FXI Options History — January 2009

In January 2009, FXI traded between $23.74 and $31.56. ATM implied volatility averaged 66.7%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 4.1% (HV 20d: 62.6%). Max pain ranged from $27.00 to $33.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-01-22: Highest Volume — 129,306 contracts
  • 2009-01-12: Largest IV spike — 17.9% change
  • 2009-01-14: Highest IV Rank — 41.6%
  • 2009-01-20: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.55$23.74$31.56$31.11$25.11
Max Pain$29.70$27.00$33.00$32.00$27.00
ATM IV66.7%56.1%80.8%58.7%61.6%
Expected Move18.9%16.5%21.7%16.8%17.7%
HV 20d62.6%52.2%72.3%72.3%68.1%
HV 60d108.1%91.7%123.2%123.2%92.4%
IV Rank29.3%20.1%41.6%22.3%24.8%
IV Percentile69.9%60.3%79.0%63.5%62.7%
Term Structure2.0%-1.2%5.6%3.5%3.6%
VWIV65.0%57.5%76.4%58.0%57.5%
Skew 25d13.5%10.4%16.5%10.4%11.8%
Skew 10d24.5%19.5%29.0%19.5%21.1%
Call IV 25d59.3%52.8%68.9%54.7%55.8%
Put IV 25d72.8%65.0%83.5%65.1%67.5%
Bid-Ask Spread %8.506.1011.407.228.08
Gamma HHI0.120.070.250.250.09
Net GEX2.0M-4.6M14.7M11.6M2.6M
Net DEX136.6M-129.4M363.1M-69.6M36.0M
Net VEX-3.2M-4.1M-2.5M-3.3M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.161.970.240.21
Total Volume48,792.9512,438129,30636,75128,338
Total OI941,344.05687,0271,131,003972,603939,929

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$31.11$32.0058.7%16.8%72.3%22.3%58.0%10.4%3.5%11.6M-69.6M-3.3M0.247.2229,6527,099591,810380,793
2009-01-05$31.46$33.0058.5%17.8%68.8%22.1%60.8%12.3%1.3%14.7M-129.4M-3.2M1.399.9715,92922,133604,504374,875
2009-01-06$31.56$32.0056.1%16.5%64.5%20.1%57.7%11.1%3.8%14.6M-129.0M-3.2M1.3211.4016,28821,569606,576387,886
2009-01-07$29.30$32.0065.9%18.4%63.5%28.6%64.1%11.5%0.9%5.3M118.0M-2.9M1.9711.0417,54734,568615,068383,792
2009-01-08$28.78$32.0066.8%18.6%62.1%29.4%68.1%15.6%0.2%2.5M137.3M-2.9M1.078.048,6789,324622,322390,327
2009-01-09$27.71$32.0065.0%18.8%57.2%27.8%67.6%14.8%-0.9%-296.6K227.9M-2.8M1.3310.3518,63024,864623,547388,605
2009-01-12$26.17$32.0076.6%19.7%59.1%38.0%68.9%15.2%-1.2%-4.2M344.6M-2.5M0.669.0241,80927,714633,873398,002
2009-01-13$25.88$32.0072.4%19.1%59.1%34.3%64.5%12.2%1.1%-4.5M346.6M-2.7M0.506.9521,93410,901665,412408,938
2009-01-14$25.18$31.0080.8%21.3%58.9%41.6%72.0%15.6%-0.5%-4.3M363.1M-2.6M0.997.8641,78341,480664,607399,156
2009-01-15$25.61$30.0070.8%20.3%52.2%32.9%71.3%14.1%-0.4%-4.6M319.0M-2.9M0.629.3421,19413,135701,175422,132
2009-01-16$25.95$30.0067.7%19.4%52.8%30.2%67.8%14.9%1.1%-2.1M274.7M-2.9M1.188.9146,98055,492707,273423,730
2009-01-20$23.74$28.0075.8%21.7%60.1%37.2%76.4%14.5%0.9%-510.6K196.0M-2.8M1.318.1615,23819,887381,042305,985
2009-01-21$25.10$28.0068.3%19.6%64.6%30.7%66.1%13.3%4.1%-255.9K145.3M-3.1M0.227.4734,4367,410386,305318,958
2009-01-22$23.85$28.0068.5%19.6%64.1%30.9%67.5%12.4%4.0%-226.1K189.0M-2.9M0.577.7882,38146,925415,478323,792
2009-01-23$24.50$27.0069.4%19.9%64.0%31.6%67.4%16.5%3.5%743.2K120.4M-3.6M0.428.9130,52212,732466,762362,201
2009-01-26$24.62$27.0066.0%18.9%63.7%28.7%63.7%13.2%2.3%930.8K106.9M-3.6M0.196.1045,3508,428486,458369,311
2009-01-27$24.98$27.0061.9%17.7%64.1%25.1%59.2%14.9%3.9%2.0M68.0M-3.8M0.398.918,9613,477524,881377,317
2009-01-28$25.93$27.0059.3%17.0%65.8%22.8%57.6%13.3%5.6%2.8M-20.8M-3.8M0.166.8025,5254,162509,486369,195
2009-01-29$24.54$27.0064.1%18.4%67.6%27.1%63.9%11.6%2.8%2.1M87.2M-3.6M0.947.6427,53925,845524,800370,578
2009-01-30$25.11$27.0061.6%17.7%68.1%24.8%57.5%11.8%3.6%2.6M36.0M-4.1M0.218.0823,4544,884546,288393,641