FXI Options History — January 2010

In January 2010, FXI traded between $38.33 and $44.56. ATM implied volatility averaged 27.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.4% (HV 20d: 24.3%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.35.

Notable Days

  • 2010-01-21: Highest Volume — 221,361 contracts
  • 2010-01-22: Largest IV spike — 18.7% change
  • 2010-01-22: Highest IV Rank — 26.5%
  • 2010-01-22: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.51$38.33$44.56$43.14$38.36
Max Pain$42.58$41.00$43.00$43.00$41.00
ATM IV27.6%22.7%35.4%24.8%32.3%
Expected Move8.2%6.9%10.2%8.1%9.2%
HV 20d24.3%18.8%31.0%19.1%31.0%
HV 60d27.8%26.3%29.5%27.5%27.2%
IV Rank9.7%0.0%26.5%2.4%19.9%
IV Percentile10.2%0.0%38.9%1.6%27.4%
Term Structure2.4%-0.3%4.4%3.8%1.5%
VWIV29.5%24.6%34.9%29.3%31.7%
Skew 25d4.5%3.2%5.9%5.0%4.4%
Skew 10d9.6%6.5%12.2%10.3%9.2%
Call IV 25d26.8%22.9%32.7%25.9%30.4%
Put IV 25d31.4%26.2%38.6%30.9%34.8%
Bid-Ask Spread %3.472.504.283.654.28
Gamma HHI0.130.080.170.100.14
Net GEX-42.2M-71.9M5.5M-23.1M-69.2M
Net DEX471.8M-528.7M1.40B4.8M1.36B
Net VEX-6.7M-8.5M-5.4M-5.9M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.535.430.885.43
Total Volume98,062.47431,211221,36135,103126,898
Total OI1,502,700.632894,4911,860,3491,669,2821,435,564

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$43.14$43.0024.8%8.1%19.1%2.4%29.3%5.0%3.8%-23.1M4.8M-5.9M0.883.6518,71916,384515,2991,153,983
2010-01-05$44.03$43.0024.4%7.8%19.8%1.8%28.3%4.7%3.8%-2.9M-360.0M-5.6M0.533.4520,34910,862522,3661,159,083
2010-01-06$44.56$43.0022.7%7.5%19.7%0.0%29.3%4.5%4.4%5.5M-528.7M-5.4M2.443.1513,73633,503529,0711,154,969
2010-01-07$43.87$43.0024.9%7.9%18.8%3.7%30.2%4.3%3.2%-7.4M-290.7M-5.6M5.393.7810,04554,190527,2791,178,168
2010-01-08$44.00$43.0023.0%7.4%18.8%0.5%28.5%4.5%4.3%-10.9M-276.1M-5.6M3.443.3511,94041,098531,0361,213,179
2010-01-11$44.07$43.0025.0%7.6%18.8%3.9%28.5%4.9%3.1%-11.4M-274.9M-5.5M2.393.079,36122,390534,1051,229,407
2010-01-12$43.00$43.0028.2%8.1%20.8%9.5%29.6%5.1%2.6%-27.9M79.5M-5.7M3.733.4915,30057,045533,5221,229,992
2010-01-13$42.48$43.0026.2%7.8%21.1%6.1%28.6%4.2%2.8%-42.9M244.4M-5.7M2.023.7427,82156,289540,4961,254,256
2010-01-14$42.13$43.0026.6%7.6%21.0%6.8%27.8%4.6%2.8%-57.3M326.1M-5.9M0.843.6265,80855,024550,8361,270,039
2010-01-15$41.45$43.0027.0%7.7%21.5%8.0%27.0%4.9%2.8%-54.2M558.1M-6.0M2.603.6523,62661,488577,1511,283,198
2010-01-19$42.77$43.0024.1%6.9%22.2%2.6%24.6%3.2%1.6%-38.5M250.5M-6.0M1.262.5072,23090,864246,025648,466
2010-01-20$41.14$43.0026.5%7.6%26.3%7.3%26.9%3.6%1.6%-54.5M578.9M-6.6M1.963.1760,780118,929293,607703,029
2010-01-21$39.61$43.0029.8%8.6%29.5%14.9%30.2%4.7%1.3%-63.2M997.2M-7.4M2.873.2657,221164,140340,240789,704
2010-01-22$39.07$42.0035.4%10.2%29.8%26.5%34.9%5.9%-0.3%-59.0M1.11B-7.9M3.263.3931,233101,903375,664849,238
2010-01-25$39.69$42.0029.9%8.6%30.1%15.0%31.4%4.1%1.6%-71.5M1.09B-8.5M2.183.8333,96674,189386,280914,711
2010-01-26$38.55$42.0031.3%9.0%30.8%18.0%31.6%3.9%1.3%-71.7M1.33B-8.0M1.163.1641,54748,397397,678922,817
2010-01-27$38.33$42.0032.2%9.2%30.8%19.8%31.3%4.6%1.5%-71.9M1.40B-8.0M1.223.4669,08884,190410,891931,939
2010-01-28$38.51$41.0031.0%8.9%31.0%17.3%31.6%5.3%1.8%-70.5M1.36B-8.4M0.993.9731,54831,086452,667965,357
2010-01-29$38.36$41.0032.3%9.2%31.0%19.9%31.7%4.4%1.5%-69.2M1.36B-8.5M5.434.2819,735107,163465,901969,663