FXI Options History — November 2009

In November 2009, FXI traded between $42.55 and $46.35. ATM implied volatility averaged 32.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.4% (HV 20d: 32.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2009-11-03: Highest Volume — 94,987 contracts
  • 2009-11-27: Largest IV spike — 21.2% change
  • 2009-11-02: Highest IV Rank — 14.2%
  • 2009-11-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.67$42.55$46.35$42.74$43.70
Max Pain$42.60$41.00$43.00$41.00$43.00
ATM IV32.6%27.7%38.8%38.8%34.3%
Expected Move9.4%7.9%11.1%11.1%9.8%
HV 20d32.2%29.7%34.1%32.6%31.0%
HV 60d29.1%28.1%30.5%29.2%30.2%
IV Rank7.4%1.7%14.2%14.2%11.4%
IV Percentile10.5%0.4%25.8%25.8%22.6%
Term Structure0.6%-0.2%1.7%-0.1%0.3%
VWIV34.5%29.2%40.9%40.8%36.1%
Skew 25d5.1%4.0%6.5%6.3%4.8%
Skew 10d10.8%7.4%14.1%14.1%10.1%
Call IV 25d30.8%26.4%36.5%36.5%32.6%
Put IV 25d36.0%30.4%42.8%42.8%37.4%
Bid-Ask Spread %3.912.894.794.564.39
Gamma HHI0.080.070.090.070.08
Net GEX-10.3M-40.8M18.1M-39.1M-30.2M
Net DEX-1.36B-2.32B-236.5M-557.7M-358.7M
Net VEX-8.3M-10.0M-7.1M-10.0M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.728.481.562.67
Total Volume58,622.328,19294,98785,77178,785
Total OI2,443,9091,727,1192,758,2032,469,5851,836,313

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$42.74$41.0038.8%11.1%32.6%14.2%40.8%6.3%-0.1%-39.1M-557.7M-10.0M1.564.5633,44052,331834,6871,634,898
2009-11-03$42.55$41.0038.5%11.0%31.5%13.8%40.9%6.5%-0.2%-40.8M-515.8M-10.0M2.074.1830,98364,004853,3461,667,575
2009-11-04$43.19$41.0037.7%10.8%31.7%12.9%38.4%5.7%-0.1%-35.0M-809.2M-10.0M2.314.3111,93527,615873,2601,707,699
2009-11-05$44.21$41.0034.4%9.9%32.2%9.1%35.8%5.9%1.5%-14.8M-1.32B-9.3M0.722.8954,56839,464880,3821,714,304
2009-11-06$44.17$43.0031.9%9.8%32.2%6.2%37.5%5.6%0.4%-13.2M-1.37B-9.2M1.544.7912,93919,884899,0381,743,829
2009-11-09$45.72$43.0031.0%9.4%33.9%5.2%35.2%5.4%0.2%9.1M-2.03B-8.1M1.434.2226,99438,480902,7981,743,147
2009-11-10$45.37$43.0032.2%9.7%34.1%6.6%35.2%5.5%0.5%-2.5M-1.80B-8.6M1.464.0519,43028,362906,1811,756,696
2009-11-11$45.46$43.0031.8%9.6%32.0%6.2%35.3%5.5%0.2%8.5M-1.91B-8.1M0.774.0335,18627,133902,0931,768,860
2009-11-12$44.63$43.0032.8%9.4%32.7%7.2%33.6%5.3%0.5%-2.9M-1.60B-8.5M1.044.2526,35527,280914,5521,781,805
2009-11-13$45.38$43.0032.0%9.2%32.0%6.4%35.4%5.0%1.0%6.7M-1.95B-8.2M3.163.679,19229,082917,6351,786,706
2009-11-16$46.35$43.0031.8%9.1%31.1%6.1%31.5%5.0%0.4%18.1M-2.32B-7.4M0.864.5343,08337,159916,9631,792,993
2009-11-17$46.22$43.0031.3%9.0%31.0%5.5%33.9%4.9%0.4%16.8M-2.25B-7.6M2.143.659,13819,532925,7631,814,156
2009-11-18$45.62$43.0031.0%8.9%31.3%5.2%32.4%5.0%0.2%5.5M-2.01B-7.7M3.003.777,05521,137918,0171,823,502
2009-11-19$44.67$43.0031.7%9.1%32.2%6.0%32.3%5.1%0.5%-7.6M-1.64B-8.0M2.024.1616,59733,590920,6381,834,229
2009-11-20$44.60$43.0030.8%8.8%32.2%5.0%33.5%5.2%1.0%-16.1M-1.67B-7.7M1.143.5127,84531,712925,8201,832,383
2009-11-23$45.59$43.0027.7%7.9%32.9%1.7%29.6%4.0%1.7%-3.6M-1.07B-7.1M3.643.4217,89565,171592,2831,134,836
2009-11-24$45.01$43.0028.6%8.2%33.3%3.1%29.6%4.0%1.4%-13.8M-862.2M-7.5M8.483.387,33362,180596,4351,181,369
2009-11-25$45.16$43.0028.7%8.2%29.7%3.1%29.2%4.1%1.3%-15.1M-867.6M-7.5M1.733.3311,83120,486595,9851,227,277
2009-11-27$43.11$43.0034.8%10.0%33.5%12.1%34.7%4.2%0.1%-35.6M-236.5M-8.2M0.933.1524,44322,817601,9511,217,776
2009-11-30$43.70$43.0034.3%9.8%31.0%11.4%36.1%4.8%0.3%-30.2M-358.7M-8.2M2.674.3921,46757,318606,9701,229,343