FXI Options History — October 2010

In October 2010, FXI traded between $43.10 and $46.33. ATM implied volatility averaged 22.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.6% (HV 20d: 17.1%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2010-10-14: Highest Volume — 139,123 contracts
  • 2010-10-14: Largest IV spike — 39.7% change
  • 2010-10-27: Highest IV Rank — 27.7%
  • 2010-10-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.13$43.10$46.33$43.10$44.97
Max Pain$42.14$42.00$43.00$42.00$43.00
ATM IV22.7%17.6%25.4%21.1%24.4%
Expected Move6.9%6.0%7.3%6.0%7.0%
HV 20d17.1%14.6%20.4%15.5%20.4%
HV 60d19.0%17.8%20.0%19.9%19.0%
IV Rank15.9%0.0%27.7%6.4%24.2%
IV Percentile17.6%0.0%38.9%2.4%29.4%
Term Structure0.9%-0.2%2.4%2.4%0.2%
VWIV24.4%21.5%26.9%21.5%25.5%
Skew 25d3.1%2.0%3.9%2.9%2.0%
Skew 10d6.7%5.4%9.3%6.3%5.9%
Call IV 25d22.7%19.9%24.2%19.9%23.9%
Put IV 25d25.8%22.8%27.6%22.8%25.9%
Bid-Ask Spread %3.812.585.383.104.43
Gamma HHI0.100.070.160.090.07
Net GEX17.9M-9.0M33.1M-9.0M-2.8M
Net DEX-1.27B-1.83B-549.9M-549.9M-961.4M
Net VEX-9.5M-10.4M-8.5M-10.4M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.316.052.202.41
Total Volume66,993.14324,260139,12334,65332,045
Total OI2,118,093.2381,975,6462,297,8062,010,9702,257,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$43.10$42.0021.1%6.0%15.5%6.4%21.5%2.9%2.4%-9.0M-549.9M-10.4M2.203.1010,81823,835714,5071,296,463
2010-10-04$43.35$42.0021.7%6.8%15.5%9.0%24.3%3.9%1.5%-2.5M-663.5M-10.0M1.393.4310,14614,114710,2281,306,967
2010-10-05$44.27$42.0021.0%6.6%16.0%6.1%22.8%3.5%1.8%13.1M-1.08B-9.3M0.602.6625,87015,569711,1141,313,049
2010-10-06$44.24$42.0021.8%6.8%16.1%9.2%22.9%3.3%1.9%13.3M-1.06B-9.4M0.792.5846,33736,520722,2231,314,603
2010-10-07$43.86$42.0021.3%6.8%16.7%7.5%23.6%3.3%1.8%11.3M-875.2M-9.8M0.702.8931,53222,152737,3131,343,292
2010-10-08$44.40$42.0020.1%6.9%16.8%2.5%24.3%3.1%1.5%20.4M-1.11B-9.8M0.572.7946,12226,159747,5151,371,180
2010-10-11$44.82$42.0019.5%6.7%14.6%0.6%23.1%2.8%1.1%33.1M-1.39B-8.8M0.512.7517,1248,760769,5711,339,738
2010-10-12$44.68$42.0019.5%6.5%14.8%0.6%23.6%2.8%1.5%32.9M-1.30B-9.2M3.032.879,31828,262769,9721,343,699
2010-10-13$45.74$42.0017.6%6.9%16.0%0.0%24.4%2.8%0.7%32.4M-1.72B-8.5M1.145.1962,70571,262768,1341,365,800
2010-10-14$45.88$42.0024.6%7.1%15.6%25.1%24.8%3.3%0.6%25.3M-1.74B-9.1M0.974.2270,55668,567793,7581,416,404
2010-10-15$46.20$42.0024.6%7.1%15.5%25.0%24.4%3.0%1.3%16.3M-1.83B-9.3M0.543.9878,10841,794826,9601,470,846
2010-10-18$46.33$42.0024.1%6.9%15.3%23.4%23.1%2.9%1.3%26.9M-1.62B-9.0M0.313.9448,74215,188781,4971,194,149
2010-10-19$45.24$42.0025.3%7.2%18.2%27.3%26.4%3.5%0.2%22.5M-1.25B-9.5M2.905.3827,57079,875836,3531,195,643
2010-10-20$46.18$42.0024.3%7.0%18.9%23.9%24.5%2.8%0.2%24.7M-1.53B-9.5M0.664.4741,40627,488826,3031,250,566
2010-10-21$46.14$42.0024.1%6.9%18.4%23.3%24.4%3.3%0.6%29.0M-1.55B-9.6M6.054.418,24949,903852,3561,266,199
2010-10-22$45.67$42.0023.2%6.7%17.9%20.1%24.4%2.8%0.6%22.6M-1.35B-9.5M3.744.7113,39650,147845,0151,283,424
2010-10-25$46.22$42.0023.4%6.7%17.9%20.6%23.7%2.9%0.3%29.2M-1.57B-9.3M1.193.3125,21829,949853,5941,309,057
2010-10-26$46.17$42.0024.5%7.0%17.8%24.6%26.3%3.4%0.2%28.9M-1.54B-9.5M4.774.1413,61264,916860,1421,299,174
2010-10-27$45.08$43.0025.4%7.3%20.4%27.7%26.8%3.7%-0.2%6.6M-1.02B-9.9M2.754.3416,62545,708861,0791,329,926
2010-10-28$45.11$43.0025.3%7.3%20.4%27.6%26.9%2.9%-0.1%2.3M-987.8M-10.0M1.264.3522,68028,509864,7561,359,614
2010-10-29$44.97$43.0024.4%7.0%20.4%24.2%25.5%2.0%0.2%-2.8M-961.4M-9.7M2.414.439,39622,649879,8001,377,975