FXI Options History — January 2011

In January 2011, FXI traded between $42.03 and $44.69. ATM implied volatility averaged 20.8%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.0% (HV 20d: 16.8%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2011-01-12: Highest Volume — 155,518 contracts
  • 2011-01-28: Largest IV spike — 21.9% change
  • 2011-01-28: Highest IV Rank — 17.5%
  • 2011-01-10: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.65$42.03$44.69$43.73$42.55
Max Pain$43.60$42.00$44.00$42.00$44.00
ATM IV20.8%18.5%22.5%21.0%21.3%
Expected Move6.1%5.3%6.5%6.0%6.1%
HV 20d16.8%15.0%18.7%17.5%17.9%
HV 60d21.8%21.1%22.5%22.5%21.2%
IV Rank11.3%3.0%17.5%12.0%13.3%
IV Percentile8.3%0.4%25.4%5.2%12.3%
Term Structure2.2%0.8%3.0%1.8%0.9%
VWIV21.5%18.3%23.9%21.1%22.1%
Skew 25d2.9%2.2%4.1%3.4%2.8%
Skew 10d6.2%3.6%8.5%6.6%6.4%
Call IV 25d20.2%17.6%21.4%20.2%20.7%
Put IV 25d23.0%19.9%25.3%23.5%23.5%
Bid-Ask Spread %3.511.986.971.986.97
Gamma HHI0.150.120.180.120.17
Net GEX-25.8M-66.5M11.5M-6.9M-65.5M
Net DEX-73.4M-813.1M1.03B-307.8M844.0M
Net VEX-7.8M-8.3M-7.3M-7.9M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.735.011.070.98
Total Volume80,571.430,785155,51849,01793,469
Total OI1,926,627.21,116,9742,400,9702,069,2751,304,147

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$43.73$42.0021.0%6.0%17.5%12.0%21.1%3.4%1.8%-6.9M-307.8M-7.9M1.071.9823,67225,345823,2971,245,978
2011-01-04$44.28$42.0020.4%5.9%17.5%10.0%20.7%2.7%1.2%5.2M-626.0M-7.7M3.312.1825,81385,346826,5441,259,046
2011-01-05$44.32$42.0021.0%6.0%17.5%12.1%21.7%2.7%1.1%3.0M-617.5M-8.0M1.082.3442,50246,091834,3131,293,137
2011-01-06$43.97$42.0020.5%5.9%16.7%10.3%20.7%2.2%1.8%-3.2M-464.8M-8.3M3.342.2110,31234,435853,6821,317,435
2011-01-07$43.65$44.0020.1%6.3%16.9%8.7%22.1%2.6%2.3%-18.1M-236.9M-8.2M0.733.5639,00528,328846,2991,336,180
2011-01-10$43.31$44.0021.8%6.5%17.2%14.8%23.9%2.8%2.2%-20.8M-82.0M-8.1M5.013.515,11825,667862,0111,337,108
2011-01-11$43.80$44.0019.9%6.2%17.3%8.0%22.1%2.8%2.9%-15.2M-312.7M-7.8M1.034.0137,28938,529851,6291,348,795
2011-01-12$44.69$44.0018.7%6.3%18.7%3.8%22.4%3.0%2.6%11.5M-813.1M-7.9M2.453.8845,121110,397865,0621,360,990
2011-01-13$44.56$44.0021.4%6.1%16.4%13.6%22.1%2.9%3.0%5.5M-727.6M-8.1M0.982.8753,08252,111879,8541,435,220
2011-01-14$44.55$44.0021.6%6.2%16.2%14.3%21.8%2.9%2.6%8.1M-738.0M-8.0M1.843.7918,22233,530880,9981,438,465
2011-01-18$44.22$44.0022.3%6.4%16.6%16.6%22.5%3.0%2.1%-5.6M-490.8M-7.5M1.353.3733,43845,242861,6511,444,285
2011-01-19$44.34$44.0021.6%6.2%16.4%14.3%21.6%2.6%2.6%-9.7M-519.7M-7.4M1.553.9719,64730,474864,7631,460,394
2011-01-20$43.61$44.0021.6%6.2%16.2%14.3%22.1%2.9%3.0%-51.7M-62.9M-7.4M1.013.6776,55177,000867,4511,467,451
2011-01-21$43.23$44.0022.0%6.3%16.4%15.8%22.0%3.0%3.0%-64.8M106.9M-7.6M1.224.0529,12635,439903,8271,497,143
2011-01-24$43.07$44.0021.0%6.0%15.8%12.1%20.8%3.4%1.5%-52.9M604.3M-7.3M1.002.8322,61022,678388,796728,178
2011-01-25$42.83$44.0019.4%5.5%15.9%6.1%19.5%3.0%2.2%-57.1M687.6M-7.3M1.004.3243,56043,606403,513738,001
2011-01-26$43.09$44.0019.3%5.5%15.7%5.7%19.3%2.8%2.9%-53.3M600.8M-7.6M2.172.7332,73271,187431,736772,383
2011-01-27$43.14$44.0018.5%5.3%15.0%3.0%18.3%2.3%2.9%-57.3M659.1M-7.9M1.283.6320,53826,195437,041814,103
2011-01-28$42.03$44.0022.5%6.5%17.7%17.5%23.4%4.1%0.8%-66.5M1.03B-7.8M2.624.3929,84178,180435,820815,818
2011-01-31$42.55$44.0021.3%6.1%17.9%13.3%22.1%2.8%0.9%-65.5M844.0M-8.1M0.986.9747,28546,184453,466850,681