FXI Options History — August 2008

In August 2008, FXI traded between $39.43 and $45.38. ATM implied volatility averaged 39.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 4.2% (HV 20d: 43.2%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2008-08-12: Highest Volume — 82,175 contracts
  • 2008-08-11: Largest IV spike — 8.5% change
  • 2008-08-12: Highest IV Rank — 26.0%
  • 2008-08-04: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.29$39.43$45.38$45.38$42.11
Max Pain$42.90$42.00$46.00$46.00$42.00
ATM IV39.0%36.3%43.1%38.8%37.0%
Expected Move11.2%10.4%12.1%11.1%10.6%
HV 20d43.2%40.4%46.6%40.4%41.6%
HV 60d39.8%37.4%41.8%39.1%41.3%
IV Rank15.2%8.2%26.0%14.6%9.9%
IV Percentile15.5%5.2%31.3%13.1%7.1%
Term Structure0.5%-1.2%2.1%1.1%0.7%
VWIV39.5%35.7%42.5%38.5%35.7%
Skew 25d5.0%3.3%6.6%5.1%3.5%
Skew 10d10.0%6.8%12.7%8.7%7.3%
Call IV 25d36.8%33.6%39.6%35.9%34.9%
Put IV 25d41.7%38.4%44.6%40.9%38.4%
Bid-Ask Spread %12.9111.3116.2312.2311.86
Gamma HHI0.120.090.160.140.11
Net GEX3.0M-3.9M11.8M1.0M9.5M
Net DEX-56.2M-343.8M112.6M-19.9M-212.5M
Net VEX-1.5M-3.0M-230.9K-230.9K-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.241.471.470.89
Total Volume27,996.4298,75282,1759,81514,310
Total OI249,041.8135,569450,35835,569450,358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$45.38$46.0038.8%11.1%40.4%14.6%38.5%5.1%1.1%1.0M-19.9M-230.9K1.4712.233,9705,84522,15513,414
2008-08-04$44.17$45.0041.5%12.1%41.8%21.6%41.5%5.5%-1.2%573.5K-5.3M-258.3K0.8013.8511,6569,34425,47019,174
2008-08-05$45.02$44.0040.4%11.7%41.7%18.9%41.3%5.6%-0.7%978.5K-19.6M-404.2K0.2414.368,5312,02336,16028,122
2008-08-06$45.24$44.0038.0%11.4%41.2%12.7%40.9%5.1%0.1%2.5M-38.8M-443.2K1.2213.584,0965,01043,49429,084
2008-08-07$42.68$44.0040.7%12.0%45.9%19.7%41.6%4.8%-0.7%401.4K18.7M-434.4K0.4013.4518,5897,39047,20733,257
2008-08-08$43.75$44.0038.4%11.7%44.7%13.6%42.4%6.5%-0.0%1.6M-19.5M-563.8K0.9616.2312,12611,68661,56139,329
2008-08-11$42.90$44.0041.6%11.9%45.2%22.1%41.3%6.4%-1.1%557.8K2.9M-586.7K0.8914.359,9478,84671,36049,646
2008-08-12$41.44$43.0043.1%11.7%46.6%26.0%40.8%3.9%0.1%-1.1M58.0M-592.1K1.1813.3937,66144,51478,90456,531
2008-08-13$41.00$43.0040.1%11.5%45.5%18.0%39.8%4.3%0.0%-3.9M112.6M-989.1K0.6312.9646,07229,080112,27096,038
2008-08-14$40.95$42.0039.5%11.3%41.2%16.5%42.5%6.6%1.6%-1.7M35.5M-1.4M1.3712.1619,92727,214151,098119,384
2008-08-15$41.00$42.0037.8%10.8%40.9%12.0%37.7%4.1%1.6%-2.5M66.6M-1.6M0.8411.8814,28212,045175,131138,588
2008-08-18$40.00$42.0038.1%10.9%41.4%12.9%37.0%4.5%0.8%3.0M-7.1M-1.8M0.6312.4127,69817,384173,324117,721
2008-08-19$39.43$42.0040.1%11.5%41.0%18.1%40.8%6.2%0.1%2.2M31.1M-2.1M1.0212.527,1867,306190,531135,087
2008-08-20$41.61$42.0038.1%10.9%45.7%13.0%39.5%5.1%0.6%5.0M-117.5M-2.4M0.4912.0030,25514,856195,852141,392
2008-08-21$40.90$42.0038.7%11.1%45.4%14.4%38.9%3.9%0.9%4.9M-78.1M-2.4M0.8411.735,5584,685215,464149,985
2008-08-22$41.38$42.0038.3%11.0%44.5%13.2%37.9%4.9%1.0%5.5M-109.0M-2.5M0.3612.326,4392,313217,725153,943
2008-08-25$40.96$42.0039.0%11.2%43.6%15.1%39.0%3.3%0.3%5.1M-80.9M-2.4M0.6713.7417,55611,782221,654154,774
2008-08-26$41.96$42.0037.3%10.7%43.1%10.8%36.8%4.6%1.3%7.7M-180.4M-2.6M0.3813.3616,7516,364236,804165,092
2008-08-27$43.43$42.0036.3%10.4%44.2%8.2%37.6%5.7%2.1%11.8M-343.8M-2.7M0.7011.3120,78614,601247,764170,130
2008-08-28$42.68$42.0036.3%10.4%42.0%8.2%37.2%4.6%1.2%10.7M-273.5M-3.0M0.6711.527,3124,929261,264183,637
2008-08-29$42.11$42.0037.0%10.6%41.6%9.9%35.7%3.5%0.7%9.5M-212.5M-3.0M0.8911.867,5536,757263,242187,116