FXI Options History — October 2009

In October 2009, FXI traded between $39.51 and $44.49. ATM implied volatility averaged 31.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.8% (HV 20d: 28.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.00.

Notable Days

  • 2009-10-29: Highest Volume — 116,241 contracts
  • 2009-10-12: Largest IV spike — 22.3% change
  • 2009-10-30: Highest IV Rank — 13.5%
  • 2009-10-30: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.81$39.51$44.49$39.65$41.70
Max Pain$40.23$40.00$41.00$40.00$41.00
ATM IV31.9%26.4%38.2%33.5%38.2%
Expected Move9.4%8.9%11.0%9.6%11.0%
HV 20d28.1%26.1%32.6%29.6%32.6%
HV 60d29.1%26.9%30.8%30.3%28.8%
IV Rank4.8%0.0%13.5%2.6%13.5%
IV Percentile6.0%0.0%25.0%6.0%25.0%
Term Structure1.3%0.1%3.4%3.4%0.9%
VWIV34.3%30.6%40.2%34.0%40.2%
Skew 25d5.2%4.5%6.7%5.0%5.8%
Skew 10d10.6%6.9%13.2%11.6%11.8%
Call IV 25d30.9%28.8%36.6%32.2%36.6%
Put IV 25d36.0%33.6%42.4%37.2%42.4%
Bid-Ask Spread %8.817.2910.758.139.19
Gamma HHI0.080.060.100.100.08
Net GEX-20.7M-63.7M10.5M-58.3M-47.6M
Net DEX-990.5M-1.76B259.6M193.2M-148.2M
Net VEX-9.4M-11.2M-8.2M-11.2M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.557.924.782.56
Total Volume56,446.63620,207116,24158,90764,487
Total OI2,384,443.0452,154,6822,547,4142,346,5332,445,438

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$39.65$40.0033.5%9.6%29.6%2.6%34.0%5.0%3.4%-58.3M193.2M-11.2M4.788.1310,19748,710821,7681,524,765
2009-10-02$39.51$40.0032.4%9.3%28.3%1.6%34.2%4.8%3.1%-63.7M259.6M-11.2M1.538.2931,94548,959827,6371,551,762
2009-10-05$40.47$40.0033.8%10.2%26.6%2.8%36.9%6.7%0.7%-52.1M-154.8M-10.9M3.4310.4110,98737,653845,8731,567,896
2009-10-06$41.53$40.0032.1%9.8%26.1%1.4%35.7%5.9%0.7%-38.8M-598.7M-10.6M2.027.2921,35343,206850,9881,584,914
2009-10-07$42.02$40.0031.0%9.7%26.4%0.5%33.6%6.3%0.8%-29.6M-810.2M-10.3M1.1110.759,56710,640859,9391,580,159
2009-10-08$42.73$40.0028.4%9.4%26.9%0.0%34.9%5.1%1.2%-13.7M-1.16B-9.7M1.199.2913,52416,072863,2461,582,818
2009-10-09$42.89$40.0026.4%8.9%26.8%0.0%31.0%5.3%2.2%-12.1M-1.19B-9.5M0.557.8825,72614,116860,2151,586,647
2009-10-12$42.45$40.0032.3%9.3%27.1%4.9%34.9%5.1%1.5%-14.3M-1.09B-9.2M6.198.467,61447,139872,7331,591,862
2009-10-13$42.77$40.0028.8%9.1%27.2%2.3%35.4%5.7%1.5%-13.5M-1.17B-9.2M5.519.007,39840,747865,9581,617,973
2009-10-14$44.29$40.0029.6%9.1%27.2%3.2%33.5%4.8%1.5%8.9M-1.76B-8.4M0.888.0129,52526,000867,4801,640,709
2009-10-15$44.16$40.0031.4%9.0%27.1%4.9%33.6%4.9%1.5%10.5M-1.74B-8.3M5.178.4011,34558,654871,3341,648,186
2009-10-16$43.17$40.0032.1%9.2%28.3%6.5%32.6%4.9%1.5%-8.3M-1.33B-8.9M0.7410.4238,73928,598869,5501,677,864
2009-10-19$44.49$40.0031.1%8.9%29.8%5.4%32.9%5.0%1.1%-2.4M-1.52B-8.2M1.047.6134,87736,402797,9091,356,773
2009-10-20$44.18$40.0031.6%9.1%29.9%5.9%33.5%4.5%1.3%-4.0M-1.47B-8.6M5.448.3812,95870,547819,1451,384,186
2009-10-21$43.91$40.0031.4%9.0%29.0%5.7%34.0%4.7%1.3%-11.2M-1.37B-8.7M2.638.6415,59841,044821,6601,416,797
2009-10-22$44.32$40.0031.3%9.0%27.1%5.6%30.6%5.1%1.0%-9.0M-1.48B-8.8M1.619.8823,87038,390833,7941,447,754
2009-10-23$44.36$40.0031.1%8.9%27.1%5.3%32.6%4.8%0.8%-8.2M-1.40B-8.8M2.608.459,05423,554822,4931,487,200
2009-10-26$43.95$41.0033.1%9.5%27.5%7.6%35.1%4.6%1.0%-14.5M-1.21B-8.9M2.399.418,23619,711818,1041,496,204
2009-10-27$43.86$41.0033.1%9.5%27.5%7.7%32.8%4.8%0.9%-14.6M-1.21B-9.1M2.378.016,36315,080840,8971,511,908
2009-10-28$42.19$41.0036.5%10.5%30.9%11.5%38.2%5.7%0.1%-33.3M-527.8M-9.8M4.2310.4712,80654,194843,2051,522,157
2009-10-29$43.23$41.0033.2%9.5%29.3%7.7%34.9%4.7%1.2%-25.3M-893.9M-9.2M7.927.4213,028103,213823,1551,536,692
2009-10-30$41.70$41.0038.2%11.0%32.6%13.5%40.2%5.8%0.9%-47.6M-148.2M-10.3M2.569.1918,10346,384828,7281,616,710