FXI Options History — September 2024

In September 2024, FXI traded between $25.46 and $32.22. ATM implied volatility averaged 24.5%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.8% (HV 20d: 25.2%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2024-09-26: Highest Volume — 1,793,667 contracts
  • 2024-09-24: Largest IV spike — 34.6% change
  • 2024-09-26: Highest IV Rank — 100.0%
  • 2024-09-30: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.39$25.46$32.22$25.96$31.79
Max Pain$26.27$26.00$28.00$26.00$28.00
ATM IV24.5%20.7%41.5%21.1%41.5%
Expected Move7.1%5.9%11.9%6.2%11.9%
HV 20d25.2%15.3%45.8%21.9%45.8%
HV 60d22.4%19.3%31.8%20.2%31.7%
IV Rank28.4%4.8%100.0%8.4%100.0%
IV Percentile25.4%0.8%100.0%1.6%100.0%
Term Structure-0.7%-12.7%1.2%-0.5%-12.7%
VWIV25.6%20.6%42.7%22.0%42.7%
Skew 25d0.2%-3.7%15.4%0.1%-2.1%
Skew 10d-4.3%-23.1%4.8%0.5%-23.1%
Call IV 25d25.3%21.0%40.2%21.9%38.0%
Put IV 25d25.5%21.0%53.7%22.0%36.0%
Bid-Ask Spread %52.2024.6866.0752.4232.00
Gamma HHI0.110.080.220.090.09
Net GEX36.0M-26.4M137.1M7.9M123.2M
Net DEX-1.36B-5.10B225.2M-292.4M-4.65B
Net VEX-9.4M-14.3M-7.4M-9.6M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.112.230.720.14
Total Volume360,623.841,5021,793,667121,4971,372,908
Total OI3,270,808.952,213,5114,727,2363,066,4644,727,236

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$25.96$26.0021.1%6.2%21.9%8.4%22.0%0.1%-0.5%7.9M-292.4M-9.6M0.7252.4270,56750,9301,592,8971,473,567
2024-09-04$25.98$26.0021.1%6.1%21.6%7.8%22.0%0.4%0.1%6.2M-318.9M-9.5M0.5249.8627,32914,1731,618,6501,487,697
2024-09-05$25.84$26.0020.7%5.9%21.8%5.3%20.6%-0.0%0.1%-296.6K-178.8M-9.4M2.2366.0736,83182,0891,638,0391,494,947
2024-09-06$25.51$26.0020.8%6.0%21.1%6.1%21.3%0.7%0.1%-24.0M163.2M-9.1M2.1862.3015,48233,6971,638,1161,499,055
2024-09-09$25.52$26.0021.4%6.1%21.0%10.6%21.5%0.3%-0.4%-24.8M157.1M-8.7M0.9463.5962,80258,8321,598,4411,513,528
2024-09-10$25.46$26.0021.5%6.2%20.7%11.5%21.5%0.9%0.1%-26.4M225.2M-8.8M0.8563.7934,32529,3471,624,1701,530,457
2024-09-11$25.70$26.0021.4%6.1%20.9%10.3%21.5%1.0%-0.4%-9.5M-55.5M-8.9M1.4560.7530,23343,7521,645,6731,531,344
2024-09-12$25.73$26.0021.1%6.0%19.6%8.1%21.3%0.9%-0.1%-1.3M-138.4M-8.8M1.4859.5352,19677,0161,663,1791,503,172
2024-09-13$25.86$26.0020.7%5.9%18.2%4.8%20.7%-0.2%0.2%4.9M-227.7M-9.0M1.0760.4139,65942,6221,693,9551,543,438
2024-09-16$25.99$26.0020.7%5.9%16.6%5.1%21.2%-0.0%-0.2%22.7M-405.7M-8.8M0.7060.7766,02446,4331,679,6381,511,608
2024-09-17$26.34$26.0021.1%6.0%17.1%8.6%22.0%-0.7%0.2%36.0M-784.5M-8.8M0.6759.70123,86882,9891,676,2311,538,741
2024-09-18$26.21$26.0021.1%6.0%15.3%8.1%22.3%-0.3%-0.8%31.3M-626.1M-8.9M0.5664.1128,57915,9941,717,9381,601,147
2024-09-19$27.13$26.0021.9%6.3%19.3%14.8%22.3%-1.1%1.2%85.2M-1.74B-8.5M0.3260.35161,57852,3661,739,0091,595,418
2024-09-20$27.14$26.0020.7%5.9%19.0%5.3%21.4%-1.1%0.1%78.5M-1.74B-8.7M0.8753.8258,33250,5571,798,0641,621,105
2024-09-23$27.70$26.0022.0%6.4%19.5%15.4%23.5%-0.8%-0.4%41.5M-1.37B-8.1M0.1143.17227,93524,5191,152,0861,061,425
2024-09-24$30.34$26.0029.6%8.8%36.7%75.1%31.8%-3.1%-1.1%46.9M-2.76B-7.4M0.3531.52815,070287,7721,308,1631,116,881
2024-09-25$29.55$27.0028.0%8.4%38.5%62.5%32.2%-2.8%0.3%81.8M-2.75B-9.9M0.4042.67334,087132,0661,882,2241,339,008
2024-09-26$31.88$27.0036.4%11.0%45.1%100.0%40.2%15.4%0.5%104.0M-4.57B-9.7M0.1332.411,591,935201,7322,130,5961,433,920
2024-09-27$32.22$27.5036.4%10.9%45.1%100.0%39.9%-3.7%-1.2%137.1M-5.10B-13.0M0.2324.68597,857137,9932,898,9531,596,463
2024-09-30$31.79$28.0041.5%11.9%45.8%100.0%42.7%-2.1%-12.7%123.2M-4.65B-14.3M0.1432.001,208,606164,3023,086,3711,640,865