FXI Options History — June 2008

In June 2008, FXI traded between $43.13 and $51.00. ATM implied volatility averaged 39.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.5% (HV 20d: 36.6%). Max pain ranged from $46.67 to $51.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2008-06-20: Highest Volume — 111,366 contracts
  • 2008-06-06: Largest IV spike — 14.6% change
  • 2008-06-09: Highest IV Rank — 38.7%
  • 2008-06-09: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.32$43.13$51.00$51.00$43.61
Max Pain$49.79$46.67$51.00$51.00$46.67
ATM IV39.2%33.4%43.5%36.4%38.7%
Expected Move11.2%9.6%12.1%10.4%11.1%
HV 20d36.6%29.8%42.0%32.0%42.0%
HV 60d42.3%37.4%48.8%48.1%37.7%
IV Rank26.1%16.6%38.7%23.1%21.8%
IV Percentile24.0%12.7%34.9%19.8%19.4%
Term Structure1.0%-0.5%2.1%1.5%1.3%
VWIV39.0%34.0%41.7%36.3%38.7%
Skew 25d5.9%4.9%6.8%5.5%6.2%
Skew 10d10.3%7.4%11.6%10.7%11.2%
Call IV 25d36.5%30.9%39.2%34.2%35.7%
Put IV 25d42.5%36.4%45.6%39.6%41.9%
Bid-Ask Spread %14.1711.4720.1712.2913.98
Gamma HHI0.060.050.070.050.06
Net GEX-21.3M-35.8M-7.7M-7.7M-8.1M
Net DEX1.00B206.8M1.65B206.8M983.6M
Net VEX-8.6M-9.4M-5.4M-9.3M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.623.043.040.66
Total Volume49,530.57116,020111,36634,83621,387
Total OI1,268,349.143969,2611,452,4081,136,4631,306,839

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$51.00$51.0036.4%10.4%32.0%23.1%36.3%5.5%1.5%-7.7M206.8M-9.3M3.0412.298,61626,220500,046636,417
2008-06-03$49.10$51.0038.3%11.0%34.2%27.4%39.0%4.9%1.4%-14.8M549.2M-9.1M0.7512.2618,22513,686503,442657,489
2008-06-04$48.54$51.0037.6%10.8%34.0%25.7%37.6%5.6%1.7%-16.6M660.6M-9.0M0.9013.3423,10920,688511,935666,300
2008-06-05$50.13$51.0033.4%9.6%29.8%16.6%34.0%5.5%2.1%-14.5M403.1M-9.4M1.9514.3716,86332,883523,467680,433
2008-06-06$47.19$50.6738.3%11.6%35.9%27.3%39.3%6.4%0.5%-18.8M863.0M-9.0M2.1715.4428,88462,682533,328690,951
2008-06-09$47.45$50.6743.5%12.1%35.2%38.7%41.0%6.7%-0.1%-23.2M946.6M-9.2M2.7512.7616,55445,444545,838736,902
2008-06-10$46.22$50.6742.9%12.0%35.9%37.3%41.7%6.3%-0.5%-28.9M1.21B-8.8M1.1914.9825,34430,078551,427758,811
2008-06-11$45.10$50.3342.2%11.9%35.9%35.8%41.5%5.5%0.3%-29.9M1.41B-8.5M1.5013.1128,33542,456562,206777,222
2008-06-12$46.21$50.0039.9%11.4%37.2%30.8%41.1%6.8%0.6%-29.1M1.24B-8.9M2.1616.1016,83636,333574,659781,101
2008-06-13$46.11$50.0040.0%11.5%36.5%28.0%39.4%5.5%0.4%-32.1M1.30B-9.0M1.2420.1712,80715,909580,908804,876
2008-06-16$46.49$50.0040.5%11.6%36.8%29.0%39.5%6.0%0.3%-31.2M1.03B-5.4M1.3516.416,8289,192390,156579,105
2008-06-17$46.26$50.0038.9%11.2%36.6%25.1%38.2%5.6%0.8%-32.5M1.29B-8.7M2.0712.2015,93032,964586,413805,719
2008-06-18$46.82$50.0038.9%11.1%34.7%23.7%39.4%6.4%0.5%-34.5M1.19B-8.8M0.9814.2125,05924,459589,482812,211
2008-06-19$46.89$50.0037.4%10.7%34.8%18.7%38.3%5.9%1.6%-35.8M1.19B-8.9M1.2012.3720,70624,873607,179826,797
2008-06-20$44.47$50.0039.3%11.3%38.5%23.2%38.9%5.5%1.6%-28.0M1.65B-8.3M1.0412.7854,62456,742617,277835,131
2008-06-23$44.67$49.3338.9%11.2%38.0%22.2%38.9%5.8%1.2%-12.5M972.2M-8.5M0.7313.4819,84814,409514,371683,145
2008-06-24$44.45$48.3339.0%11.2%37.8%22.5%38.6%6.3%1.3%-11.7M954.0M-8.5M1.1511.4721,78625,083526,890682,455
2008-06-25$45.44$48.3337.3%10.7%39.1%18.4%37.0%6.1%1.3%-12.4M816.2M-8.8M0.6218.2613,8998,592534,021694,947
2008-06-26$43.13$48.3341.7%11.9%41.8%28.8%41.4%6.1%1.6%-12.3M1.10B-8.2M0.6914.8445,56731,287539,253693,465
2008-06-27$43.35$48.3339.2%11.2%42.0%23.0%38.7%5.9%1.8%-12.8M1.12B-8.0M0.6812.7226,77518,180539,253693,465
2008-06-30$43.61$46.6738.7%11.1%42.0%21.8%38.7%6.2%1.3%-8.1M983.6M-8.5M0.6613.9812,9218,466591,654715,185