FXI Options History — September 2007

In September 2007, FXI traded between $48.93 and $60.70. ATM implied volatility averaged 44.5%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 7.6% (HV 20d: 52.1%). Max pain ranged from $45.67 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.49.

Notable Days

  • 2007-09-21: Highest Volume — 139,647 contracts
  • 2007-09-24: Largest IV spike — 14.6% change
  • 2007-09-05: Highest IV Rank — 80.6%
  • 2007-09-05: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.72$48.93$60.70$50.94$60.00
Max Pain$50.47$45.67$55.00$45.67$55.00
ATM IV44.5%38.9%50.5%48.6%47.1%
Expected Move12.8%11.2%14.5%13.9%13.5%
HV 20d52.1%30.9%61.7%60.7%30.9%
HV 60d43.5%42.7%44.4%42.9%44.4%
IV Rank63.2%47.0%80.6%75.0%70.9%
IV Percentile89.5%78.3%97.6%97.0%94.1%
Term Structure-0.3%-1.6%1.7%-0.5%1.7%
VWIV45.7%39.5%50.7%50.5%48.6%
Skew 25d7.3%6.2%9.9%7.6%6.9%
Skew 10d13.6%11.0%16.9%14.3%12.2%
Call IV 25d41.3%36.2%47.0%45.2%44.4%
Put IV 25d48.6%42.6%54.7%52.8%51.3%
Bid-Ask Spread %16.635.8133.1114.2633.11
Gamma HHI0.080.050.130.060.07
Net GEX3.4M-7.6M19.7M1.8M-696.8K
Net DEX-943.9M-1.57B-410.6M-763.2M-1.12B
Net VEX-4.6M-5.6M-4.0M-4.2M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.603.281.432.35
Total Volume66,462.63224,363139,64733,963121,122
Total OI915,686.211765,7501,083,594787,122950,184

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$50.94$45.6748.6%13.9%60.7%75.0%50.5%7.6%-0.5%1.8M-763.2M-4.2M1.4314.2613,98919,974328,563458,559
2007-09-05$49.62$46.0050.5%14.5%61.7%80.6%50.7%7.7%-1.6%-1.3M-594.9M-4.4M3.2820.4212,70541,673333,285462,756
2007-09-06$50.17$46.6748.2%13.8%60.3%73.9%49.2%7.6%-0.3%-2.1M-637.7M-4.6M2.8520.1812,25834,968337,911497,166
2007-09-07$48.93$50.0047.8%13.8%59.2%72.8%48.1%8.4%-0.8%-7.6M-410.6M-4.9M1.065.8132,53834,635343,395522,957
2007-09-10$49.78$50.0047.2%13.6%59.2%71.1%47.3%8.2%-0.8%-4.6M-562.0M-4.8M1.207.6826,07631,308357,189542,727
2007-09-11$50.39$50.0044.1%12.7%59.1%62.1%45.2%7.5%0.2%-2.6M-663.8M-4.8M1.669.4511,92219,749362,934565,350
2007-09-12$50.89$50.0041.7%12.4%58.5%55.1%45.1%7.3%-0.2%-2.0M-714.2M-4.7M1.8512.2212,82523,736359,853576,462
2007-09-13$51.23$50.0042.5%12.2%55.3%57.3%45.4%7.3%-0.1%773.1K-787.0M-4.6M0.9913.0612,23712,126364,188583,890
2007-09-14$52.01$50.0043.1%12.4%53.8%59.2%44.6%7.3%-0.3%5.8M-923.1M-4.5M1.4415.3920,01328,899368,733589,374
2007-09-17$51.58$50.0045.9%13.2%53.5%67.2%45.5%7.8%-1.3%2.5M-831.2M-4.6M0.8611.8218,21915,702372,618608,646
2007-09-18$54.43$50.0041.8%12.0%55.5%55.4%43.1%6.9%-0.4%16.4M-1.32B-4.0M1.0723.3435,36737,854380,994616,488
2007-09-19$54.75$50.3339.5%11.3%55.5%48.8%40.5%6.6%0.1%19.7M-1.38B-4.0M1.1817.4239,40246,347390,195636,009
2007-09-20$54.53$50.6738.9%11.2%51.8%47.0%40.5%6.5%0.3%14.5M-1.32B-4.1M1.2318.1435,82944,040397,758658,119
2007-09-21$56.16$51.0039.3%11.3%52.2%48.2%39.5%6.3%0.2%9.8M-1.57B-4.1M0.7719.5578,86160,786398,484685,110
2007-09-24$57.81$52.0045.1%12.9%51.5%64.9%46.4%9.9%-1.4%1.3M-962.9M-4.5M1.2919.5441,32553,457303,810461,940
2007-09-25$58.05$53.3346.5%13.3%47.4%69.1%48.4%6.6%-0.6%1.2M-980.7M-4.9M1.4517.3232,10946,680329,016489,249
2007-09-26$58.69$54.0043.6%12.5%33.2%60.5%43.7%6.2%0.7%4.1M-1.08B-5.0M0.6019.5632,44219,569349,386520,962
2007-09-27$60.70$54.3344.2%12.7%30.9%62.5%46.8%6.6%0.4%8.4M-1.31B-4.9M1.6717.7338,16963,879364,251529,527
2007-09-28$60.00$55.0047.1%13.5%30.9%70.9%48.6%6.9%1.7%-696.8K-1.12B-5.6M2.3533.1136,13584,987369,123581,061