FXI Options History — July 2010

In July 2010, FXI traded between $38.74 and $41.46. ATM implied volatility averaged 26.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.5% (HV 20d: 24.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2010-07-22: Highest Volume — 146,690 contracts
  • 2010-07-12: Largest IV spike — 23.3% change
  • 2010-07-01: Highest IV Rank — 49.9%
  • 2010-07-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.34$38.74$41.46$39.38$41.24
Max Pain$40.90$40.00$41.00$40.00$41.00
ATM IV26.4%22.1%32.8%32.8%23.7%
Expected Move7.7%6.8%9.4%9.4%6.8%
HV 20d24.9%21.9%27.4%26.6%21.9%
HV 60d30.5%29.2%31.1%30.8%29.2%
IV Rank24.8%7.9%49.9%49.9%14.2%
IV Percentile20.6%1.2%62.7%62.7%6.7%
Term Structure1.7%0.2%3.2%0.2%1.0%
VWIV27.7%24.1%33.5%33.5%24.1%
Skew 25d5.3%3.4%6.8%6.4%3.7%
Skew 10d11.7%8.0%15.8%15.3%8.0%
Call IV 25d24.8%22.0%30.0%30.0%22.0%
Put IV 25d30.0%25.7%36.4%36.4%25.7%
Bid-Ask Spread %2.682.053.202.732.59
Gamma HHI0.100.090.160.100.10
Net GEX-55.7M-100.0M-29.9M-66.9M-36.7M
Net DEX646.7M64.2M1.74B1.19B177.6M
Net VEX-12.9M-14.4M-12.1M-14.4M-12.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.525.792.603.36
Total Volume71,795.42937,112146,69087,43052,545
Total OI2,378,529.9052,161,2102,533,2682,374,9742,451,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$39.38$40.0032.8%9.4%26.6%49.9%33.5%6.4%0.2%-66.9M1.19B-14.4M2.602.7324,30563,125791,1981,583,776
2010-07-02$39.02$40.0028.6%8.2%25.2%33.6%29.6%4.7%3.2%-76.8M1.37B-14.2M1.253.0718,08622,666802,6281,612,874
2010-07-06$39.76$41.0029.4%8.5%25.7%36.6%31.0%6.8%2.1%-68.0M996.3M-13.6M2.152.9415,85534,057805,8061,599,535
2010-07-07$40.04$41.0027.6%8.2%24.8%29.4%29.8%6.7%2.8%-64.9M822.0M-13.5M1.442.7615,22821,884807,4121,610,721
2010-07-08$39.95$41.0025.3%8.0%24.7%20.3%28.1%6.1%2.6%-68.6M865.8M-13.3M0.703.2035,53824,892815,7961,610,097
2010-07-09$40.68$41.0022.1%7.5%24.1%7.9%26.2%5.6%3.0%-50.8M429.4M-13.2M0.523.1928,22614,556826,9801,621,573
2010-07-12$40.47$41.0027.3%8.0%24.1%28.2%28.3%6.1%2.6%-54.5M547.3M-12.8M1.482.8124,87236,697838,8981,622,809
2010-07-13$40.86$41.0022.8%7.5%24.2%10.4%28.1%5.8%2.4%-46.0M255.4M-12.9M1.242.7130,88438,283856,4331,636,407
2010-07-14$40.48$41.0026.9%7.9%23.1%26.9%27.5%6.2%2.1%-52.0M486.3M-12.8M1.012.8434,88835,230857,6771,626,738
2010-07-15$39.86$41.0027.0%7.7%23.6%27.0%28.1%6.1%2.6%-100.0M958.6M-12.5M1.712.9536,80062,875857,3911,628,357
2010-07-16$38.74$41.0028.3%8.1%25.3%32.3%29.3%6.4%2.2%-87.2M1.74B-12.3M5.792.9513,74679,571872,8341,660,434
2010-07-19$39.07$41.0026.8%7.7%25.5%26.4%26.5%6.1%1.2%-68.8M1.17B-12.1M1.003.1724,33024,351724,3421,436,868
2010-07-20$40.14$41.0026.7%7.6%26.1%25.8%27.5%5.0%0.2%-52.7M700.8M-12.4M1.933.0542,66682,341739,6181,447,649
2010-07-21$40.02$41.0027.4%7.9%25.6%28.7%28.1%4.8%0.3%-55.6M764.6M-12.7M1.012.0931,48231,896754,2841,490,513
2010-07-22$41.12$41.0025.8%7.4%27.4%22.3%27.9%4.1%1.3%-39.2M262.1M-12.7M1.112.0569,47677,214761,7501,498,716
2010-07-23$41.46$41.0026.1%7.5%27.1%23.7%26.3%4.6%0.7%-29.9M64.2M-12.9M2.122.3218,30238,873795,7821,498,479
2010-07-26$41.37$41.0025.6%7.3%26.9%21.6%27.7%3.8%1.3%-34.3M103.5M-12.7M1.852.3023,80644,080799,8721,507,826
2010-07-27$41.17$41.0024.7%7.1%26.9%18.0%24.9%4.0%1.5%-35.6M184.3M-12.5M5.122.196,50133,309808,1761,531,674
2010-07-28$41.18$41.0025.2%7.2%22.1%20.0%24.7%3.4%1.3%-40.3M233.9M-12.7M0.922.1939,13536,028813,6771,547,672
2010-07-29$41.09$41.0024.5%7.0%22.0%17.4%25.5%4.2%0.8%-39.9M256.9M-12.8M1.962.2440,23578,870840,0521,554,022
2010-07-30$41.24$41.0023.7%6.8%21.9%14.2%24.1%3.7%1.0%-36.7M177.6M-12.6M3.362.5912,03840,507859,6761,592,106