FXI Options History — December 2008

In December 2008, FXI traded between $24.60 and $31.24. ATM implied volatility averaged 77.0%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 27.3% (HV 20d: 104.3%). Max pain ranged from $25.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2008-12-03: Highest Volume — 90,796 contracts
  • 2008-12-19: Largest IV drop — 9.8% change
  • 2008-12-01: Highest IV Rank — 54.1%
  • 2008-12-01: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$24.60$31.24$24.60$29.09
Max Pain$31.32$25.00$33.00$25.00$32.00
ATM IV77.0%59.9%95.0%95.0%59.9%
Expected Move22.0%17.2%27.2%27.2%17.2%
HV 20d104.3%69.4%129.9%127.3%69.4%
HV 60d130.4%123.1%136.8%133.2%123.1%
IV Rank38.3%23.4%54.1%54.1%23.4%
IV Percentile77.9%65.5%87.7%87.7%65.5%
Term Structure-1.2%-5.0%4.1%-0.3%4.1%
VWIV76.6%63.8%94.4%90.8%65.9%
Skew 25d14.2%8.1%20.1%20.1%11.3%
Skew 10d27.8%17.2%36.9%34.9%21.7%
Call IV 25d70.1%55.7%86.9%86.9%55.7%
Put IV 25d84.3%67.0%107.0%107.0%67.0%
Bid-Ask Spread %11.566.4117.7114.066.41
Gamma HHI0.140.090.210.090.16
Net GEX7.3M2.1M16.9M2.1M5.0M
Net DEX-16.8M-339.9M254.0M202.7M138.9M
Net VEX-2.9M-3.5M-2.2M-2.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.062.910.212.22
Total Volume36,177.3644,09790,79626,79020,729
Total OI931,894.136772,7671,067,717772,767959,091

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$24.60$25.0095.0%27.2%127.3%54.1%90.8%20.1%-0.3%2.1M202.7M-2.2M0.2114.0622,0494,741466,260306,507
2008-12-02$26.41$25.0092.9%26.6%129.9%52.2%94.4%20.0%-3.9%3.7M92.9M-2.5M0.7614.2027,72721,125482,717310,420
2008-12-03$27.25$25.0085.5%24.5%128.1%45.8%89.0%17.4%1.8%4.4M49.7M-2.6M0.9815.3445,89244,904491,994322,011
2008-12-04$25.85$25.0090.6%26.0%124.4%50.2%86.4%16.9%-2.9%3.2M155.3M-2.5M0.1217.7120,3292,496526,349363,093
2008-12-05$27.83$33.0085.8%24.6%122.5%46.0%82.6%17.3%-1.1%6.0M-20.9M-2.9M0.7211.1325,58618,369537,992363,407
2008-12-08$30.30$33.0081.8%23.1%118.9%42.5%78.3%14.7%-2.3%9.0M-233.2M-3.2M0.6012.8436,98222,290549,893378,426
2008-12-09$29.08$33.0084.5%22.9%119.6%44.9%79.2%12.7%-3.4%7.7M-94.4M-3.0M0.6414.1139,15024,965557,580386,183
2008-12-10$31.24$33.0077.6%22.3%119.3%38.9%76.6%14.4%-1.6%10.4M-326.4M-3.5M0.7512.8222,56916,935572,000402,695
2008-12-11$30.12$33.0080.2%23.0%119.1%41.1%78.4%15.0%-1.7%9.7M-210.8M-3.4M0.6911.6913,9069,664578,589406,367
2008-12-12$29.99$33.0079.0%22.7%109.2%40.1%80.3%16.2%-1.8%10.1M-184.3M-3.4M0.6310.2015,1089,480586,995409,473
2008-12-15$29.05$33.0084.3%24.2%103.8%44.7%82.4%15.0%-4.3%9.9M-103.2M-3.2M0.5212.5016,2238,422596,442417,134
2008-12-16$31.17$33.0081.4%23.3%106.1%42.1%82.7%16.1%-5.0%13.1M-339.9M-3.5M0.6014.1718,59211,241605,184420,593
2008-12-17$30.76$33.0080.2%23.0%105.2%41.1%82.3%14.6%-4.3%14.6M-317.2M-3.4M0.9910.6013,67113,589613,850424,479
2008-12-18$30.48$33.0075.4%21.6%99.1%36.9%73.7%12.3%-2.1%15.8M-248.9M-3.2M0.299.6527,5288,002619,550432,106
2008-12-19$30.55$33.0068.0%19.5%96.0%30.5%68.4%9.0%-0.7%16.9M-246.8M-3.2M0.5410.1331,05316,761629,162438,555
2008-12-22$28.86$33.0065.8%18.8%87.1%28.5%68.7%11.5%0.6%5.7M131.9M-2.7M2.919.9914,05340,862521,439329,214
2008-12-23$27.61$32.0063.1%18.1%88.9%26.2%63.9%8.1%1.0%2.2M254.0M-2.5M0.7910.239,5597,519529,921362,889
2008-12-24$27.97$32.0064.7%18.5%88.4%27.5%67.6%13.1%1.4%2.4M245.7M-2.6M1.5711.203,9286,155531,161365,203
2008-12-26$28.06$32.0063.8%18.3%79.7%26.7%66.0%10.9%1.4%2.3M245.8M-2.5M1.719.811,5142,583532,867366,954
2008-12-29$28.24$32.0068.7%19.7%79.1%31.1%63.8%12.4%-1.1%2.7M232.7M-2.5M0.127.4320,3542,393533,652368,108
2008-12-30$28.75$33.0064.8%18.6%73.2%27.6%64.4%13.6%0.1%3.3M205.8M-2.5M0.068.0453,8613,043536,213368,953
2008-12-31$29.09$32.0059.9%17.2%69.4%23.4%65.9%11.3%4.1%5.0M138.9M-2.9M2.226.416,43114,298588,683370,408