FXI Options History — January 2007

In January 2007, FXI traded between $34.05 and $38.80. ATM implied volatility averaged 35.0%. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 10.5% (HV 20d: 45.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2007-01-10: Highest Volume — 60,270 contracts
  • 2007-01-25: Largest IV spike — 15.3% change
  • 2007-01-04: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.57$34.05$38.80$38.80$34.61
Max Pain$34.42$34.00$35.00$34.67$35.00
ATM IV35.0%29.6%40.0%36.9%32.1%
Expected Move10.0%8.5%11.2%10.6%9.2%
HV 20d45.4%44.5%46.9%46.9%44.8%
Term Structure-2.4%-5.0%0.2%-0.3%-0.7%
VWIV34.9%29.3%38.8%36.6%33.4%
Skew 25d4.2%2.1%7.2%3.6%3.6%
Skew 10d8.1%4.6%12.8%8.2%8.2%
Call IV 25d32.9%24.9%37.0%34.7%30.8%
Put IV 25d37.1%32.1%41.3%38.3%34.4%
Bid-Ask Spread %34.5818.3857.3957.3923.38
Gamma HHI0.070.050.150.080.06
Net GEX2.4M-1.1M5.6M4.5M1.1M
Net DEX-157.2M-303.7M-54.3M-303.7M-102.1M
Net VEX-1.0M-1.5M-673.8K-673.8K-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.242.300.561.32
Total Volume27,401.79,99960,27047,47824,138
Total OI231,974.55169,404283,314173,259262,041

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$38.80$34.6736.9%10.6%0.0%0.0%36.6%3.6%-0.3%4.5M-303.7M-673.8K0.5657.3930,41417,064106,88466,375
2007-01-04$37.43$35.0038.9%11.2%0.0%0.0%38.8%4.3%-1.4%3.1M-225.4M-838.8K0.6254.0720,37312,645112,35080,802
2007-01-05$35.32$34.6740.0%10.7%0.0%0.0%36.7%3.8%-3.3%1.8M-125.6M-895.6K1.1232.3926,61029,931120,68485,596
2007-01-08$36.35$35.0037.4%10.5%0.0%0.0%36.8%4.2%-4.8%2.0M-179.7M-936.4K0.5235.1915,2677,938127,06897,296
2007-01-09$34.73$34.0037.6%10.9%0.0%0.0%38.0%3.7%-5.0%869.8K-103.0M-938.6K1.2232.2721,03325,638132,90694,992
2007-01-10$34.05$34.0036.3%10.8%0.0%0.0%37.4%3.9%-4.6%-746.8K-54.3M-963.5K0.7635.1934,29925,971137,349106,719
2007-01-11$34.33$34.0036.4%10.4%0.0%0.0%35.9%3.6%-3.5%815.4K-93.1M-1.0M0.3039.2924,6877,416152,745108,537
2007-01-12$35.13$34.0037.3%10.7%0.0%0.0%37.4%3.6%-4.4%2.6M-157.9M-1.1M0.2937.0514,1754,173162,243111,081
2007-01-16$35.80$34.0036.0%10.3%0.0%0.0%36.0%3.4%-3.2%5.1M-220.3M-1.0M0.4337.3218,0877,776167,724111,459
2007-01-17$35.42$34.0035.8%10.3%0.0%0.0%35.2%3.1%-3.8%3.6M-199.0M-1.0M0.6239.926,1773,822170,769111,234
2007-01-18$34.93$34.0034.3%9.8%0.0%0.0%34.1%2.9%-2.1%212.9K-149.1M-976.9K0.7451.876,3814,740170,118112,716
2007-01-19$35.45$34.0032.6%9.3%0.0%0.0%33.4%4.9%-0.6%-1.1M-206.2M-964.8K0.6034.158,9885,367171,153112,161
2007-01-22$35.67$34.0033.4%9.6%0.0%0.0%34.2%4.0%0.2%3.9M-155.6M-941.6K1.3728.456,6909,153110,71558,689
2007-01-23$36.30$34.3331.0%8.9%0.0%0.0%32.0%6.3%-1.1%4.6M-175.9M-977.7K0.7629.367,5725,727113,91966,144
2007-01-24$36.83$34.3329.6%8.5%0.0%0.0%29.3%7.2%-0.4%5.6M-198.6M-985.3K0.2425.4212,9573,063117,48067,992
2007-01-25$34.88$34.3334.1%9.8%46.9%0.0%33.4%5.3%-3.1%3.8M-128.9M-1.0M2.0218.3811,70323,598126,12369,450
2007-01-26$35.17$35.0033.7%9.7%45.7%0.0%34.0%5.2%-2.3%2.3M-115.7M-1.1M1.0028.9919,50019,557128,85385,782
2007-01-29$34.53$35.0035.4%10.1%44.5%0.0%35.1%2.1%-3.3%1.3M-94.2M-1.3M2.3029.523,2557,497141,744100,137
2007-01-30$35.58$35.0030.2%8.6%45.3%0.0%30.9%5.5%-1.4%3.1M-156.1M-1.5M1.4222.046,0488,604148,656110,805
2007-01-31$34.61$35.0032.1%9.2%44.8%0.0%33.4%3.6%-0.7%1.1M-102.1M-1.5M1.3223.3810,42213,716150,417111,624