FXI Options History — December 2009

In December 2009, FXI traded between $41.32 and $45.33. ATM implied volatility averaged 28.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.1% (HV 20d: 26.6%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.13.

Notable Days

  • 2009-12-18: Highest Volume — 1,060,437 contracts
  • 2009-12-22: Largest IV drop — 10.0% change
  • 2009-12-08: Highest IV Rank — 10.1%
  • 2009-12-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.07$41.32$45.33$44.91$42.26
Max Pain$41.14$40.00$43.00$43.00$42.00
ATM IV28.7%23.4%32.5%32.5%24.2%
Expected Move8.3%6.7%9.5%9.3%6.9%
HV 20d26.6%17.0%31.2%31.2%17.2%
HV 60d29.0%27.3%29.9%29.9%27.3%
IV Rank5.2%0.0%10.1%8.8%1.4%
IV Percentile3.9%0.0%14.7%14.3%1.2%
Term Structure2.3%0.6%4.6%0.8%4.6%
VWIV30.4%23.2%47.0%32.1%23.8%
Skew 25d4.7%3.2%6.3%4.4%3.2%
Skew 10d9.3%6.1%12.7%8.3%6.1%
Call IV 25d27.2%21.9%31.0%30.6%22.7%
Put IV 25d31.9%25.4%37.2%35.0%25.9%
Bid-Ask Spread %3.262.623.893.613.00
Gamma HHI0.100.080.150.080.11
Net GEX-27.8M-65.1M-8.2M-16.2M-30.7M
Net DEX-178.8M-915.0M449.1M-788.3M202.8M
Net VEX-6.8M-7.7M-6.0M-7.5M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.056.760.541.12
Total Volume81,6327,8441,060,43732,35924,804
Total OI1,814,604.6361,543,0222,032,9301,883,0071,658,209

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$44.91$43.0032.5%9.3%31.2%8.8%32.1%4.4%0.8%-16.2M-788.3M-7.5M0.543.6121,01011,349613,4251,269,582
2009-12-02$45.00$43.0031.2%9.0%31.1%7.2%33.0%4.2%1.8%-12.9M-826.8M-7.6M3.223.287,04522,658626,5901,247,757
2009-12-03$44.68$43.0030.7%8.8%31.0%6.6%30.9%4.4%1.4%-15.5M-724.4M-7.7M0.403.1414,6685,900626,7041,258,734
2009-12-04$45.33$40.0031.0%9.4%30.3%7.1%31.6%6.1%0.6%-8.2M-915.0M-7.6M0.563.8021,23411,907632,4271,261,251
2009-12-07$44.64$40.0030.7%9.3%30.9%7.2%33.1%5.9%0.7%-11.8M-751.6M-7.4M3.053.896,55119,978642,7441,262,872
2009-12-08$43.65$40.0032.3%9.5%29.1%10.1%34.5%6.2%0.7%-25.5M-429.1M-7.5M3.113.566,89021,395645,1111,263,544
2009-12-09$43.58$40.0030.6%9.4%29.0%7.2%32.6%6.3%0.9%-29.3M-392.8M-7.2M1.193.0123,73228,237645,2351,271,596
2009-12-10$43.53$40.0031.8%9.1%29.0%9.2%35.2%5.6%1.4%-26.1M-399.6M-7.3M6.053.433,86723,388660,0461,276,219
2009-12-11$43.58$40.0030.5%8.8%28.4%7.1%33.6%5.6%1.8%-24.5M-433.5M-7.1M1.403.308,14211,436654,8201,286,614
2009-12-14$43.76$40.0030.2%8.7%27.7%6.6%31.6%5.5%1.8%-18.5M-524.0M-6.6M2.343.548,38119,612656,1471,283,276
2009-12-15$43.28$40.0029.9%8.6%26.5%6.0%31.7%5.3%2.0%-25.3M-347.8M-6.4M2.453.559,94224,386657,5781,293,259
2009-12-16$42.94$40.0029.0%8.3%26.5%4.7%27.6%5.1%2.3%-26.5M-228.8M-6.4M1.132.6336,96541,647656,6261,300,388
2009-12-17$41.76$40.0030.0%8.6%27.7%6.6%31.6%5.2%2.5%-64.6M302.3M-6.6M2.112.6220,39843,122685,2521,324,153
2009-12-18$41.50$40.0030.5%8.7%27.0%7.4%47.0%4.7%2.4%-65.1M449.1M-6.6M0.053.321,014,62545,812689,1341,343,796
2009-12-21$41.38$42.0028.3%8.1%27.0%3.4%28.4%4.5%2.4%-32.8M369.3M-6.3M1.453.1517,58625,448491,0391,051,983
2009-12-22$41.32$42.0025.5%7.3%25.3%0.0%25.8%3.7%3.6%-29.2M342.3M-6.1M6.763.418,84359,790498,5301,062,496
2009-12-23$41.76$42.0023.9%6.9%25.7%0.0%25.1%3.4%3.8%-33.0M315.3M-6.5M1.363.2012,70817,296500,9441,126,357
2009-12-24$42.38$42.0023.4%6.7%26.4%0.0%23.2%3.4%4.2%-24.8M135.7M-6.3M0.842.984,2733,571502,0311,111,558
2009-12-28$42.18$42.0025.2%7.2%20.9%3.1%26.4%3.8%3.8%-27.0M187.5M-6.1M3.523.056,34722,320502,5741,111,894
2009-12-29$42.04$42.0025.5%7.3%20.2%3.6%25.7%3.7%3.4%-31.1M251.3M-6.1M2.553.527,44518,968502,2121,125,921
2009-12-30$42.01$42.0024.0%6.9%17.0%1.0%24.5%3.3%4.5%-33.2M273.0M-6.1M1.752.7011,70820,520502,1961,138,478
2009-12-31$42.26$42.0024.2%6.9%17.2%1.4%23.8%3.2%4.6%-30.7M202.8M-6.0M1.123.0011,71313,091509,8861,148,323