FXI Options History — June 2011

In June 2011, FXI traded between $41.11 and $44.59. ATM implied volatility averaged 21.9%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 21.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2011-06-20: Highest Volume — 239,305 contracts
  • 2011-06-06: Largest IV spike — 11.8% change
  • 2011-06-17: Highest IV Rank — 42.0%
  • 2011-06-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.69$41.11$44.59$44.48$42.95
Max Pain$43.95$43.00$44.00$44.00$44.00
ATM IV21.9%18.8%24.5%20.7%18.8%
Expected Move6.3%5.4%7.0%5.9%5.4%
HV 20d21.1%18.1%23.5%21.3%18.7%
HV 60d19.0%18.3%19.8%19.8%18.4%
IV Rank26.0%8.8%42.0%16.6%8.8%
IV Percentile45.0%4.8%73.8%24.6%4.8%
Term Structure0.9%-0.5%1.9%0.9%1.9%
VWIV22.6%19.8%25.4%21.0%19.8%
Skew 25d3.8%2.1%5.2%2.2%2.2%
Skew 10d7.7%4.1%10.1%4.1%5.1%
Call IV 25d20.7%18.2%23.3%19.8%18.2%
Put IV 25d24.5%20.4%28.5%22.0%20.4%
Bid-Ask Spread %3.272.414.352.552.63
Gamma HHI0.110.070.370.080.08
Net GEX-24.3M-140.5M40.2M40.2M-1.9M
Net DEX477.2M-493.5M1.00B-493.5M233.0M
Net VEX-13.6M-14.6M-12.5M-14.2M-14.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.282.962.960.79
Total Volume77,84033,487239,30575,32541,482
Total OI2,022,110.5451,832,7752,181,2391,832,7752,127,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$44.48$44.0020.7%5.9%21.3%16.6%21.0%2.2%0.9%40.2M-493.5M-14.2M2.962.5519,00856,3171,023,113809,662
2011-06-02$44.59$44.0019.8%5.7%20.2%12.0%21.6%2.1%0.7%40.1M-475.0M-14.6M2.712.4525,90070,1251,034,815851,587
2011-06-03$43.71$44.0019.3%6.0%21.3%9.8%21.6%4.7%1.4%9.6M-13.3M-14.1M2.192.9826,52458,2011,048,257896,217
2011-06-06$43.28$44.0021.6%6.3%21.3%21.3%22.4%4.7%1.2%-6.7M234.2M-14.0M1.753.6012,19421,2931,067,435927,097
2011-06-07$43.55$44.0020.2%5.9%21.4%15.0%20.4%4.6%1.0%1.4M136.1M-13.8M1.713.5126,57645,5421,070,630934,912
2011-06-08$43.32$44.0021.8%6.3%21.2%23.5%21.1%5.1%1.0%-12.7M301.2M-14.0M0.633.3447,51429,8201,076,046959,994
2011-06-09$43.39$44.0021.6%6.2%20.5%24.9%21.9%4.8%0.9%-6.0M267.7M-13.8M1.123.0031,03434,7911,105,661961,268
2011-06-10$42.32$44.0023.0%6.6%22.3%33.3%23.9%4.7%0.9%-44.5M802.5M-13.4M2.663.8833,51389,2281,098,764977,038
2011-06-13$42.62$44.0022.3%6.4%22.1%29.0%23.5%4.8%1.6%-48.7M748.1M-13.4M1.513.6723,09834,8351,117,7271,011,924
2011-06-14$43.13$44.0021.7%6.2%22.6%25.7%22.8%4.6%1.2%-32.9M502.1M-13.7M1.293.9023,04829,7011,107,0991,025,689
2011-06-15$42.34$44.0023.1%6.6%23.5%34.1%24.0%4.7%1.2%-63.1M882.5M-13.3M1.903.8516,97632,2021,112,9021,035,989
2011-06-16$42.08$44.0024.3%7.0%21.8%40.8%25.4%5.1%0.4%-79.5M1.00B-13.2M1.484.0331,80847,0021,113,0381,040,347
2011-06-17$42.08$44.0024.5%7.0%21.8%42.0%24.7%5.2%0.1%-140.5M972.8M-13.3M1.544.3516,88826,0531,133,0051,048,234
2011-06-20$41.95$44.0022.8%6.5%21.8%32.1%22.7%3.4%0.8%-37.4M718.2M-12.7M0.282.78186,58452,721970,106907,208
2011-06-21$41.90$44.0022.7%6.5%20.2%31.2%22.8%2.8%-0.5%-27.3M740.7M-13.1M1.063.2628,93930,634991,348936,265
2011-06-22$41.11$44.0022.8%6.5%20.8%32.1%22.5%3.2%0.1%-31.0M944.1M-12.5M1.303.1929,34738,290986,242911,106
2011-06-23$41.27$44.0021.9%6.3%20.8%26.9%22.0%3.0%1.0%-33.3M916.6M-12.7M1.263.2435,29644,525995,010933,873
2011-06-24$41.64$43.0022.7%6.5%21.0%31.4%24.4%2.9%0.6%-23.5M734.6M-13.2M1.413.8146,02564,7601,004,781942,494
2011-06-27$42.35$44.0023.3%6.7%21.6%34.8%23.2%3.2%0.4%-12.7M492.2M-13.7M1.072.8051,01954,5581,037,087979,359
2011-06-28$42.60$44.0021.9%6.3%19.1%26.6%23.3%3.2%0.7%-10.4M387.8M-14.1M0.382.4134,35012,9841,067,0281,016,338
2011-06-29$42.45$44.0020.5%5.9%18.1%20.3%21.4%2.5%1.3%-14.0M462.1M-13.9M1.562.7620,26031,5151,074,7361,017,607
2011-06-30$42.95$44.0018.8%5.4%18.7%8.8%19.8%2.2%1.9%-1.9M233.0M-14.4M0.792.6323,20618,2761,094,8211,032,573