FXI Options History — December 2024

In December 2024, FXI traded between $30.02 and $33.11. ATM implied volatility averaged 27.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 7.5% (HV 20d: 34.8%). Max pain ranged from $27.85 to $30.85. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2024-12-16: Highest Volume — 2,474,938 contracts
  • 2024-12-05: Largest IV spike — 64.6% change
  • 2024-12-05: Highest IV Rank — 45.3%
  • 2024-12-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.86$30.02$33.11$30.37$30.46
Max Pain$29.63$27.85$30.85$30.00$30.85
ATM IV27.3%23.0%38.9%27.7%25.4%
Expected Move8.1%7.0%10.4%9.3%7.3%
HV 20d34.8%29.0%37.1%37.1%33.7%
HV 60d50.2%44.0%53.9%51.1%44.0%
IV Rank17.4%7.1%45.3%18.4%12.8%
IV Percentile50.8%17.9%95.2%57.1%37.7%
Term Structure1.8%-10.9%16.9%-10.9%0.5%
VWIV29.2%19.9%35.9%32.3%26.5%
Skew 25d-2.9%-6.7%3.9%-3.1%-3.4%
Skew 10d-4.5%-19.5%8.1%-6.7%-19.5%
Call IV 25d29.4%23.9%37.6%30.2%28.6%
Put IV 25d26.4%23.5%37.1%27.1%25.2%
Bid-Ask Spread %22.816.6248.4548.4534.16
Gamma HHI0.070.050.140.060.05
Net GEX41.9M-41.3M149.7M30.0M15.2M
Net DEX-1.31B-4.46B352.4M-1.34B-459.3M
Net VEX-11.4M-12.7M-10.4M-11.4M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.011.550.091.03
Total Volume277,922.33343,9232,474,938132,697106,055
Total OI4,833,071.5243,546,8215,729,6825,053,3093,705,727

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$30.37$30.0027.7%9.3%37.1%18.4%32.3%-3.1%-10.9%30.0M-1.34B-11.4M0.0948.45121,27611,4213,154,1211,899,188
2024-12-03$30.52$30.0030.1%10.4%37.1%24.3%34.5%2.3%-0.7%43.7M-1.58B-11.8M0.2030.3095,04118,5543,179,8741,877,475
2024-12-04$30.26$30.0023.6%9.8%35.9%8.6%33.5%-2.8%16.9%32.1M-1.27B-11.4M0.7537.0631,16223,3623,236,3861,886,589
2024-12-05$30.45$27.8538.9%8.1%34.8%45.3%29.5%3.9%7.9%35.9M-1.53B-11.3M0.4720.9673,70134,4193,246,3341,904,124
2024-12-06$30.77$27.8533.3%8.2%29.0%31.8%29.4%0.2%-2.3%41.9M-1.85B-11.6M0.457.4896,91443,2163,281,7651,920,160
2024-12-09$33.11$27.8530.2%9.4%33.9%24.4%34.9%-6.7%10.6%149.7M-4.46B-12.6M0.4311.57487,298211,4543,303,4791,909,961
2024-12-10$31.84$27.8529.8%9.1%36.9%23.5%35.9%-6.1%-2.0%93.7M-3.00B-12.3M0.5515.13268,830148,5363,384,0712,000,958
2024-12-11$31.45$27.8531.6%9.2%34.8%27.7%31.3%-6.0%0.4%84.5M-2.68B-12.7M0.8210.06149,976123,3743,524,3832,002,684
2024-12-12$31.49$27.8526.4%8.4%34.7%15.2%31.2%-5.5%4.7%105.3M-2.63B-11.8M0.2611.11145,14537,6213,601,8342,067,019
2024-12-13$31.02$27.8523.0%7.6%35.0%7.1%28.1%-4.8%12.3%69.7M-1.92B-11.3M0.588.85110,80164,1193,648,3492,081,333
2024-12-16$30.63$28.8526.0%7.5%35.3%14.2%28.8%-3.6%-0.3%461.8K-1.50B-10.4M0.016.622,439,50235,4363,587,0772,077,633
2024-12-17$30.61$30.8525.9%7.5%34.8%14.1%27.1%-3.3%-0.3%12.0M-77.4M-11.5M0.5512.7191,96950,2193,085,4892,096,874
2024-12-18$30.02$30.8525.7%7.4%35.3%13.6%29.3%-3.8%0.2%-41.3M352.4M-11.3M0.4813.4889,57643,2823,104,9972,121,394
2024-12-19$30.23$30.8525.9%7.4%35.4%14.0%27.6%-3.0%-0.9%-36.9M176.4M-11.2M1.5515.4457,90889,8043,149,9332,120,167
2024-12-20$30.46$30.8525.3%7.3%35.5%12.5%25.1%-2.2%-0.2%45.9M82.1M-11.4M1.4010.7041,52258,0823,169,3602,145,441
2024-12-23$30.70$30.8524.6%7.0%34.6%10.8%24.7%-2.7%-0.5%37.8M-668.7M-11.2M0.4840.5734,56616,5172,096,8521,449,969
2024-12-24$31.05$30.8524.3%7.0%34.8%10.2%25.4%-0.8%3.4%50.8M-905.0M-11.3M0.4839.6629,70114,2222,121,9361,460,929
2024-12-26$31.16$30.8524.6%7.0%34.6%10.8%19.9%-3.0%-0.1%53.5M-966.7M-11.1M0.6731.0758,20739,1012,143,9131,469,846
2024-12-27$30.86$30.8525.4%7.2%33.5%13.0%25.4%-3.4%-0.8%38.2M-752.9M-10.9M0.8334.7273,28860,8892,155,0081,478,910
2024-12-30$30.54$30.8525.7%7.3%33.7%13.5%33.4%-4.1%0.2%18.0M-519.5M-10.7M0.2438.8188,95421,3492,140,3771,502,583
2024-12-31$30.46$30.8525.4%7.3%33.7%12.8%26.5%-3.4%0.5%15.2M-459.3M-10.6M1.0334.1652,17353,8822,195,3231,510,404