FXI Options History — March 2007

In March 2007, FXI traded between $30.55 and $34.75. ATM implied volatility averaged 32.6%. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 16.7% (HV 20d: 49.3%). Max pain ranged from $33.33 to $34.67. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.70.

Notable Days

  • 2007-03-01: Highest Volume — 51,885 contracts
  • 2007-03-13: Largest IV spike — 23.6% change
  • 2007-03-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.08$30.55$34.75$32.22$34.14
Max Pain$33.44$33.33$34.67$34.67$33.33
ATM IV32.6%26.0%42.2%38.1%29.2%
Expected Move9.2%7.4%10.9%10.9%8.4%
HV 20d49.3%37.8%56.0%43.8%37.8%
HV 60d43.4%41.7%44.7%44.5%41.7%
Term Structure1.1%-3.3%3.8%-3.3%0.9%
VWIV32.5%27.0%38.6%38.6%28.8%
Skew 25d6.6%4.1%8.3%8.3%6.5%
Skew 10d12.8%5.4%15.8%12.9%12.6%
Call IV 25d28.8%23.1%35.9%33.4%24.9%
Put IV 25d35.4%29.5%41.7%41.7%31.5%
Bid-Ask Spread %22.1015.8332.2916.0927.19
Gamma HHI0.080.070.100.080.07
Net GEX-2.2M-8.1M3.5M-4.2M1.8M
Net DEX-39.5M-170.9M138.3M55.1M-131.1M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.555.015.013.22
Total Volume17,822.7276,53451,88551,88510,401
Total OI296,777.864247,494343,314278,940304,215

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$32.22$34.6738.1%10.9%43.8%0.0%38.6%8.3%-3.3%-4.2M55.1M-1.5M5.0116.098,64043,245145,041133,899
2007-03-02$31.70$34.3337.8%10.8%43.9%0.0%36.3%5.1%0.1%-5.7M77.6M-1.5M2.3715.835,85613,851147,657147,099
2007-03-05$30.55$33.3342.2%10.8%45.4%0.0%36.5%4.1%-0.4%-4.8M138.3M-1.4M1.8232.299,22216,743148,611141,537
2007-03-06$32.17$33.3338.3%10.0%49.8%0.0%37.6%7.5%-0.7%-5.3M36.1M-1.5M1.3423.0312,25816,425152,175144,936
2007-03-07$31.80$33.3338.0%10.2%49.2%0.0%33.4%6.0%-0.4%-6.2M58.5M-1.5M0.5523.415,7423,150158,112153,891
2007-03-08$32.87$33.3334.0%9.9%50.9%0.0%35.6%7.0%-0.2%-3.7M-24.7M-1.5M1.5319.177,51811,466157,905148,320
2007-03-09$32.75$33.3331.9%9.8%50.6%0.0%32.6%7.1%-0.1%-4.6M-11.3M-1.5M2.3120.043,4117,896158,778153,183
2007-03-12$33.27$33.3334.0%9.4%50.9%0.0%33.4%6.9%1.6%-2.5M-63.2M-1.5M1.1720.866,0847,107160,242156,528
2007-03-13$31.87$33.3341.9%10.4%52.8%0.0%35.7%6.5%0.3%-8.1M59.8M-1.4M1.9225.606,57612,633162,762159,411
2007-03-14$32.58$33.3333.4%10.0%53.6%0.0%37.5%7.1%0.7%-6.8M8.5M-1.5M2.9020.067,19120,865164,367164,862
2007-03-15$32.66$33.3334.8%10.0%53.6%0.0%35.0%6.4%-0.0%-6.9M-1.8M-1.5M0.7619.564,3353,285166,197176,274
2007-03-16$32.34$33.3334.5%9.9%53.7%0.0%35.2%7.1%0.3%-6.4M14.7M-1.4M0.6320.3516,15210,134166,434176,880
2007-03-19$33.38$33.3330.2%8.7%55.1%0.0%30.6%6.7%2.8%-190.2K-69.3M-1.5M1.1321.817,8728,913128,247119,247
2007-03-20$33.67$33.3329.2%8.4%55.2%0.0%30.2%7.3%3.1%469.8K-84.9M-1.5M1.0721.598,9529,615132,921122,775
2007-03-21$34.47$33.3326.6%7.6%55.9%0.0%27.6%6.0%3.7%2.0M-139.2M-1.5M1.1028.669,26410,209139,152127,647
2007-03-22$34.02$33.3326.6%7.6%56.0%0.0%28.1%5.9%3.3%1.8M-126.1M-1.6M1.7023.193,9246,669144,276129,912
2007-03-23$34.32$33.3326.0%7.4%55.5%0.0%27.0%6.5%3.8%2.0M-131.1M-1.6M0.8523.723,5372,997145,947131,745
2007-03-26$34.33$33.3327.4%7.8%55.5%0.0%28.7%7.0%2.7%2.4M-139.3M-1.5M2.3620.863,5918,481148,347133,821
2007-03-27$34.10$33.3327.9%8.0%40.3%0.0%30.1%5.8%2.1%1.4M-116.4M-1.6M0.5820.677,3324,248150,357137,169
2007-03-28$33.78$33.3329.4%8.4%37.9%0.0%29.4%5.9%1.5%1.3M-109.2M-1.6M1.2518.484,2635,343156,246137,223
2007-03-29$34.75$33.3327.0%7.7%37.8%0.0%27.1%7.5%2.5%3.5M-170.9M-1.6M1.9123.835,74810,956155,709139,056
2007-03-30$34.14$33.3329.2%8.4%37.8%0.0%28.8%6.5%0.9%1.8M-131.1M-1.6M3.2227.192,4667,935158,022146,193