FXI Options History — December 2007

In December 2007, FXI traded between $53.75 and $65.83. ATM implied volatility averaged 48.4%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 17.0% (HV 20d: 65.3%). Max pain ranged from $55.00 to $61.67. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2007-12-21: Highest Volume — 1,181,661 contracts
  • 2007-12-10: Largest IV spike — 8.8% change
  • 2007-12-17: Highest IV Rank — 62.5%
  • 2007-12-17: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.53$53.75$65.83$60.83$56.82
Max Pain$57.42$55.00$61.67$61.67$58.33
ATM IV48.4%44.2%53.1%51.1%45.9%
Expected Move13.8%12.7%15.2%14.7%13.2%
HV 20d65.3%52.3%78.8%78.8%52.3%
HV 60d63.3%60.5%65.0%60.6%63.9%
IV Rank52.8%44.1%62.5%58.4%47.6%
IV Percentile76.2%67.1%83.0%81.8%70.8%
Term Structure0.1%-1.0%1.6%-0.2%1.4%
VWIV49.3%44.6%58.9%50.9%46.3%
Skew 25d5.6%4.6%6.6%6.5%5.7%
Skew 10d10.9%9.1%13.0%13.0%10.6%
Call IV 25d45.7%41.4%51.4%49.1%43.4%
Put IV 25d51.3%47.1%56.3%55.6%49.1%
Bid-Ask Spread %23.9512.9530.4312.9525.18
Gamma HHI0.070.050.090.060.05
Net GEX-8.4M-28.3M11.2M-3.3M-10.9M
Net DEX-157.0M-1.14B689.9M-408.9M301.3M
Net VEX-8.4M-9.3M-7.6M-9.3M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.022.050.810.57
Total Volume106,037.123,5771,181,66123,92530,564
Total OI1,178,088.61,033,7671,329,6571,131,2491,089,423

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$60.83$61.6751.1%14.7%78.8%58.4%50.9%6.5%-0.2%-3.3M-408.9M-9.3M0.8112.9513,23010,695499,431631,818
2007-12-04$61.60$61.6750.5%14.5%72.2%57.1%51.3%6.3%0.3%-934.7K-528.3M-9.3M1.3317.2213,36817,781502,305632,316
2007-12-05$65.25$61.6748.0%13.8%73.5%51.9%49.3%5.8%-0.2%7.8M-1.00B-9.3M0.5923.6442,00624,924509,919634,734
2007-12-06$65.83$61.6746.9%13.4%71.3%49.6%46.5%6.2%0.7%11.2M-1.14B-9.2M1.0125.6218,93319,083514,092637,017
2007-12-07$63.13$55.0047.4%13.8%72.5%50.7%49.5%6.6%-0.6%5.6M-755.0M-9.2M1.5127.2621,35732,220516,957643,347
2007-12-10$62.50$55.0051.6%14.1%72.4%59.3%50.8%6.4%-0.5%4.1M-685.7M-9.0M1.6125.9016,16126,019520,392650,760
2007-12-11$59.52$55.0050.3%13.9%69.8%56.6%48.8%5.5%-1.0%-8.6M-193.2M-8.6M1.0027.4131,18831,239522,792665,691
2007-12-12$61.17$55.0052.2%13.8%65.6%60.6%48.3%5.6%-0.8%-1.9M-442.1M-8.9M1.6230.4318,97230,744535,728680,247
2007-12-13$58.68$55.0049.7%14.2%66.3%55.4%49.9%4.9%-1.0%-15.1M-55.1M-8.6M1.0028.6130,72330,732537,744685,638
2007-12-14$57.17$55.0049.9%14.3%65.8%55.9%49.7%5.0%0.0%-19.5M164.3M-8.3M1.4023.0834,13747,814548,646686,139
2007-12-17$53.75$56.0053.1%15.2%68.9%62.5%54.6%4.9%-0.9%-27.1M689.9M-7.8M2.0517.3726,22953,646570,369700,743
2007-12-18$56.79$55.6752.0%14.9%69.9%60.2%52.7%5.6%-1.0%-28.3M320.6M-8.2M1.5221.1028,48543,350576,024724,725
2007-12-19$56.83$56.0049.5%14.2%67.8%55.1%49.4%5.0%-0.1%-28.0M276.5M-8.0M1.2824.6719,84825,419586,101729,762
2007-12-20$57.57$56.0046.7%13.4%61.1%49.3%48.2%5.1%0.6%-22.3M141.6M-8.0M1.4126.7928,05039,597591,453723,858
2007-12-21$59.35$56.3344.2%12.7%59.2%44.2%58.9%4.6%1.0%-10.1M-154.7M-8.1M0.0223.931,155,61226,049592,518737,139
2007-12-24$59.83$58.3344.2%12.7%58.3%44.1%44.6%5.7%1.4%-2.2M-41.0M-8.0M0.6628.2514,2149,363414,807625,488
2007-12-26$59.53$58.3344.5%12.8%55.6%44.8%46.4%5.4%1.3%-1.8M-91.2M-7.9M2.0227.7410,76421,705417,177616,590
2007-12-27$57.37$58.3345.3%13.0%52.8%46.5%45.1%5.8%0.8%-8.0M196.3M-7.7M0.8917.3920,38518,108418,797630,939
2007-12-28$57.10$58.3344.7%12.8%52.7%45.2%45.4%5.8%1.6%-9.6M265.3M-7.7M1.1424.5217,73620,292423,687636,459
2007-12-31$56.82$58.3345.9%13.2%52.3%47.6%46.3%5.7%1.4%-10.9M301.3M-7.6M0.5725.1819,42811,136433,701655,722