FXI Options History — June 2009

In June 2009, FXI traded between $35.81 and $40.12. ATM implied volatility averaged 44.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 5.0% (HV 20d: 39.3%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2009-06-19: Highest Volume — 317,614 contracts
  • 2009-06-29: Largest IV drop — 10.4% change
  • 2009-06-03: Highest IV Rank — 12.5%
  • 2009-06-17: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.14$35.81$40.12$39.53$38.37
Max Pain$37.59$35.00$39.00$35.00$38.00
ATM IV44.2%37.9%49.2%42.7%39.0%
Expected Move12.7%10.9%14.1%12.2%11.2%
HV 20d39.3%32.0%52.9%52.9%32.0%
HV 60d47.7%42.4%51.9%51.5%42.5%
IV Rank7.8%1.4%12.5%8.3%2.4%
IV Percentile25.5%2.4%37.3%26.2%7.1%
Term Structure0.6%-1.6%2.5%-0.8%2.1%
VWIV45.2%39.3%50.6%44.9%39.9%
Skew 25d7.1%5.9%8.7%6.2%6.7%
Skew 10d13.4%10.8%16.9%12.4%14.7%
Call IV 25d41.2%34.8%45.5%41.0%35.9%
Put IV 25d48.3%42.5%53.2%47.2%42.6%
Bid-Ask Spread %10.737.0413.6111.009.44
Gamma HHI0.100.080.140.120.09
Net GEX1.9M-12.8M15.0M4.3M-725.8K
Net DEX-807.8M-1.35B-144.5M-1.19B-625.6M
Net VEX-8.1M-9.1M-6.6M-6.6M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.112.930.760.99
Total Volume85,349.63631,322317,61483,19651,363
Total OI1,581,769.5451,370,0961,946,0471,383,3231,603,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$39.53$35.0042.7%12.2%52.9%8.3%44.9%6.2%-0.8%4.3M-1.19B-6.6M0.7611.0047,17436,022564,035819,288
2009-06-02$38.72$35.0044.4%12.7%45.8%9.8%47.8%5.9%-0.7%3.0M-1.05B-6.9M1.7410.1325,24143,861588,951829,873
2009-06-03$38.02$35.0047.7%13.7%45.3%12.5%48.4%6.8%-1.6%-227.6K-899.8M-7.3M1.5110.3220,60531,186596,058846,944
2009-06-04$38.75$35.0046.7%13.4%44.4%11.6%46.7%6.8%-1.6%3.0M-1.05B-7.1M2.2212.4632,40572,005607,088846,963
2009-06-05$39.04$37.0045.1%12.8%42.4%10.3%45.8%6.8%0.5%5.4M-1.09B-7.6M0.9810.4618,30217,863628,100903,784
2009-06-08$38.55$38.0046.5%12.8%40.4%11.5%46.7%7.2%0.1%4.1M-1.00B-7.4M2.5911.688,73522,587630,364903,646
2009-06-09$38.07$38.0044.1%12.7%36.9%7.0%45.1%6.8%0.2%2.7M-897.3M-7.4M1.638.7443,28870,417630,576911,363
2009-06-10$39.17$38.0043.9%12.8%37.7%6.9%44.5%7.3%0.7%7.8M-1.14B-8.0M0.8712.6860,88253,151667,039962,016
2009-06-11$40.12$38.0044.3%12.7%36.5%7.2%44.5%7.3%0.3%15.0M-1.35B-7.8M0.9212.1537,35434,365684,950959,640
2009-06-12$39.56$39.0043.6%12.5%37.4%6.6%39.3%7.3%1.1%12.6M-1.19B-8.0M0.1511.0080,88811,959691,774980,370
2009-06-15$38.23$39.0046.4%13.3%40.1%9.1%49.5%6.8%1.2%9.4M-914.3M-8.1M1.4110.4617,66924,879758,514981,341
2009-06-16$37.23$39.0047.3%13.6%37.0%9.8%49.9%6.9%0.6%4.7M-675.5M-8.2M2.9310.5514,25341,700768,382996,671
2009-06-17$37.35$39.0049.2%14.1%37.0%11.6%50.6%7.7%-0.2%2.5M-676.9M-8.3M2.489.4738,95396,619772,2931,024,505
2009-06-18$37.16$38.0045.5%13.0%36.7%8.3%45.5%7.4%1.9%-3.3M-566.0M-8.5M0.4412.7461,38427,308796,0431,101,231
2009-06-19$37.27$38.0044.2%12.7%35.8%7.1%45.5%7.3%2.4%-12.8M-664.5M-8.5M0.1110.97286,32031,294832,9651,113,082
2009-06-22$36.08$38.0046.2%13.3%38.0%8.9%46.6%8.1%1.4%-5.4M-239.1M-8.5M1.4513.6133,49748,602628,883741,213
2009-06-23$35.81$38.0043.9%12.6%38.0%6.8%44.8%6.9%1.7%-8.2M-144.5M-8.7M0.808.8519,80815,838644,091778,042
2009-06-24$36.88$38.0042.3%12.1%39.3%5.4%42.9%7.2%1.5%-4.3M-375.9M-8.7M1.1910.2517,99921,502657,727778,244
2009-06-25$37.97$38.0040.0%11.5%39.8%3.3%39.4%6.9%2.5%-1.0M-575.8M-8.6M0.837.0457,96248,195657,290784,102
2009-06-26$38.37$38.0042.3%12.1%38.3%5.4%44.8%8.7%-0.4%3.0M-697.2M-9.1M2.9210.5930,29088,323702,713818,998
2009-06-29$38.78$38.0037.9%10.9%32.6%1.4%40.3%7.8%1.1%996.2K-753.0M-9.1M1.9911.5811,90823,736724,625881,393
2009-06-30$38.37$38.0039.0%11.2%32.0%2.4%39.9%6.7%2.1%-725.8K-625.6M-8.9M0.999.4425,81325,550721,047882,713