FXI Options History — June 2007

In June 2007, FXI traded between $37.61 and $43.31. ATM implied volatility averaged 29.8%. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.9% (HV 20d: 25.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2007-06-18: Highest Volume — 104,943 contracts
  • 2007-06-08: Largest IV drop — 19.7% change
  • 2007-06-26: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$37.61$43.31$38.17$42.95
Max Pain$39.21$38.00$41.00$38.67$41.00
ATM IV29.8%25.9%33.5%27.2%31.8%
Expected Move8.6%7.8%9.6%7.8%9.1%
HV 20d25.8%21.7%29.2%28.8%25.1%
HV 60d25.1%24.3%26.7%26.7%24.9%
Term Structure0.9%-1.2%2.0%1.6%0.8%
VWIV30.7%27.8%33.8%29.7%33.1%
Skew 25d5.1%3.3%7.5%7.5%4.3%
Skew 10d9.9%6.0%14.4%13.7%7.7%
Call IV 25d27.9%24.5%31.8%24.5%29.8%
Put IV 25d33.0%30.3%36.4%32.0%34.0%
Bid-Ask Spread %15.629.7723.9323.9316.04
Gamma HHI0.090.060.300.060.06
Net GEX-3.1M-20.2M11.4M-13.5M4.3M
Net DEX-322.3M-684.9M83.1M-26.0M-538.3M
Net VEX-3.1M-3.8M-2.0M-3.2M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.628.661.451.12
Total Volume51,164.85720,907104,94336,95743,926
Total OI698,349562,095829,545625,212829,545

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$38.17$38.6727.2%7.8%28.8%0.0%29.7%7.5%1.6%-13.5M-26.0M-3.2M1.4523.9315,08721,870223,140402,072
2007-06-04$38.10$38.0030.0%8.4%28.8%0.0%29.9%7.1%1.7%-14.3M-17.0M-3.1M1.709.778,25314,019221,250410,544
2007-06-05$38.48$38.0028.7%8.3%28.8%0.0%29.9%6.2%1.0%-12.6M-74.9M-3.0M2.449.849,34522,830221,940406,494
2007-06-06$37.92$38.0031.4%8.7%29.2%0.0%29.4%6.8%0.8%-14.8M28.8M-3.0M2.259.886,43814,469218,949410,886
2007-06-07$37.61$38.0032.8%8.9%29.0%0.0%33.0%6.5%1.2%-17.1M83.1M-3.0M8.6610.974,74341,058221,721414,588
2007-06-08$38.57$38.0026.3%8.4%28.5%0.0%27.8%6.2%1.5%-13.9M-69.0M-2.9M0.8910.9820,87718,573222,582442,209
2007-06-11$38.98$38.0026.7%8.2%21.7%0.0%31.3%5.7%2.0%-9.9M-68.4M-2.0M0.6714.0231,17320,889183,249413,997
2007-06-12$38.24$38.0027.8%8.3%22.8%0.0%29.8%6.0%1.0%-7.5M-28.9M-2.8M1.1913.1221,08425,032242,205453,468
2007-06-13$38.94$38.0025.9%8.4%23.6%0.0%29.4%5.5%0.8%-1.2M-186.5M-2.8M1.0415.6544,37946,263248,304468,300
2007-06-14$39.95$38.3328.6%8.2%24.2%0.0%28.2%5.5%0.8%-20.2M-428.1M-2.9M0.6216.1429,47218,225281,859505,269
2007-06-15$40.91$38.3327.8%8.0%25.1%0.0%29.1%4.0%1.5%10.9M-684.9M-2.8M0.9021.9044,39439,771294,498512,472
2007-06-18$41.85$39.3328.1%8.0%25.8%0.0%28.7%3.6%1.5%7.7M-505.9M-2.7M0.9417.9754,04850,895233,616328,479
2007-06-19$42.15$39.6728.7%8.2%25.8%0.0%29.5%3.3%1.7%11.4M-559.1M-3.1M1.1819.6739,37846,413268,503364,368
2007-06-20$42.03$40.0031.1%8.9%25.6%0.0%31.3%4.0%0.0%2.2M-453.3M-3.2M0.9222.1540,41637,098255,435390,597
2007-06-21$43.31$40.6730.5%8.8%26.6%0.0%31.2%3.7%0.9%5.9M-626.9M-3.3M0.9014.7927,22524,396282,726422,499
2007-06-22$42.86$40.6731.6%9.1%24.2%0.0%33.8%3.5%0.4%5.0M-566.4M-3.4M2.7521.8515,33642,246285,690436,299
2007-06-25$42.56$40.6733.4%9.6%24.4%0.0%33.3%4.0%-1.2%1.3M-475.8M-3.6M1.0212.3620,33420,733295,731464,376
2007-06-26$42.01$40.6733.5%9.6%24.5%0.0%33.0%5.0%-0.0%832.6K-417.8M-3.8M1.7516.628,14814,283309,699476,118
2007-06-27$43.02$40.6731.8%9.1%25.2%0.0%31.2%4.2%0.1%4.2M-547.2M-3.5M0.6514.9024,12015,762311,163478,203
2007-06-28$43.17$40.6731.1%8.9%25.2%0.0%32.8%4.2%1.1%7.2M-605.4M-3.6M2.7015.418,49922,962327,075485,211
2007-06-29$42.95$41.0031.8%9.1%25.1%0.0%33.1%4.3%0.8%4.3M-538.3M-3.6M1.1216.0420,71523,211330,090499,455