FXI Options History — July 2008

In July 2008, FXI traded between $41.82 and $47.20. ATM implied volatility averaged 41.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.4% (HV 20d: 39.2%). Max pain ranged from $46.00 to $47.67. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2008-07-18: Highest Volume — 121,911 contracts
  • 2008-07-30: Largest IV drop — 9.0% change
  • 2008-07-15: Highest IV Rank — 40.5%
  • 2008-07-15: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.42$41.82$47.20$43.39$44.64
Max Pain$46.73$46.00$47.67$46.67$47.00
ATM IV41.6%36.6%46.5%39.7%39.2%
Expected Move12.0%10.5%13.3%11.4%11.2%
HV 20d39.2%35.8%42.8%40.5%42.6%
HV 60d37.2%36.2%38.9%37.3%38.9%
IV Rank27.0%9.0%40.5%24.1%15.8%
IV Percentile27.9%6.0%45.2%25.0%16.7%
Term Structure-0.4%-3.4%2.2%1.5%0.5%
VWIV41.6%37.5%48.3%38.0%40.1%
Skew 25d5.7%3.3%6.4%6.4%3.3%
Skew 10d11.0%5.9%13.0%11.7%5.9%
Call IV 25d39.2%34.0%44.0%36.6%38.2%
Put IV 25d44.9%39.7%49.7%43.1%41.6%
Bid-Ask Spread %16.1410.6321.1210.6313.79
Gamma HHI0.080.040.170.060.14
Net GEX2.3M-13.2M21.8M-8.3M1.3M
Net DEX564.4M-56.6M1.36B1.05B-18.8M
Net VEX-6.7M-9.5M0-8.3M-203.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.172.211.172.21
Total Volume43,967.5241,818121,91143,6625,680
Total OI1,111,894.76201,593,0181,317,65730,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$43.39$46.6739.7%11.4%40.5%24.1%38.0%6.4%1.5%-8.3M1.05B-8.3M1.1710.6320,08223,580599,016718,641
2008-07-02$41.82$46.6741.9%12.0%41.9%29.5%39.7%5.6%2.0%-10.1M1.27B-7.7M1.6816.9832,98555,353607,827724,317
2008-07-03$41.88$46.6739.2%11.2%39.4%22.8%39.2%5.5%2.2%-13.2M1.36B-7.9M0.5010.8527,37513,800628,380760,386
2008-07-07$42.81$47.6740.8%12.0%35.8%26.9%40.8%6.3%-1.6%-5.5M1.08B-8.1M0.6016.4433,83720,289646,659751,011
2008-07-08$43.63$46.6740.0%12.0%36.6%24.7%43.0%6.2%-1.5%-1.7M934.2M-8.5M0.9114.3933,13230,135666,825760,545
2008-07-09$42.74$46.6741.3%12.2%36.2%28.0%42.0%6.1%-2.0%-3.1M1.10B-8.3M0.9517.7530,43828,797687,987778,971
2008-07-10$44.38$46.6743.6%12.5%38.2%33.4%43.5%6.2%-2.0%3.8M702.4M-9.0M0.7321.1229,34621,498706,788790,509
2008-07-11$44.35$46.6745.2%13.0%37.0%37.4%45.6%5.9%-3.3%2.6M710.4M-9.1M1.1520.5224,08127,666717,183803,193
2008-07-14$43.92$46.6746.2%13.2%37.1%39.7%45.8%6.1%-3.4%2.5M817.2M-9.0M1.0618.9810,84211,478728,565811,623
2008-07-15$42.57$46.6746.5%13.3%38.3%40.5%48.3%5.7%-3.1%-4.6M1.18B-8.4M1.9219.0513,98026,772733,947815,187
2008-07-16$44.74$46.6744.1%12.7%42.8%34.8%44.0%5.9%-1.8%8.7M622.6M-9.0M0.4217.7331,72213,260733,398823,893
2008-07-17$45.17$46.6744.3%12.7%42.7%35.1%43.3%6.4%-1.0%16.6M473.6M-9.1M0.4118.7843,14317,853746,460827,250
2008-07-18$45.35$46.6742.5%12.2%42.8%31.0%40.9%5.6%0.0%21.8M367.5M-9.1M0.1916.99102,71419,197765,216827,802
2008-07-21$45.83$46.6741.7%12.0%38.4%29.0%41.5%5.7%0.3%9.1M205.4M-9.2M0.9313.4127,40525,602669,357683,628
2008-07-22$46.60$46.6740.2%11.5%38.7%25.4%40.6%5.7%0.8%11.4M80.9M-9.5M0.8312.7311,99710,017672,570703,566
2008-07-23$47.20$46.6738.6%11.1%38.8%16.8%39.6%5.3%1.0%14.5M-56.6M-9.5M0.5014.8441,60420,961679,164708,981
2008-07-25$45.51$0.0039.9%11.4%40.5%20.2%39.0%5.8%1.0%0000.6713.861,09072800
2008-07-28$44.22$46.0042.6%12.2%37.2%24.5%40.8%5.5%0.4%41.8K33.5K-7.7K0.7517.207,8955,9211,029634
2008-07-29$45.53$47.0040.3%11.5%38.5%18.5%40.3%4.6%-0.6%694.0K-6.2M-66.5K0.4016.796,7422,7128,6436,551
2008-07-30$46.62$47.0036.6%10.5%39.3%9.0%37.5%5.8%2.0%1.1M-20.3M-149.7K0.1716.199,9121,69714,5948,994
2008-07-31$44.64$47.0039.2%11.2%42.6%15.8%40.1%3.3%0.5%1.3M-18.8M-203.7K2.2113.791,7703,91020,7789,722