FXI Options History — November 2010

In November 2010, FXI traded between $43.20 and $47.93. ATM implied volatility averaged 26.5%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.9% (HV 20d: 23.6%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2010-11-17: Highest Volume — 135,581 contracts
  • 2010-11-09: Largest IV spike — 12.3% change
  • 2010-11-30: Highest IV Rank — 46.7%
  • 2010-11-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.51$43.20$47.93$45.43$43.34
Max Pain$46.00$43.00$47.00$43.00$46.00
ATM IV26.5%22.1%30.7%26.0%30.7%
Expected Move7.7%6.7%8.8%7.5%8.8%
HV 20d23.6%19.8%27.3%20.6%27.2%
HV 60d20.0%18.2%21.6%19.1%21.6%
IV Rank31.8%15.9%46.7%30.1%46.7%
IV Percentile48.8%9.1%79.0%43.3%79.0%
Term Structure-0.1%-2.1%1.0%-0.3%-2.1%
VWIV27.2%23.4%31.6%25.5%30.5%
Skew 25d3.8%1.4%5.5%2.5%5.5%
Skew 10d8.9%3.7%14.5%5.6%12.1%
Call IV 25d25.2%22.9%28.2%24.9%28.2%
Put IV 25d29.0%24.3%33.7%27.3%33.7%
Bid-Ask Spread %3.782.524.642.863.09
Gamma HHI0.090.070.120.070.08
Net GEX621.6K-44.7M60.3M6.1M-44.0M
Net DEX-986.1M-2.32B329.4M-1.15B281.7M
Net VEX-8.9M-9.7M-8.4M-9.5M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.406.600.830.79
Total Volume68,441.04819,165135,58134,51591,812
Total OI2,255,965.1431,816,8632,582,9942,264,5001,957,561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$45.43$43.0026.0%7.5%20.6%30.1%25.5%2.5%-0.3%6.1M-1.15B-9.5M0.832.8618,83515,680881,9141,382,586
2010-11-02$46.01$43.0025.4%7.3%19.8%27.8%25.8%2.8%-0.4%18.5M-1.39B-9.5M0.494.1912,8226,343888,4161,383,213
2010-11-03$46.99$43.0025.1%7.2%20.9%26.7%25.1%2.3%-0.4%38.4M-1.89B-8.7M0.404.5845,59218,100890,5801,385,403
2010-11-04$47.88$43.0023.3%6.7%21.1%20.1%23.8%1.4%1.0%56.4M-2.32B-8.4M1.123.7035,73039,937912,8271,392,093
2010-11-05$47.83$47.0022.1%6.8%21.0%15.9%23.4%2.9%0.5%55.0M-2.22B-8.6M0.984.0341,90441,000916,0941,414,097
2010-11-08$47.93$47.0022.2%6.9%20.9%16.3%23.5%3.2%0.6%60.3M-2.32B-8.5M0.604.6414,2358,556938,4751,420,341
2010-11-09$46.91$47.0024.9%7.4%22.6%26.1%26.6%3.3%-0.0%41.2M-1.84B-8.9M3.984.2219,72778,427932,9091,423,822
2010-11-10$47.24$47.0024.5%7.4%21.3%24.5%27.7%3.4%0.4%39.3M-1.97B-8.5M1.604.5412,50119,961941,1141,486,274
2010-11-11$47.45$47.0025.4%7.3%21.3%27.9%26.5%3.2%0.5%44.4M-2.05B-8.4M6.603.819,37361,840946,3101,497,211
2010-11-12$46.02$47.0027.4%7.9%24.1%35.2%27.9%4.6%-0.3%7.0M-1.21B-9.7M1.184.1152,12561,388950,1041,515,178
2010-11-15$45.42$47.0028.0%8.0%24.5%37.0%28.5%4.2%-0.6%-6.8M-935.7M-9.4M1.593.7417,18127,389968,7741,524,486
2010-11-16$44.11$47.0030.3%8.7%25.2%45.3%31.2%4.8%-1.0%-37.7M-292.8M-9.4M2.513.9136,90492,647964,9921,522,696
2010-11-17$44.16$47.0029.0%8.3%23.9%40.8%31.6%4.5%-0.5%-44.7M-353.9M-9.2M4.703.9623,806111,775974,0641,545,715
2010-11-18$45.10$47.0026.8%7.7%25.3%32.7%27.7%3.9%0.1%-15.0M-891.7M-9.1M2.663.4921,07956,048988,2391,594,755
2010-11-19$44.66$47.0025.7%7.4%25.2%28.8%26.6%4.5%0.7%-18.5M-558.4M-8.9M1.714.5828,60749,030969,7631,601,713
2010-11-22$44.48$47.0026.3%7.5%24.8%31.2%25.1%3.2%0.3%-29.6M-178.2M-8.6M1.182.5219,13422,585696,2931,120,570
2010-11-23$43.47$46.0029.3%8.4%25.9%41.9%29.8%4.8%-0.3%-39.0M238.5M-9.0M1.552.8922,56934,968701,8401,129,661
2010-11-24$44.20$46.0026.4%7.6%25.5%31.3%26.7%4.0%0.3%-35.8M-54.9M-8.8M0.413.3517,0566,973711,1071,159,256
2010-11-26$43.20$46.0029.4%8.4%26.7%42.4%29.1%5.1%-0.9%-42.9M329.4M-8.9M2.083.369,68520,140712,2291,152,653
2010-11-29$43.84$46.0028.7%8.2%27.3%39.7%29.2%5.0%-0.6%-39.4M76.2M-8.6M1.153.8552,87760,921718,5201,161,420
2010-11-30$43.34$46.0030.7%8.8%27.2%46.7%30.5%5.5%-2.1%-44.0M281.7M-8.8M0.793.0951,40040,412756,2541,201,307