FXI Options History — May 2007

In May 2007, FXI traded between $35.49 and $38.83. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.5% (HV 20d: 25.9%). Max pain ranged from $35.00 to $39.33. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-05-11: Highest Volume — 135,591 contracts
  • 2007-05-25: Largest IV drop — 19.3% change
  • 2007-05-15: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.34$35.49$38.83$35.49$37.45
Max Pain$37.45$35.00$39.33$35.00$38.67
ATM IV31.4%26.5%36.1%29.5%29.8%
Expected Move9.0%8.0%10.4%8.5%8.6%
HV 20d25.9%20.1%30.1%20.4%28.5%
HV 60d34.6%26.6%37.8%35.5%26.6%
Term Structure0.0%-2.2%2.8%0.9%0.2%
VWIV32.4%28.4%37.5%30.9%30.3%
Skew 25d6.7%5.2%8.6%5.8%6.7%
Skew 10d13.2%9.5%16.4%12.9%13.9%
Call IV 25d28.4%25.1%32.8%27.5%26.6%
Put IV 25d35.1%31.5%40.5%33.3%33.3%
Bid-Ask Spread %15.8010.9225.2422.2824.00
Gamma HHI0.100.050.530.070.05
Net GEX-1.9M-15.6M34.2M-4.2M-15.6M
Net DEX-164.2M-503.7M156.4M-80.0M83.9M
Net VEX-2.3M-3.2M-1.9M-1.9M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.536.183.511.27
Total Volume47,260.22711,436135,59119,50025,992
Total OI502,251.818387,666621,387411,249621,387

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$35.49$35.0029.5%8.5%20.4%0.0%30.9%5.8%0.9%-4.2M-80.0M-1.9M3.5122.284,32615,174193,629217,620
2007-05-02$35.95$35.0028.5%8.2%20.1%0.0%30.5%6.9%1.6%-2.0M-138.6M-1.9M1.6820.618,43014,169195,282220,485
2007-05-03$36.48$35.0027.9%8.0%20.6%0.0%28.4%6.7%1.7%1.0M-204.0M-1.9M1.0917.857,0717,719198,909222,750
2007-05-04$36.73$36.3326.5%8.2%20.7%0.0%30.6%5.9%-0.2%2.6M-243.8M-1.9M2.7910.926,44117,973201,723224,166
2007-05-07$37.06$36.3327.9%8.3%20.8%0.0%29.5%6.1%0.2%3.5M-281.3M-1.9M1.0412.345,6165,820201,669238,362
2007-05-08$36.74$36.3331.2%8.5%21.1%0.0%30.8%6.4%-0.1%1.6M-231.4M-1.9M6.1811.926,90342,675204,639241,671
2007-05-09$37.28$36.3328.5%8.6%21.4%0.0%30.8%7.0%0.1%-2.8M-268.9M-2.0M0.8712.077,7406,717208,572278,145
2007-05-10$36.33$36.3332.1%9.2%21.8%0.0%33.8%6.7%0.0%-8.8M-133.3M-2.0M2.5311.918,17220,661210,855283,545
2007-05-11$38.33$36.6732.9%9.4%29.1%0.0%34.4%7.3%0.1%2.0M-397.2M-1.9M0.9611.0569,35166,240213,066293,367
2007-05-14$38.16$37.0035.1%10.1%28.6%0.0%35.2%7.0%-2.2%1.9M-387.3M-2.1M0.5312.3333,21317,751237,258336,381
2007-05-15$38.03$37.3336.1%10.4%28.6%0.0%36.6%6.5%-2.1%189.7K-365.5M-2.2M1.7611.0213,72224,129237,504344,379
2007-05-16$38.83$38.0034.8%10.0%29.3%0.0%37.5%7.3%-1.6%10.9M-503.7M-2.1M1.0513.5515,54316,398245,448352,122
2007-05-17$38.52$37.6733.6%9.6%28.8%0.0%34.4%7.1%-0.7%9.0M-457.1M-2.2M0.9713.3825,09824,450243,105360,297
2007-05-18$38.28$38.3333.2%9.5%28.7%0.0%33.0%6.7%-0.3%34.2M-398.1M-2.2M2.0211.3726,16052,731241,362366,180
2007-05-21$38.23$38.6730.9%8.9%27.8%0.0%30.5%5.2%0.7%-5.9M-95.0M-2.4M2.6217.6914,84138,892156,831230,835
2007-05-22$37.98$39.0031.1%8.9%27.9%0.0%30.3%5.2%-0.4%-8.9M-36.0M-2.7M2.1518.2417,46337,473167,622261,849
2007-05-23$37.70$39.3334.0%9.7%28.0%0.0%33.3%6.6%-1.4%-9.0M2.3M-2.9M2.6120.1715,71440,983181,206281,778
2007-05-24$36.67$39.3335.9%10.3%29.7%0.0%35.3%8.6%-0.3%-11.1M145.8M-3.0M3.9013.7116,71365,208191,688296,607
2007-05-25$37.35$39.3329.0%8.3%30.1%0.0%30.7%7.0%2.8%-12.8M83.7M-3.0M3.4916.149,19232,118195,183331,095
2007-05-29$36.89$39.0031.8%9.1%28.8%0.0%34.2%7.0%1.1%-13.9M156.4M-3.0M2.8219.8319,23954,336200,421339,369
2007-05-30$37.04$39.0029.4%8.4%28.6%0.0%31.0%6.7%0.8%-14.8M137.1M-3.1M2.1825.2425,50055,668212,484368,694
2007-05-31$37.45$38.6729.8%8.6%28.5%0.0%30.3%6.7%0.2%-15.6M83.9M-3.2M1.2724.0011,47214,520221,526399,861