iShares China Large-Cap ETF (FXI) Probability Analysis
Probability analysis extracts the risk-neutral probability distribution implied by option prices. It shows the market-implied likelihood of the underlying reaching various price levels by expiration.
iShares China Large-Cap ETF (FXI) operates in the Financial Services sector, specifically the Asset Management - Global industry, with a market capitalization near $4.50B, listed on AMEX, carrying a beta of 0.47 to the broader market. The iShares China Large-Cap ETF aims to mirror the performance of an index consisting of major Chinese companies whose shares are traded on the Hong Kong Stock Exchange. public since 2004-10-08.
Snapshot as of Jul 16, 2026.
- Spot Price
- $34.50
- ATM IV
- 24.4%
- IV Rank
- 48.8%
- IV Percentile
- 67.9%
- HV 20-Day
- 22.3%
- IV Skew 25Δ
- 0.024
As of Jul 16, 2026, iShares China Large-Cap ETF (FXI) at $34.50 has an ATM IV of 24.4%, implying a 30-day one-standard-deviation range of approximately ±$2.42. IV rank is 48.8% (near its 1-year median). IV percentile is 67.9%. The 25-delta skew is +0.024: upside tail priced richer than downside, biasing probability mass above spot. Under lognormal assumptions roughly 68% of outcomes fall within ±1σ and 95% within ±2σ; risk-neutral probability analysis refines this by extracting the market-implied distribution directly from options prices, capturing the fat tails that real markets exhibit.
How FXI probability analysis Data Feeds Strategy Selection
Strategy selection on iShares China Large-Cap ETF options does not derive from any single metric in isolation. The probability analysis view above sits inside a broader read: ATM IV currently sits at 24.4% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the probability analysis data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.
How to read the FXI probability distribution
The probability cone above is the option-market-implied distribution of where iShares China Large-Cap ETF spot could end up at expiration. It's derived from the implied-volatility surface via a risk-neutral pricing transformation, not from historical realized returns. With ATM IV at 24.4% and spot at $34.50, the 1σ band is approximately ±8.4% over a 30-day horizon. Recent realized HV-20 of 22.3% runs 2.1 vol points below the current implied, suggesting the chain is pricing more dispersion than the underlying has been delivering.
FXI risk-neutral vs real-world probabilities
The probabilities derived from option prices reflect the market's risk-adjusted view, not the realized statistical distribution. Risk-neutral probabilities include the equity risk premium and skew preferences priced into options, so they tend to overstate tail probability and understate upside drift relative to actually-realized outcomes. For probability-of-touch calculations and assignment-risk modeling, risk-neutral is the right benchmark. For position-sizing your own conviction, blend with realized-volatility-based statistics from the HV columns.
Trading the FXI distribution
Probability-driven strategies aim to capture mispricings between the implied distribution and your own probability assessment. Premium-selling structures (credit spreads, iron condors, cash-secured puts) profit when the implied distribution overprices tail probability relative to realized; premium-buying (debit spreads, long calls/puts, long straddles) profits in the reverse. Always pair probability-driven strategy selection with a stop loss or wing-defined risk - the implied distribution is a snapshot, and regime shifts can invalidate it intraday.
Learn how risk-neutral density is reported and how to read the data →
FXI highest implied-volatility contracts
| Type | Strike | Expiration | Volume | OI | IV | Bid | Ask |
|---|---|---|---|---|---|---|---|
| PUT | $36.00 | Jan 15, 2027 | 55.5K | 17.2K | 24.9% | $2.97 | $3.20 |
| PUT | $31.00 | Jan 15, 2027 | 55.5K | 82.2K | 27.9% | $0.95 | $1.15 |
| CALL | $34.00 | Mar 19, 2027 | 5.0K | 225 | 24.0% | $2.09 | $4.70 |
| PUT | $30.00 | Feb 19, 2027 | 7.3K | 343 | 31.3% | $0.96 | $0.99 |
| CALL | $40.00 | Sep 18, 2026 | 0 | 135.8K | 24.7% | $0.13 | $0.17 |
| PUT | $36.00 | Sep 18, 2026 | 2.1K | 113.3K | 23.7% | $2.11 | $2.19 |
Top 6 contracts from the institutional-grade nightly options scan; ranked by iv within the broader S&P 500/400/600 + ETF universe.
Frequently asked FXI probability analysis questions
- What is the FXI 30-day expected price range?
- As of Jul 16, 2026, with FXI at $34.50 and ATM IV at 24.4%, the implied 30-day one-standard-deviation range is approximately ±$2.42, or about $32.08 to $36.92.
- What does FXI risk-neutral density tell us?
- Risk-neutral density is the probability distribution of future FXI price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.
- How does FXI ATM IV translate to a probability range?
- ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.