FXI Options History — March 2008

In March 2008, FXI traded between $41.23 and $48.82. ATM implied volatility averaged 55.0%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 1.8% (HV 20d: 56.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2008-03-14: Highest Volume — 135,777 contracts
  • 2008-03-11: Largest IV drop — 11.8% change
  • 2008-03-19: Highest IV Rank — 83.6%
  • 2008-03-19: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.96$41.23$48.82$48.82$45.05
Max Pain$47.92$45.00$50.00$50.00$45.00
ATM IV55.0%47.3%63.4%51.5%54.1%
Expected Move15.8%13.5%18.2%14.8%15.5%
HV 20d56.8%42.5%66.5%48.9%65.5%
HV 60d56.8%53.6%59.5%55.0%59.5%
IV Rank66.4%50.6%83.6%59.1%64.5%
IV Percentile77.8%58.7%93.3%71.8%72.6%
Term Structure-1.8%-5.2%1.6%0.1%0.0%
VWIV54.8%45.6%63.0%51.3%60.1%
Skew 25d10.1%7.8%13.5%8.5%11.1%
Skew 10d18.8%15.2%24.5%16.8%19.7%
Call IV 25d49.7%41.8%60.0%47.1%48.2%
Put IV 25d59.9%51.6%69.1%55.7%59.3%
Bid-Ask Spread %12.266.5422.2212.4710.24
Gamma HHI0.070.040.240.050.06
Net GEX-7.9M-21.9M2.6M-338.9K1.8M
Net DEX733.5M341.6M1.32B341.6M432.2M
Net VEX-6.5M-7.3M-5.6M-7.3M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.324.470.814.47
Total Volume82,060.237,647135,77746,92944,316
Total OI1,102,663.65921,8521,313,820993,9991,138,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$48.82$50.0051.5%14.8%48.9%59.1%51.3%8.5%0.1%-338.9K341.6M-7.3M0.8112.4725,95920,970487,542506,457
2008-03-04$46.81$50.0053.1%15.2%49.8%62.5%52.6%8.4%-1.1%-5.4M594.9M-6.8M1.1912.9740,49148,369500,910511,689
2008-03-05$47.69$49.6750.6%14.5%43.7%57.2%50.3%9.1%-0.3%-4.1M502.0M-7.0M0.7615.8727,00920,580516,189527,556
2008-03-06$45.50$49.6754.1%15.5%45.0%64.4%52.4%8.3%-1.5%-9.3M752.3M-6.5M1.1422.2220,06422,893521,511533,877
2008-03-07$45.36$50.0051.8%15.0%42.5%59.8%52.2%9.4%-1.6%-11.1M815.0M-6.4M1.298.8829,72738,298522,255537,510
2008-03-10$44.48$49.3353.7%15.4%42.6%63.7%53.4%10.3%-2.4%-13.4M942.1M-6.1M1.187.3122,24226,211525,327553,866
2008-03-11$48.82$48.6747.3%13.5%54.5%50.6%45.6%9.7%-0.7%-4.3M369.9M-7.0M1.107.2959,81465,685537,186556,353
2008-03-12$46.71$49.6750.5%14.2%56.0%57.2%50.5%9.2%-1.4%-11.9M713.2M-6.7M1.308.2516,39221,255562,602580,371
2008-03-13$45.57$48.3354.5%15.6%56.0%65.2%53.5%8.2%-2.6%-10.9M778.0M-6.5M1.106.5458,80664,689566,598567,729
2008-03-14$42.96$49.3359.3%17.0%59.1%75.2%58.8%7.8%-4.2%-14.1M1.11B-6.0M1.039.2266,93368,844583,248592,287
2008-03-17$42.21$49.3357.9%16.6%56.4%72.4%56.6%13.2%-2.8%-18.8M1.28B-5.6M1.5510.0848,31274,892597,066627,333
2008-03-18$44.33$47.6758.8%16.9%59.8%74.2%60.8%13.5%-5.2%-15.6M1.00B-6.2M1.0415.1360,88863,144606,705631,914
2008-03-19$41.23$47.6763.4%18.2%64.3%83.6%63.0%9.1%-4.1%-21.9M1.32B-5.9M1.5513.6539,42361,005636,030662,373
2008-03-20$42.36$47.3358.8%16.9%64.5%74.1%56.5%9.3%-3.9%-21.1M1.22B-6.0M1.1519.4348,89156,157648,657665,163
2008-03-24$42.78$46.6756.0%16.1%63.5%68.4%52.4%11.4%-0.9%-4.9M693.9M-6.0M0.3214.1464,98021,054439,437482,415
2008-03-25$44.90$45.0056.0%16.0%66.4%68.3%56.8%11.8%-1.1%619.4K467.1M-6.6M0.5810.9063,13236,633479,916488,718
2008-03-26$43.78$45.0058.2%16.7%66.5%72.9%57.5%11.0%-1.7%902.5K523.3M-6.5M0.4615.1733,86715,666508,413503,310
2008-03-27$44.17$45.0058.0%16.6%65.2%72.5%58.7%11.7%-1.7%2.4M459.7M-6.7M2.3612.9325,81860,903526,539511,200
2008-03-28$45.63$45.0052.6%15.1%66.4%61.4%53.8%11.2%1.6%2.6M349.0M-7.3M1.0112.5828,30828,584545,460562,779
2008-03-31$45.05$45.0054.1%15.5%65.5%64.5%60.1%11.1%0.0%1.8M432.2M-7.2M4.4710.248,10036,216560,328578,454