FXI Options History — April 2009 In April 2009, FXI traded between $29.22 and $33.09. ATM implied volatility averaged 51.9%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 1.4% (HV 20d: 53.4%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2009-04-16 : Highest Volume — 163,454 contracts2009-04-08 : Largest IV drop — 8.0% change2009-04-02 : Highest IV Rank — 20.4%2009-04-03 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $31.49 $29.22 $33.09 $29.22 $31.98 Max Pain $27.43 $25.00 $29.00 $25.00 $28.00 ATM IV 51.9% 47.2% 56.5% 55.7% 47.2% Expected Move 15.1% 13.5% 16.2% 16.0% 13.5% HV 20d 53.4% 41.8% 64.3% 64.3% 43.0% HV 60d 59.6% 56.7% 64.6% 63.7% 57.2% IV Rank 16.4% 12.3% 20.4% 19.7% 12.3% IV Percentile 43.1% 37.3% 49.2% 48.4% 37.3% Term Structure -0.0% -2.6% 1.9% 1.7% -0.0% VWIV 54.1% 48.4% 60.5% 57.0% 48.8% Skew 25d 8.5% 6.5% 10.7% 8.0% 7.8% Skew 10d 16.0% 11.5% 20.0% 17.4% 20.0% Call IV 25d 48.4% 43.8% 53.7% 51.5% 44.1% Put IV 25d 57.0% 51.9% 62.1% 59.5% 51.9% Bid-Ask Spread % 8.25 5.30 13.92 13.92 8.02 Gamma HHI 0.15 0.09 0.22 0.20 0.10 Net GEX 15.4M 1.0M 28.8M 21.0M 5.9M Net DEX -1.09B -1.81B -410.4M -880.7M -740.5M Net VEX -6.2M -7.0M -5.8M -6.3M -6.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.31 4.68 0.74 1.51 Total Volume 67,412.19 19,413 163,454 41,153 79,564 Total OI 1,475,612.571 1,256,265 1,718,916 1,387,321 1,481,617
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-04-01 $29.22 $25.00 55.7% 16.0% 64.3% 19.7% 57.0% 8.0% 1.7% 21.0M -880.7M -6.3M 0.74 13.92 23,632 17,521 803,959 583,362 2009-04-02 $30.80 $25.00 56.5% 16.2% 61.2% 20.4% 56.3% 8.4% 0.6% 20.2M -1.23B -6.3M 0.41 11.03 81,392 32,973 816,094 598,052 2009-04-03 $30.95 $27.00 53.3% 16.2% 61.1% 17.6% 60.5% 10.7% -2.6% 25.6M -1.31B -6.4M 0.74 10.29 24,241 17,845 873,653 617,376 2009-04-06 $30.90 $27.00 54.1% 16.1% 60.6% 18.3% 59.5% 9.9% -2.4% 25.3M -1.28B -6.2M 1.48 9.54 28,400 42,003 853,704 624,693 2009-04-07 $30.29 $27.00 53.6% 16.0% 56.5% 17.9% 57.4% 9.4% -1.7% 26.4M -1.13B -6.3M 0.66 6.68 42,957 28,136 866,465 648,845 2009-04-08 $30.51 $27.00 49.3% 15.3% 55.5% 14.1% 55.5% 8.8% -0.7% 28.8M -1.21B -6.1M 2.35 8.79 13,333 31,362 875,752 638,556 2009-04-09 $31.85 $27.00 51.1% 14.7% 56.1% 15.7% 52.5% 8.3% -0.0% 27.5M -1.53B -6.0M 1.85 8.32 18,748 34,697 876,382 663,611 2009-04-13 $32.17 $27.00 52.9% 15.2% 56.0% 17.2% 53.4% 7.7% -1.1% 24.1M -1.61B -5.8M 0.31 9.07 23,371 7,340 878,076 681,259 2009-04-14 $32.07 $27.00 53.2% 15.3% 55.9% 17.5% 55.5% 8.6% -1.8% 26.1M -1.61B -5.8M 1.76 9.11 30,941 54,450 886,833 682,116 2009-04-15 $33.09 $27.00 54.0% 15.5% 56.5% 18.2% 56.5% 9.0% -1.7% 20.5M -1.81B -5.9M 1.00 7.28 54,800 55,068 885,633 725,022 2009-04-16 $32.94 $28.00 53.0% 15.2% 56.7% 17.4% 55.4% 9.0% -1.1% 25.8M -1.78B -5.8M 1.12 6.26 77,199 86,255 898,871 747,206 2009-04-17 $32.44 $28.00 50.2% 14.4% 56.5% 14.9% 50.7% 8.5% 0.8% 15.3M -1.67B -5.9M 0.98 7.39 23,956 23,578 918,294 800,622 2009-04-20 $31.37 $28.00 53.3% 15.3% 56.9% 17.6% 54.5% 8.9% 0.5% 4.2M -630.7M -5.9M 0.89 7.24 32,462 29,033 618,639 637,626 2009-04-21 $32.23 $28.00 51.7% 14.8% 47.2% 16.2% 53.7% 8.5% 1.6% 5.3M -780.4M -5.9M 1.34 8.94 31,491 42,053 629,218 649,169 2009-04-22 $31.14 $28.00 51.9% 14.9% 48.5% 16.3% 52.1% 8.3% 1.8% 3.3M -574.0M -6.1M 1.31 6.31 24,780 32,513 647,651 685,356 2009-04-23 $31.71 $29.00 50.7% 14.5% 48.7% 15.3% 55.2% 8.1% 1.9% 3.7M -677.9M -6.2M 1.25 8.86 64,984 81,507 656,469 700,372 2009-04-24 $32.32 $28.00 48.7% 13.9% 45.9% 13.5% 49.2% 7.6% 1.4% 5.9M -845.3M -7.0M 1.06 7.33 9,444 9,969 704,312 760,556 2009-04-27 $30.89 $28.00 51.4% 14.7% 48.6% 15.9% 51.5% 9.1% 0.5% 3.0M -523.5M -6.8M 0.75 6.65 16,201 12,191 694,649 758,672 2009-04-28 $30.55 $29.00 50.8% 14.6% 41.8% 15.4% 52.0% 6.5% 0.7% 1.0M -410.4M -6.7M 4.68 5.30 5,381 25,179 681,091 771,615 2009-04-29 $31.96 $28.00 47.6% 13.7% 43.6% 12.6% 48.4% 8.3% 1.3% 4.0M -706.7M -6.8M 0.38 6.98 32,313 12,393 679,715 786,701 2009-04-30 $31.98 $28.00 47.2% 13.5% 43.0% 12.3% 48.8% 7.8% -0.0% 5.9M -740.5M -6.7M 1.51 8.02 31,642 47,922 704,913 776,704
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