracts
  • 2024-03-21: Largest IV drop — 5.2% change
  • 2024-03-04: Highest IV Rank — 62.3%
  • 2024-03-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.86$23.04$24.63$23.94$24.06
Max Pain$22.02$22.00$22.50$22.50$22.00
ATM IV27.8%24.1%30.6%29.6%24.1%
Expected Move7.9%6.7%8.9%8.9%6.7%
HV 20d27.9%22.1%34.7%34.4%22.4%
HV 60d31.4%29.0%32.9%31.5%29.0%
IV Rank31.9%0.0%62.3%51.1%0.0%
IV Percentile39.5%0.0%80.2%66.3%0.0%
Term Structure-0.3%-1.1%0.2%-0.7%0.2%
VWIV27.8%23.7%31.1%31.1%23.7%
Skew 25d-0.2%-0.7%0.2%0.1%-0.6%
Skew 10d0.3%-0.4%1.2%1.2%0.6%
Call IV 25d28.1%24.5%30.7%30.2%24.7%
Put IV 25d27.9%24.0%30.6%30.3%24.0%
Bid-Ask Spread %40.1826.5254.1327.4246.00
Gamma HHI0.120.070.500.180.11
Net GEX136.5M60.4M319.2M273.2M85.6M
Net DEX-1.65B-3.06B-1.01B-2.37B-1.34B
Net VEX-11.7M-13.3M-11.1M-13.3M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.061.420.190.35
Total Volume190,474.6529,379565,544148,455162,219
Total OI4,349,666.953,500,6895,083,7105,053,9953,828,397

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$23.94$22.5029.6%8.9%34.4%51.1%31.1%0.1%-0.7%273.2M-2.37B-13.3M0.1927.42124,92523,5303,749,0381,304,957
2024-03-04$23.41$22.0030.6%8.5%34.6%62.3%30.2%-0.1%-0.5%152.0M-1.62B-12.4M0.0935.60519,65745,8873,716,4851,285,717
2024-03-05$23.04$22.0030.1%8.4%34.7%56.5%30.1%-0.2%-0.3%111.9M-1.05B-11.4M0.2439.41383,95890,3843,450,1091,318,384
2024-03-06$23.55$22.0029.3%8.2%30.3%47.8%29.1%-0.5%-0.5%148.4M-1.65B-11.6M0.2537.6696,90724,4363,336,3371,375,763
2024-03-07$23.34$22.0029.0%8.1%29.6%44.5%29.0%0.1%-0.4%116.5M-1.34B-11.3M1.0744.0160,49064,4853,344,0171,390,320
2024-03-08$23.48$22.0028.7%8.2%28.2%40.5%28.6%0.2%-0.6%127.3M-1.51B-11.5M0.8346.5557,65748,1433,369,8531,417,144
2024-03-11$24.02$22.0029.6%8.4%29.0%50.8%29.1%-0.6%-0.4%185.7M-2.23B-11.4M0.3730.75167,39162,6363,283,8561,404,046
2024-03-12$24.52$22.0029.0%8.1%29.1%44.6%29.0%-0.1%-0.5%214.7M-2.85B-11.5M0.0637.16377,82024,3853,275,9041,446,198
2024-03-13$24.63$22.0028.4%8.1%26.7%36.8%28.7%-0.7%-0.2%230.2M-3.06B-11.7M0.5737.51272,692155,8433,413,6681,465,359
2024-03-14$24.11$22.0028.5%8.0%27.5%41.1%28.5%0.1%-0.4%193.5M-2.15B-12.0M0.2650.88127,15833,3973,433,8071,612,666
2024-03-15$24.02$22.0028.6%8.2%27.6%41.3%28.6%-0.2%-0.3%319.2M-2.11B-11.9M0.7846.4384,18365,4333,447,6311,636,079
2024-03-18$24.02$22.0028.6%8.2%27.1%44.4%28.8%0.0%-0.1%76.4M-1.34B-11.6M0.2626.5299,70826,1642,345,9841,154,705
2024-03-19$23.88$22.0027.9%8.0%27.0%34.5%28.0%-0.4%-0.4%72.6M-1.26B-11.6M1.4229.6759,31584,3842,419,0651,188,479
2024-03-20$24.11$22.0027.1%7.8%25.8%24.8%27.2%-0.4%-0.0%85.1M-1.46B-12.0M0.3654.1321,6777,7022,456,6421,230,684
2024-03-21$24.05$22.0025.7%7.4%25.1%6.8%25.7%-0.7%-1.1%81.3M-1.41B-11.8M1.3740.8546,18163,2742,472,2671,250,566
2024-03-22$23.68$22.0025.8%7.4%25.6%8.0%25.8%0.1%0.0%61.6M-1.01B-11.7M0.9432.2451,12548,0722,496,4711,305,887
2024-03-25$23.73$22.0025.3%7.3%25.5%2.2%25.5%-0.1%0.0%65.0M-1.05B-11.5M1.0636.4953,84657,1422,464,4691,309,396
2024-03-26$23.86$22.0024.9%7.1%24.9%0.0%24.9%-0.2%-0.1%69.6M-1.17B-11.5M1.4051.8416,15122,6242,460,1521,332,927
2024-03-27$23.77$22.0024.6%6.9%22.1%0.0%24.2%0.2%-0.4%60.4M-1.05B-11.1M0.9052.5441,29537,2172,454,2561,345,654
2024-03-28$24.06$22.0024.1%6.7%22.4%0.0%23.7%-0.6%0.2%85.6M-1.34B-11.2M0.3546.00120,07042,1492,468,6091,359,788