FXI Options History — April 2007

In April 2007, FXI traded between $34.83 and $37.34. ATM implied volatility averaged 26.8%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.7% (HV 20d: 24.2%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2007-04-19: Highest Volume — 63,141 contracts
  • 2007-04-12: Largest IV spike — 15.9% change
  • 2007-04-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.24$34.83$37.34$34.83$35.10
Max Pain$34.00$33.00$35.00$33.67$35.00
ATM IV26.8%22.7%30.8%27.7%30.8%
Expected Move7.8%6.7%8.8%7.9%8.8%
HV 20d24.2%19.9%35.0%35.0%21.2%
HV 60d37.5%35.1%41.4%41.4%35.5%
Term Structure0.4%-2.5%3.8%2.1%0.5%
VWIV29.0%25.4%32.0%28.1%32.0%
Skew 25d6.6%5.4%7.6%7.6%7.4%
Skew 10d14.3%12.1%16.5%15.9%13.4%
Call IV 25d24.3%20.6%28.0%23.6%28.0%
Put IV 25d30.9%26.9%35.4%31.2%35.4%
Bid-Ask Spread %26.3519.9337.9026.6519.93
Gamma HHI0.080.060.090.070.07
Net GEX4.6M-4.7M8.6M3.3M-4.7M
Net DEX-247.5M-370.1M-41.8M-177.0M-41.8M
Net VEX-1.6M-1.9M-1.4M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.383.151.252.07
Total Volume22,227.96,64263,14115,75626,238
Total OI356,417.7309,570429,204309,570403,698

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$34.83$33.6727.7%7.9%35.0%0.0%28.1%7.6%2.1%3.3M-177.0M-1.6M1.2526.657,0178,739158,901150,669
2007-04-03$35.38$34.0025.3%7.3%31.0%0.0%27.6%5.7%2.8%4.7M-216.6M-1.6M0.6429.5510,0926,435164,154156,444
2007-04-04$35.63$34.0023.4%6.7%30.4%0.0%27.7%6.6%3.8%6.2M-239.9M-1.5M2.1021.675,01310,539166,977157,404
2007-04-05$35.67$34.0023.4%6.7%28.7%0.0%25.4%6.3%3.8%6.0M-238.9M-1.5M1.4721.412,6883,954164,385158,976
2007-04-09$35.90$33.0024.4%7.8%28.5%0.0%30.7%6.8%-0.6%7.0M-260.0M-1.5M1.5537.904,6387,200165,111160,461
2007-04-10$36.10$33.0023.5%7.2%28.2%0.0%25.8%6.3%0.5%7.8M-272.2M-1.4M0.7432.997,5815,580166,236163,647
2007-04-11$35.86$33.3322.7%7.5%22.6%0.0%30.1%6.0%-0.5%7.1M-258.9M-1.4M3.1524.875,85618,444166,371164,940
2007-04-12$36.75$33.3326.3%7.5%22.8%0.0%31.5%7.3%-0.4%8.6M-322.3M-1.4M2.6623.5910,05626,703166,953177,036
2007-04-13$36.69$33.3327.1%7.8%22.9%0.0%27.5%7.3%-1.0%7.1M-300.2M-1.4M0.7337.354,6443,375168,975194,853
2007-04-16$37.34$33.3326.5%7.6%22.5%0.0%29.6%7.3%-0.3%8.2M-361.9M-1.4M0.3822.4822,4828,433169,266195,261
2007-04-17$37.32$33.3327.3%7.8%20.6%0.0%29.4%6.5%-0.9%8.6M-370.1M-1.5M1.0221.405,9646,060180,408198,078
2007-04-18$37.06$33.3328.9%8.3%21.1%0.0%29.7%6.8%-1.9%8.4M-346.0M-1.5M1.7820.638,25314,715181,356201,408
2007-04-19$36.50$33.6730.2%8.7%21.0%0.0%30.4%7.1%-2.5%5.9M-268.9M-1.6M1.7130.7923,34039,801182,496212,523
2007-04-20$36.95$34.6728.2%8.1%20.4%0.0%29.4%6.5%-1.1%5.8M-326.8M-1.6M0.5030.5818,1899,012197,136232,068
2007-04-23$36.27$35.0028.4%8.2%21.8%0.0%29.1%5.5%0.0%1.3M-204.7M-1.6M2.8822.835,43915,639166,302159,429
2007-04-24$36.30$35.0027.5%7.9%21.8%0.0%27.4%6.2%0.2%309.5K-189.7M-1.7M2.2325.715,85913,068168,927172,194
2007-04-25$36.65$35.0028.5%8.2%21.6%0.0%28.4%6.6%0.6%567.0K-210.2M-1.8M1.8024.2312,94523,364172,827183,660
2007-04-26$36.39$35.0028.7%8.2%21.4%0.0%30.8%6.4%0.7%-287.3K-183.5M-1.9M1.7223.127,08312,177183,756200,022
2007-04-27$36.03$35.0028.1%8.0%19.9%0.0%29.1%5.4%1.6%-7.2K-161.3M-1.9M2.3129.405,41512,528191,124203,922
2007-04-30$35.10$35.0030.8%8.8%21.2%0.0%32.0%7.4%0.5%-4.7M-41.8M-1.9M2.0719.938,54117,697191,172212,526