FXI Options History — August 2009

In August 2009, FXI traded between $39.13 and $43.56. ATM implied volatility averaged 38.5%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 5.8% (HV 20d: 32.7%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.27.

Notable Days

  • 2009-08-17: Highest Volume — 176,034 contracts
  • 2009-08-17: Largest IV spike — 9.6% change
  • 2009-08-17: Highest IV Rank — 7.9%
  • 2009-08-17: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.99$39.13$43.56$43.56$39.31
Max Pain$41.57$38.00$44.00$38.00$41.00
ATM IV38.5%34.0%42.9%39.8%38.1%
Expected Move11.1%9.7%12.3%11.4%10.9%
HV 20d32.7%24.0%36.5%36.5%24.0%
HV 60d34.7%32.2%37.5%37.5%32.3%
IV Rank4.0%0.0%7.9%5.1%3.6%
IV Percentile9.9%0.0%23.4%13.5%8.3%
Term Structure1.4%-0.0%3.7%-0.0%1.0%
VWIV39.4%35.0%45.2%41.4%37.5%
Skew 25d6.1%4.9%7.0%6.2%4.9%
Skew 10d12.0%9.4%13.5%13.2%9.4%
Call IV 25d35.9%31.7%39.3%37.7%35.6%
Put IV 25d42.0%37.7%46.3%43.9%40.4%
Bid-Ask Spread %10.116.9212.718.2610.59
Gamma HHI0.090.070.150.090.08
Net GEX-665.4K-37.5M26.9M25.9M-37.5M
Net DEX-886.9M-1.93B120.7M-1.93B120.7M
Net VEX-9.9M-10.7M-9.4M-9.5M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.289.160.281.84
Total Volume79,573.38123,878176,03476,93799,029
Total OI1,985,340.5711,646,3972,272,3671,841,4901,936,489

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$43.56$38.0039.8%11.4%36.5%5.1%41.4%6.2%-0.0%25.9M-1.93B-9.5M0.288.2660,30016,637890,085951,405
2009-08-04$42.79$38.0041.0%11.7%34.1%6.1%43.9%5.9%0.5%26.9M-1.76B-9.8M5.756.928,18947,049916,598963,991
2009-08-05$41.79$38.0041.1%11.8%35.5%6.3%43.1%5.0%0.4%21.6M-1.44B-10.0M3.357.1619,26364,501916,901996,607
2009-08-06$41.99$38.0042.0%12.0%35.3%7.1%45.2%5.8%0.2%19.6M-1.47B-10.2M2.088.1520,97743,673929,2931,036,264
2009-08-07$41.81$42.0040.4%11.7%35.1%5.6%41.5%5.9%0.7%17.8M-1.43B-10.2M1.3911.4532,66145,383940,9841,053,240
2009-08-10$41.88$42.0040.3%11.6%34.9%5.5%37.3%6.4%0.6%16.2M-1.39B-10.1M0.7712.7151,37139,712944,6081,103,430
2009-08-11$41.37$44.0039.6%11.6%35.2%4.9%40.5%6.8%0.8%14.3M-1.16B-10.0M1.5811.6719,35730,570970,0941,097,487
2009-08-12$41.54$44.0036.9%11.0%32.4%2.6%40.9%6.8%1.9%14.1M-1.21B-9.9M1.1110.2928,36331,493963,7401,106,161
2009-08-13$41.78$44.0038.2%11.0%32.2%3.7%38.4%6.9%2.1%16.8M-1.31B-9.7M0.928.4612,43711,441968,4991,117,712
2009-08-14$41.04$44.0039.2%11.2%32.7%4.6%39.2%6.2%1.7%10.3M-1.04B-9.7M1.9910.7627,73855,274975,7281,100,304
2009-08-17$39.13$42.0042.9%12.3%34.1%7.9%42.6%7.0%0.3%-7.0M-273.3M-9.6M2.8812.0445,346130,688997,0241,137,681
2009-08-18$40.03$42.0040.2%11.5%35.2%5.4%41.3%6.6%1.9%-7.8M-582.1M-9.7M2.0711.0221,12843,7921,027,2261,184,923
2009-08-19$40.06$42.0039.7%11.4%35.2%5.1%39.7%6.8%2.2%-10.2M-589.7M-9.6M1.2311.9341,10350,4291,019,7331,195,472
2009-08-20$40.60$42.0037.5%10.8%32.3%3.1%40.6%6.5%3.1%-13.7M-785.1M-9.8M1.0711.6643,27546,3951,033,7201,216,484
2009-08-21$40.78$42.0035.8%10.2%32.3%1.5%36.7%5.9%3.7%-26.2M-872.8M-9.7M1.6010.5832,88852,5241,049,0081,223,359
2009-08-24$40.40$42.0036.4%10.4%32.1%2.1%36.2%6.1%2.0%-11.6M-383.4M-9.4M1.4310.8913,74119,694737,002909,395
2009-08-25$40.53$42.0034.0%9.7%32.1%0.0%35.4%5.9%2.3%-12.8M-401.3M-9.4M1.267.2633,20441,800743,154922,578
2009-08-26$40.26$42.0035.2%10.1%29.3%1.1%35.0%6.0%1.6%-17.0M-349.7M-9.8M9.169.1010,07992,330769,723959,458
2009-08-27$40.30$42.0035.0%10.0%28.4%0.9%35.8%5.9%1.9%-23.7M-278.6M-10.2M2.9611.7122,46566,407772,3871,036,630
2009-08-28$39.81$42.0036.0%10.3%28.6%1.8%35.8%5.0%1.1%-29.9M-93.5M-10.3M2.979.6124,77973,556781,2851,096,290
2009-08-31$39.31$41.0038.1%10.9%24.0%3.6%37.5%4.9%1.0%-37.5M120.7M-10.7M1.8410.5934,83264,197788,8181,147,671