FXI Options History — February 2007 In February 2007, FXI traded between $31.67 and $36.00. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 5.3% (HV 20d: 32.7%). Max pain ranged from $34.67 to $35.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.00.
Notable Days 2007-02-27 : Highest Volume — 77,925 contracts2007-02-27 : Largest IV spike — 70.3% change2007-02-27 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $35.00 $31.67 $36.00 $34.78 $33.03 Max Pain $34.93 $34.67 $35.00 $34.67 $34.67 ATM IV 27.4% 23.0% 44.3% 30.1% 35.4% Expected Move 7.9% 6.6% 12.7% 8.6% 10.1% HV 20d 32.7% 21.6% 44.0% 43.8% 44.0% Term Structure 1.4% -5.6% 3.6% 0.1% -0.7% VWIV 27.9% 22.9% 42.4% 29.5% 35.2% Skew 25d 4.4% 2.4% 7.0% 4.3% 5.9% Skew 10d 8.7% 4.4% 12.5% 9.6% 10.4% Call IV 25d 25.4% 19.4% 39.2% 28.6% 31.8% Put IV 25d 29.8% 25.4% 44.7% 33.0% 37.6% Bid-Ask Spread % 24.76 13.48 31.62 18.14 13.48 Gamma HHI 0.07 0.06 0.12 0.06 0.07 Net GEX 2.2M -4.0M 6.9M 1.4M -4.0M Net DEX -111.8M -179.1M 63.6M -105.5M 17.2M Net VEX -1.3M -1.5M -1.2M -1.4M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.32 2.14 0.32 1.34 Total Volume 16,437.474 6,633 77,925 7,284 41,616 Total OI 256,526.526 189,513 297,189 259,257 265,398
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $34.78 $34.67 30.1% 8.6% 43.8% 0.0% 29.5% 4.3% 0.1% 1.4M -105.5M -1.4M 0.32 18.14 5,499 1,785 148,731 110,526 2007-02-02 $34.65 $34.67 28.8% 8.3% 42.3% 0.0% 30.4% 4.1% 1.5% 1.4M -103.5M -1.4M 1.45 17.11 4,395 6,393 150,942 110,652 2007-02-05 $34.52 $35.00 30.4% 8.5% 37.1% 0.0% 32.3% 4.5% 0.8% 930.1K -95.4M -1.3M 1.83 25.58 4,929 9,039 151,842 113,418 2007-02-06 $35.15 $35.00 26.9% 8.0% 36.1% 0.0% 27.8% 4.5% 1.5% 2.4M -128.7M -1.4M 0.51 21.68 8,724 4,419 153,021 120,318 2007-02-07 $35.35 $34.67 23.4% 7.5% 32.3% 0.0% 26.5% 4.0% 3.6% 4.5M -154.8M -1.3M 0.71 23.18 5,526 3,930 156,570 121,044 2007-02-08 $35.71 $35.00 25.6% 7.3% 31.5% 0.0% 25.8% 4.0% 3.4% 5.7M -179.1M -1.3M 0.65 24.82 7,854 5,142 155,766 121,611 2007-02-09 $35.12 $35.00 26.1% 7.5% 32.1% 0.0% 27.3% 4.0% 2.5% 2.6M -130.4M -1.3M 2.14 30.23 4,872 10,413 158,544 123,504 2007-02-12 $35.25 $35.00 26.0% 7.4% 31.0% 0.0% 26.4% 4.2% 2.5% 2.5M -130.5M -1.3M 0.40 29.45 6,660 2,652 159,543 129,696 2007-02-13 $35.33 $35.00 26.6% 7.6% 30.3% 0.0% 27.2% 4.5% 2.1% 2.7M -131.0M -1.3M 1.20 27.66 6,552 7,851 159,972 130,644 2007-02-14 $35.38 $35.00 25.9% 7.4% 30.1% 0.0% 27.0% 3.9% 1.6% 3.7M -137.5M -1.3M 0.59 26.53 6,636 3,918 160,662 132,888 2007-02-15 $35.40 $35.00 25.3% 7.2% 29.6% 0.0% 26.9% 3.6% 2.6% 5.3M -143.0M -1.3M 0.64 31.62 4,053 2,586 162,351 134,838 2007-02-16 $35.63 $35.00 23.2% 6.7% 29.2% 0.0% 23.1% 3.8% 3.6% 6.9M -161.5M -1.3M 0.35 21.74 12,132 4,233 161,991 134,211 2007-02-20 $35.74 $35.00 24.3% 7.0% 29.2% 0.0% 25.7% 4.9% 0.4% 1.8M -127.1M -1.2M 1.77 25.83 5,343 9,438 106,995 82,518 2007-02-21 $36.00 $35.00 23.0% 6.6% 28.6% 0.0% 22.9% 7.0% 2.0% 2.3M -137.5M -1.3M 0.67 23.28 4,869 3,255 109,623 89,631 2007-02-22 $36.00 $35.00 23.4% 6.7% 28.0% 0.0% 23.4% 5.1% 1.7% 2.5M -136.2M -1.3M 0.75 29.45 6,561 4,917 112,314 91,671 2007-02-23 $35.13 $35.00 25.7% 7.4% 21.8% 0.0% 24.4% 2.4% 1.2% 744.0K -103.2M -1.3M 0.90 22.46 6,072 5,490 116,814 95,772 2007-02-26 $35.13 $35.00 26.0% 7.5% 21.6% 0.0% 26.1% 4.0% 1.4% 374.2K -100.5M -1.3M 1.21 30.11 3,000 3,633 119,055 100,113 2007-02-27 $31.67 $35.00 44.3% 12.7% 42.5% 0.0% 42.4% 5.4% -5.6% -2.5M 63.6M -1.2M 1.57 28.04 30,303 47,622 119,820 100,995 2007-02-28 $33.03 $34.67 35.4% 10.1% 44.0% 0.0% 35.2% 5.9% -0.7% -4.0M 17.2M -1.5M 1.34 13.48 17,805 23,811 136,383 129,015
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