FXI Options History — July 2007

In July 2007, FXI traded between $43.74 and $47.53. ATM implied volatility averaged 33.6%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.3% (HV 20d: 25.3%). Max pain ranged from $41.33 to $43.33. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2007-07-26: Highest Volume — 75,501 contracts
  • 2007-07-26: Largest IV spike — 26.7% change
  • 2007-07-26: Highest IV Rank — 82.3%
  • 2007-07-26: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.93$43.74$47.53$43.74$46.64
Max Pain$42.43$41.33$43.33$41.33$43.33
ATM IV33.6%29.6%40.5%31.8%38.2%
Expected Move9.7%8.5%11.6%9.1%11.0%
HV 20d25.3%21.9%32.8%25.3%32.4%
HV 60d26.0%25.1%28.7%25.1%28.7%
IV Rank51.5%32.0%82.3%38.1%72.0%
IV Percentile72.6%44.2%97.9%57.1%94.4%
Term Structure-0.3%-3.0%1.5%-0.2%-1.7%
VWIV34.8%30.6%41.7%32.5%38.7%
Skew 25d4.5%2.9%5.5%4.2%5.0%
Skew 10d8.4%5.2%10.5%7.5%10.1%
Call IV 25d31.8%28.5%38.5%30.0%35.3%
Put IV 25d36.3%32.4%42.7%34.1%40.3%
Bid-Ask Spread %21.0114.8646.1814.8638.28
Gamma HHI0.090.070.140.070.08
Net GEX6.0M-15.1M18.4M8.5M-8.1M
Net DEX-827.9M-1.24B-215.2M-722.3M-484.2M
Net VEX-3.3M-3.8M-2.9M-3.5M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.563.651.571.00
Total Volume43,412.14317,99175,50132,85952,692
Total OI890,189.286641,7451,078,632862,146770,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$43.74$41.3331.8%9.1%25.3%0.0%32.5%4.2%-0.2%8.5M-722.3M-3.5M1.5714.8612,79220,067344,961517,185
2007-07-03$44.66$41.6730.8%8.8%25.8%0.0%33.2%4.2%1.3%11.1M-872.4M-3.5M0.7215.1230,34221,786356,664530,331
2007-07-05$44.50$41.3330.9%8.9%24.8%38.1%32.7%4.8%1.4%12.9M-867.7M-3.4M0.7915.5412,72610,095363,195534,489
2007-07-06$45.62$42.0029.8%9.0%24.7%33.0%33.0%5.0%1.1%16.0M-1.03B-3.1M2.1616.9413,10128,302356,001539,355
2007-07-09$46.25$42.0032.8%9.5%24.1%47.0%34.6%5.0%-0.7%14.1M-1.10B-3.1M1.4718.9227,36940,170360,897553,530
2007-07-10$45.70$42.0033.9%9.7%25.2%52.0%35.0%4.8%-0.4%11.4M-966.9M-3.3M0.5621.1019,48210,992362,259582,903
2007-07-11$45.95$42.0032.8%9.5%23.1%46.8%33.2%5.3%-0.1%12.7M-1.02B-3.3M0.5818.2031,17618,189371,238587,376
2007-07-12$46.83$42.0033.2%9.5%23.1%48.6%35.9%4.9%-0.8%17.7M-1.21B-3.2M1.9919.2118,72037,266393,696598,863
2007-07-13$47.00$42.0032.8%9.4%22.4%46.9%33.5%4.6%-0.3%18.4M-1.24B-3.2M1.7819.827,89914,067400,761624,579
2007-07-16$46.35$42.0034.3%9.8%22.9%53.8%34.8%4.4%-1.3%14.6M-1.10B-3.1M0.7015.9615,08710,524394,311635,025
2007-07-17$46.33$42.0033.9%9.7%22.1%52.1%35.7%4.6%-0.9%14.8M-1.10B-3.1M2.3318.955,71513,335396,213638,190
2007-07-18$45.45$42.0034.0%9.8%23.7%52.4%35.2%4.9%-1.1%7.7M-899.2M-3.3M2.5519.6810,89927,744394,425647,556
2007-07-19$46.07$42.6732.9%9.4%23.8%47.1%32.7%5.2%-0.0%13.7M-1.05B-3.2M1.1317.8716,99219,251396,642665,571
2007-07-20$46.08$42.6732.1%9.2%21.9%43.4%33.2%4.4%0.4%377.2K-1.03B-3.2M1.1118.9022,45824,900402,474676,158
2007-07-23$47.53$43.3329.6%8.5%23.3%32.0%30.6%3.9%1.5%-609.8K-650.2M-2.9M1.2419.0231,38339,048240,114401,631
2007-07-24$46.33$43.3332.7%9.4%25.4%46.4%33.7%3.3%0.5%-3.9M-507.1M-3.3M3.6516.9312,35745,096264,906430,728
2007-07-25$47.20$43.3331.9%9.2%25.0%42.7%32.9%3.7%0.7%-2.0M-584.6M-3.3M1.4618.867,31710,674270,528445,599
2007-07-26$45.30$43.3340.5%11.6%29.1%82.3%41.7%4.2%-3.0%-10.7M-298.2M-3.7M2.7946.1819,94455,557271,716449,877
2007-07-27$44.55$43.3339.3%11.3%29.9%77.1%39.4%2.9%-1.5%-15.1M-215.2M-3.8M3.5825.9711,20240,047278,751472,386
2007-07-30$46.39$43.3336.5%10.5%32.8%64.2%38.6%5.5%-1.0%-8.6M-445.3M-3.6M1.8924.8515,52829,364280,995491,649
2007-07-31$46.64$43.3338.2%11.0%32.4%72.0%38.7%5.0%-1.7%-8.1M-484.2M-3.5M1.0038.2826,33126,361287,403482,844