FXI Options History — January 2008

In January 2008, FXI traded between $47.45 and $59.25. ATM implied volatility averaged 55.7%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 1.4% (HV 20d: 54.3%). Max pain ranged from $54.33 to $60.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2008-01-23: Highest Volume — 141,957 contracts
  • 2008-01-22: Largest IV spike — 21.9% change
  • 2008-01-28: Highest IV Rank — 91.1%
  • 2008-01-28: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.75$47.45$59.25$55.98$48.02
Max Pain$57.65$54.33$60.00$58.33$54.33
ATM IV55.7%46.6%67.1%47.2%60.9%
Expected Move16.0%13.4%19.2%13.5%17.5%
HV 20d54.3%45.9%63.0%51.8%63.0%
HV 60d63.3%60.6%65.2%62.9%64.4%
IV Rank67.8%49.1%91.1%50.3%78.5%
IV Percentile85.7%71.0%98.8%74.5%92.9%
Term Structure-4.5%-8.7%0.8%0.0%-3.7%
VWIV56.0%46.5%69.6%47.8%59.3%
Skew 25d7.6%4.2%12.3%5.4%10.9%
Skew 10d15.3%7.9%26.8%11.8%20.7%
Call IV 25d52.2%44.1%62.9%44.7%55.9%
Put IV 25d59.7%49.1%72.5%50.0%66.8%
Bid-Ask Spread %15.018.0822.1518.0215.08
Gamma HHI0.060.040.100.050.06
Net GEX-14.2M-38.6M1.7M-12.1M-13.2M
Net DEX616.5M-129.3M1.37B404.2M817.9M
Net VEX-7.0M-7.8M-5.9M-7.3M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.562.021.821.26
Total Volume69,494.14330,756141,95744,47284,042
Total OI1,102,944.571822,4711,304,8711,087,6141,061,019

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$55.98$58.3347.2%13.5%51.8%50.3%47.8%5.4%0.0%-12.1M404.2M-7.3M1.8218.0215,78328,689441,063646,551
2008-01-03$55.60$58.3346.6%13.4%51.4%49.1%47.7%4.9%0.8%-14.2M464.0M-7.3M1.7615.9211,13319,623446,613661,356
2008-01-04$54.54$60.0049.0%14.1%46.0%54.1%50.4%4.2%-2.3%-18.4M628.0M-7.3M2.0215.3425,88152,272450,339676,122
2008-01-07$56.12$60.0050.7%14.4%47.5%57.5%51.4%4.9%-2.6%-14.4M418.9M-7.5M1.0517.9023,58924,801460,515701,292
2008-01-08$55.33$59.6749.6%14.3%45.9%55.4%48.9%6.0%-2.6%-13.6M448.3M-7.3M0.7814.5619,68315,357471,195704,721
2008-01-09$58.80$59.6748.1%14.0%51.7%52.2%50.8%5.4%-2.3%-1.5M-45.0M-7.8M0.9521.6921,72920,550478,416710,331
2008-01-10$59.25$59.3348.0%13.7%48.9%51.9%47.7%6.6%-2.4%1.7M-129.3M-7.7M0.7822.1521,93017,031481,974714,432
2008-01-11$56.67$59.3348.9%14.0%50.1%53.8%48.6%6.4%-2.3%-9.7M320.0M-7.5M0.6619.0220,91013,749485,298719,493
2008-01-14$56.92$59.0047.1%13.5%48.2%50.1%46.5%6.4%-1.1%-7.5M292.8M-7.3M1.0821.7916,05017,403497,820722,148
2008-01-15$52.62$59.0051.6%14.8%54.8%59.4%51.2%7.2%-4.2%-30.9M1.03B-6.5M1.9616.6541,84482,182502,767726,213
2008-01-16$50.55$58.6755.3%15.9%52.3%67.0%55.1%6.7%-7.0%-38.6M1.32B-6.2M1.2610.9260,63376,617519,948745,734
2008-01-17$49.67$57.0056.9%16.3%47.8%70.3%55.6%7.6%-8.5%-37.5M1.37B-6.2M1.3311.3333,70544,817538,875752,733
2008-01-18$52.31$56.6754.5%15.6%52.1%65.4%55.1%7.9%-6.9%-15.4M976.5M-6.6M1.2913.7134,14943,923550,752754,119
2008-01-22$47.92$56.6766.5%19.1%59.4%89.9%66.0%9.4%-8.7%-12.7M831.0M-5.9M1.3811.1644,87762,136353,331469,140
2008-01-23$50.45$56.6763.6%18.2%61.7%84.1%63.8%12.3%-7.0%-11.9M653.4M-6.6M0.7513.5580,99760,960372,513478,830
2008-01-24$49.97$56.6763.2%18.1%61.4%83.2%63.9%9.0%-5.7%-10.2M600.6M-6.9M0.568.0859,09433,219405,267494,688
2008-01-25$49.61$55.6762.3%17.9%61.4%81.4%62.0%7.2%-5.8%-8.5M578.0M-7.3M0.8913.2725,90523,142446,427511,386
2008-01-28$50.21$55.6767.1%19.2%60.9%91.1%69.6%9.6%-7.5%-7.7M525.2M-7.4M1.759.9617,13329,964463,320519,117
2008-01-29$49.77$55.0066.1%18.9%60.9%89.2%68.0%9.9%-7.7%-10.3M607.1M-7.3M0.9111.3529,00726,382461,247539,364
2008-01-30$47.45$55.0066.6%19.1%62.6%90.3%66.1%10.6%-7.7%-12.6M838.0M-6.8M1.2213.7535,31343,173475,728549,639
2008-01-31$48.02$54.3360.9%17.5%63.0%78.5%59.3%10.9%-3.7%-13.2M817.9M-6.9M1.2615.0837,17046,872494,013567,006