FXI Options History — April 2011

In April 2011, FXI traded between $44.84 and $46.37. ATM implied volatility averaged 19.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.1% (HV 20d: 18.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2011-04-15: Highest Volume — 146,196 contracts
  • 2011-04-12: Largest IV spike — 16.3% change
  • 2011-04-12: Highest IV Rank — 17.5%
  • 2011-04-12: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.67$44.84$46.37$45.49$45.21
Max Pain$43.95$43.00$44.00$43.00$44.00
ATM IV19.4%18.3%22.5%19.8%18.9%
Expected Move5.8%5.4%6.3%5.7%5.4%
HV 20d18.3%15.6%21.7%21.3%17.5%
HV 60d19.7%19.2%20.3%19.6%19.6%
IV Rank6.4%2.3%17.5%7.5%4.4%
IV Percentile7.7%0.8%40.5%5.6%4.0%
Term Structure2.1%1.2%3.6%1.2%2.0%
VWIV20.5%18.6%22.5%19.6%18.6%
Skew 25d2.7%1.8%3.4%2.8%2.8%
Skew 10d5.8%3.6%7.7%6.3%6.2%
Call IV 25d19.2%17.9%20.8%18.1%18.0%
Put IV 25d21.9%20.0%24.1%20.9%20.8%
Bid-Ask Spread %2.952.503.622.942.58
Gamma HHI0.120.070.330.110.07
Net GEX73.0M24.5M158.2M69.0M35.9M
Net DEX-1.07B-1.55B-492.2M-1.09B-613.2M
Net VEX-15.7M-16.5M-15.0M-16.1M-15.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.153.570.840.44
Total Volume61,098.816,728146,19653,53741,356
Total OI2,132,948.51,985,2762,257,1442,106,4072,106,933

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$45.49$43.0019.8%5.7%21.3%7.5%19.6%2.8%1.2%69.0M-1.09B-16.1M0.842.9429,11624,4211,082,2221,024,185
2011-04-04$46.35$44.0019.3%6.0%21.7%5.9%21.5%3.2%2.5%88.0M-1.55B-16.2M0.533.0845,42023,8641,100,7341,037,635
2011-04-05$46.00$44.0018.3%5.9%20.6%2.3%20.9%3.4%2.5%84.7M-1.36B-16.5M0.152.6499,99014,6271,112,6741,057,233
2011-04-06$46.07$44.0018.4%6.0%20.6%2.5%20.7%3.3%2.0%83.0M-1.36B-16.0M0.163.2658,0099,1501,088,0961,056,960
2011-04-07$45.99$44.0018.4%6.1%19.3%2.6%20.9%3.2%2.2%89.8M-1.37B-16.1M1.262.7815,07519,0691,117,3001,058,969
2011-04-08$46.02$44.0018.6%6.2%19.2%3.2%21.9%3.1%2.0%89.6M-1.36B-16.3M0.233.4953,42912,5421,122,7451,066,555
2011-04-11$45.57$44.0019.4%6.0%19.7%6.2%21.4%3.1%2.4%99.4M-1.21B-16.1M0.963.6225,94824,8921,163,6051,070,205
2011-04-12$45.04$44.0022.5%6.3%19.0%17.5%22.5%3.4%2.2%72.3M-829.2M-15.8M0.873.0917,37115,1841,150,8291,082,047
2011-04-13$45.48$44.0021.5%6.2%16.1%13.8%22.2%2.8%2.5%98.6M-1.10B-15.8M1.013.0938,95539,4161,143,2491,070,585
2011-04-14$45.55$44.0020.7%5.9%16.1%10.9%21.1%2.7%2.7%117.8M-1.17B-15.8M0.713.4420,39614,5351,156,8631,098,287
2011-04-15$45.79$44.0019.2%5.5%15.6%5.6%19.8%2.2%3.6%158.2M-1.28B-15.5M0.712.5285,49560,7011,157,2051,099,939
2011-04-18$44.89$44.0020.1%5.8%15.9%8.7%21.8%3.1%1.9%32.5M-591.0M-16.2M2.462.7017,19142,2881,068,974967,037
2011-04-19$44.84$44.0019.0%5.4%15.9%4.7%19.9%2.9%2.4%24.5M-492.2M-15.3M1.722.766,14310,5851,025,513960,073
2011-04-20$45.99$44.0018.9%5.4%17.8%4.4%19.1%2.0%1.9%53.6M-1.04B-15.1M0.643.0969,75444,5671,027,459957,817
2011-04-21$46.37$44.0018.9%5.4%17.7%4.3%18.9%1.8%1.8%65.5M-1.30B-15.8M0.973.3511,85111,5001,080,281983,330
2011-04-25$45.87$44.0019.9%5.7%18.4%8.2%20.5%1.9%1.4%51.3M-999.2M-15.3M0.352.6613,7884,8681,072,400985,023
2011-04-26$46.01$44.0019.3%5.5%18.0%6.1%20.5%2.1%1.6%56.3M-1.07B-15.4M3.572.6515,47055,2001,072,390985,779
2011-04-27$45.57$44.0018.9%5.4%18.4%4.6%19.8%2.3%1.9%48.0M-838.8M-15.1M0.592.8147,89328,1141,076,9501,025,228
2011-04-28$45.22$44.0018.9%5.4%18.0%4.6%19.2%2.9%2.2%41.8M-671.9M-15.2M0.622.5033,15920,6441,108,4071,037,254
2011-04-29$45.21$44.0018.9%5.4%17.5%4.4%18.6%2.8%2.0%35.9M-613.2M-15.0M0.442.5828,80812,5481,079,8801,027,053