FXI Options History — February 2008

In February 2008, FXI traded between $46.22 and $51.52. ATM implied volatility averaged 55.6%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 4.2% (HV 20d: 59.8%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2008-02-05: Highest Volume — 105,543 contracts
  • 2008-02-05: Largest IV spike — 23.8% change
  • 2008-02-06: Highest IV Rank — 95.0%
  • 2008-02-06: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.97$46.22$51.52$50.23$48.41
Max Pain$50.20$50.00$54.00$54.00$50.00
ATM IV55.6%43.5%68.9%56.8%54.9%
Expected Move15.5%12.5%17.8%16.3%15.7%
HV 20d59.8%49.8%70.2%65.7%51.5%
HV 60d59.2%54.2%63.9%62.7%55.0%
IV Rank67.5%42.8%95.0%70.0%66.1%
IV Percentile78.7%48.8%99.2%86.1%79.8%
Term Structure-1.1%-5.5%2.5%0.2%2.5%
VWIV54.2%43.4%65.2%57.2%54.0%
Skew 25d8.9%6.0%11.5%11.5%7.5%
Skew 10d17.6%11.1%22.4%22.4%14.8%
Call IV 25d49.7%40.0%57.8%51.0%49.7%
Put IV 25d58.7%46.9%67.3%62.5%57.2%
Bid-Ask Spread %10.073.9219.7519.4819.08
Gamma HHI0.070.050.250.050.05
Net GEX-7.2M-21.4M6.6M-11.2M375.8K
Net DEX517.3M-5.7M1.02B568.9M328.1M
Net VEX-7.0M-7.5M-6.6M-7.4M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.371.811.281.36
Total Volume57,058.0535,262105,54392,28992,916
Total OI1,018,215.45770,7691,235,1451,072,161951,873

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$50.23$54.0056.8%16.3%65.7%70.0%57.2%11.5%0.2%-11.2M568.9M-7.4M1.2819.4840,43451,855500,451571,710
2008-02-04$51.52$50.0054.9%15.8%66.3%66.1%54.6%9.8%-2.7%-5.1M350.4M-7.5M0.883.9225,85422,833514,359567,495
2008-02-05$47.96$50.0068.0%17.6%69.5%93.0%60.9%9.8%-5.5%-11.0M776.6M-6.9M1.804.2337,68667,857516,852569,703
2008-02-06$46.22$50.0068.9%17.8%70.2%95.0%65.2%9.5%-5.4%-14.5M1.02B-6.6M1.234.6924,96630,624532,263597,306
2008-02-07$48.03$50.0063.2%17.3%67.7%83.1%61.0%10.7%-3.7%-13.6M835.1M-7.0M1.064.0124,13825,533536,322603,384
2008-02-08$47.22$50.0063.5%17.3%67.4%83.8%59.1%9.0%-3.3%-15.3M928.1M-6.9M0.925.4322,72220,952542,934614,274
2008-02-11$46.85$50.0067.9%17.5%66.2%92.9%61.0%10.3%-3.8%-17.9M1.00B-6.6M1.394.3916,86623,448553,290622,968
2008-02-12$48.14$50.0062.5%17.0%67.3%81.7%57.3%10.0%-3.2%-17.2M848.2M-6.8M0.745.4431,21523,016559,194624,432
2008-02-13$49.00$50.0055.4%16.4%62.6%67.2%57.0%10.1%-2.1%-13.9M681.2M-6.8M1.215.5226,12131,539572,592624,531
2008-02-14$47.87$50.0056.9%16.3%61.5%70.2%55.4%9.4%-2.2%-21.4M859.2M-6.6M0.766.1629,80522,797586,845636,036
2008-02-15$49.96$50.0055.0%15.8%63.3%66.3%54.6%9.7%-1.1%-13.8M416.7M-6.9M1.106.6642,84947,073598,947636,198
2008-02-19$50.30$50.0052.4%15.0%60.4%61.1%52.6%8.6%0.1%840.7K176.8M-7.0M1.148.6620,89523,718366,789403,980
2008-02-20$49.78$50.0050.4%14.4%51.4%56.9%51.0%8.1%0.7%31.4K225.5M-7.0M1.129.2316,66518,645379,017413,991
2008-02-21$47.85$50.0049.8%14.3%49.9%55.6%52.2%7.1%0.1%-2.4M397.8M-6.6M1.7212.1316,10427,684390,708420,825
2008-02-22$49.26$50.0049.4%14.2%51.0%54.8%49.3%8.7%0.1%-821.3K283.3M-7.1M0.7013.4720,70014,562398,196441,207
2008-02-25$49.36$50.0048.3%13.8%51.0%52.6%48.0%8.4%0.6%-603.0K281.0M-6.9M0.9514.8520,16619,110403,884447,648
2008-02-26$49.82$50.0044.3%12.7%50.9%44.4%44.7%7.7%2.5%1.0M237.9M-6.9M0.3716.2829,43610,932411,819447,057
2008-02-27$51.46$50.0043.5%12.5%52.1%42.8%43.4%6.9%2.4%6.6M-5.7M-7.4M0.6819.7548,19532,625429,495449,658
2008-02-28$50.16$50.0045.7%13.1%49.8%47.2%46.4%6.0%2.1%5.3M137.2M-7.4M1.8117.9613,73424,891459,882466,194
2008-02-29$48.41$50.0054.9%15.7%51.5%66.1%54.0%7.5%2.5%375.8K328.1M-7.3M1.3619.0839,45053,466467,676484,197