FXI Options History — June 2024

In June 2024, FXI traded between $25.91 and $27.20. ATM implied volatility averaged 23.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.3% (HV 20d: 19.8%). Max pain ranged from $25.85 to $28.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2024-06-25: Highest Volume — 288,709 contracts
  • 2024-06-27: Largest IV spike — 5.9% change
  • 2024-06-27: Highest IV Rank — 17.2%
  • 2024-06-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.57$25.91$27.20$26.70$25.98
Max Pain$27.42$25.85$28.00$25.85$27.00
ATM IV23.1%21.7%25.6%25.6%22.6%
Expected Move6.7%6.2%7.6%7.6%6.5%
HV 20d19.8%16.4%23.4%23.1%18.1%
HV 60d22.7%22.3%23.1%23.0%23.0%
IV Rank4.6%0.0%17.2%16.6%7.6%
IV Percentile1.7%0.0%10.3%10.3%2.8%
Term Structure0.4%-0.2%1.1%0.1%0.1%
VWIV23.5%21.7%26.6%26.6%23.3%
Skew 25d0.2%-0.9%1.1%0.4%-0.1%
Skew 10d0.4%-6.2%7.8%-1.6%0.1%
Call IV 25d23.3%22.1%25.3%25.3%23.0%
Put IV 25d23.5%21.9%25.7%25.7%22.9%
Bid-Ask Spread %64.4547.1689.3689.3647.16
Gamma HHI0.110.090.180.120.18
Net GEX56.4M-10.2M97.7M77.4M-10.2M
Net DEX-1.04B-1.90B-417.8M-1.39B-466.6M
Net VEX-13.0M-14.0M-12.2M-14.0M-13.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.063.070.060.90
Total Volume100,129.42124,646288,70924,64676,871
Total OI3,899,629.4213,147,9824,218,2124,004,6923,588,263

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$26.70$25.8525.6%7.6%23.1%16.6%26.6%0.4%0.1%77.4M-1.39B-14.0M0.0689.3623,2701,3762,459,2101,545,482
2024-06-04$26.95$25.8524.9%7.3%23.4%8.6%24.8%0.4%0.6%86.5M-1.64B-14.0M0.3669.8322,1447,9212,469,2981,550,615
2024-06-05$27.16$25.8524.3%7.1%23.1%2.0%24.6%0.5%-0.0%94.1M-1.83B-13.8M0.8967.8140,37335,9932,480,5301,551,286
2024-06-06$27.20$28.0023.6%6.9%23.1%0.0%23.8%0.3%0.9%97.7M-1.90B-13.7M3.0773.4212,73739,0862,505,7241,552,910
2024-06-07$26.56$28.0023.5%6.9%23.4%0.0%24.0%0.4%0.2%70.9M-1.18B-13.4M0.7474.2869,09951,4512,502,9041,591,455
2024-06-10$26.77$28.0023.8%6.9%23.0%3.0%23.8%-0.1%0.3%76.4M-1.36B-13.5M0.7771.8945,77335,2142,510,2321,612,131
2024-06-11$26.45$28.0023.4%6.8%21.5%0.0%24.0%0.5%0.5%58.1M-763.5M-13.0M0.8369.7340,81333,9582,395,7131,636,642
2024-06-12$26.41$28.0022.9%6.7%21.3%0.0%23.7%1.1%0.9%56.0M-726.2M-13.2M0.5167.6658,74530,0732,417,9121,671,013
2024-06-13$26.41$28.0022.1%6.4%20.7%0.0%22.4%0.2%0.3%57.0M-776.9M-12.9M0.5363.7334,01418,0402,424,0901,648,373
2024-06-14$26.16$28.0022.2%6.4%16.4%1.2%22.4%0.4%0.2%51.2M-533.0M-12.8M0.5072.3190,89745,5492,461,5801,644,359
2024-06-17$26.49$28.0022.2%6.4%17.2%1.2%22.3%0.4%0.3%61.9M-857.0M-12.7M1.3663.3018,02224,5382,469,6431,664,744
2024-06-18$26.55$28.0021.7%6.2%17.3%0.0%21.7%-0.0%0.3%61.4M-923.7M-12.6M1.4161.0727,74939,0042,468,0531,667,433
2024-06-20$26.84$28.0021.8%6.2%17.6%1.2%22.3%-0.9%0.8%80.6M-1.24B-12.4M0.4962.81100,10748,8872,484,7991,684,196
2024-06-21$26.48$27.5022.1%6.3%17.6%3.6%21.9%-0.1%0.3%20.4M-858.4M-12.2M0.9055.4250,26645,2812,522,0421,696,170
2024-06-24$26.73$27.5022.8%6.5%16.9%9.7%23.8%-0.1%0.5%43.9M-1.10B-12.2M0.6949.7563,17543,6631,861,2881,286,694
2024-06-25$26.51$27.5022.9%6.5%17.0%10.6%22.9%0.7%0.4%34.4M-977.0M-12.6M1.3157.68125,215163,4941,918,1781,324,960
2024-06-26$26.51$27.0022.3%6.3%17.1%5.6%22.2%0.3%1.1%32.7M-864.0M-12.8M0.9350.0927,18425,3751,974,0431,413,275
2024-06-27$25.91$27.0023.6%7.1%18.1%17.2%25.8%-0.4%-0.2%20.4M-417.8M-13.0M0.4057.23205,31381,7892,012,3011,425,418
2024-06-28$25.98$27.0022.6%6.5%18.1%7.6%23.3%-0.1%0.1%-10.2M-466.6M-13.1M0.9047.1640,39436,4772,135,2211,453,042