FXI Options History — July 2011

In July 2011, FXI traded between $40.89 and $43.30. ATM implied volatility averaged 22.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.4% (HV 20d: 17.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2011-07-28: Highest Volume — 170,171 contracts
  • 2011-07-11: Largest IV spike — 30.4% change
  • 2011-07-29: Highest IV Rank — 88.8%
  • 2011-07-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.06$40.89$43.30$43.30$42.36
Max Pain$43.05$43.00$44.00$44.00$43.00
ATM IV22.2%18.3%29.4%18.3%29.4%
Expected Move6.3%5.2%6.9%5.2%6.9%
HV 20d17.8%16.6%18.7%17.7%16.9%
HV 60d18.8%18.4%19.5%18.5%18.4%
IV Rank35.4%6.8%88.8%6.8%88.8%
IV Percentile48.6%2.0%98.4%2.0%98.4%
Term Structure1.2%-0.1%2.7%2.1%-0.1%
VWIV22.5%19.5%24.6%19.5%24.6%
Skew 25d2.7%1.0%4.0%2.4%2.8%
Skew 10d5.7%2.6%8.0%6.8%5.2%
Call IV 25d21.2%17.2%23.3%17.2%23.3%
Put IV 25d23.9%19.6%26.1%19.6%26.1%
Bid-Ask Spread %3.672.706.533.284.00
Gamma HHI0.100.080.150.080.08
Net GEX-20.4M-56.9M5.5M5.5M4.7M
Net DEX495.2M8.6M1.24B89.5M59.6M
Net VEX-13.6M-14.8M-12.7M-14.1M-14.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.237.781.810.50
Total Volume68,07424,699170,17146,64379,531
Total OI2,192,340.42,047,3622,368,6662,119,5712,368,666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$43.30$44.0018.3%5.2%17.7%6.8%19.5%2.4%2.1%5.5M89.5M-14.1M1.813.2816,62130,0221,083,6921,035,879
2011-07-05$42.97$43.0018.8%5.9%17.6%10.7%21.0%2.9%2.4%-5.3M268.1M-13.7M0.902.7919,70817,6641,086,1561,053,130
2011-07-06$42.42$43.0019.7%6.0%17.9%17.2%21.1%3.1%2.2%-19.5M541.8M-13.4M1.653.3519,75632,6371,093,5501,049,181
2011-07-07$42.80$43.0018.7%5.8%18.2%9.6%20.4%2.8%2.7%-6.3M345.7M-13.5M0.603.7617,65210,5971,096,2941,057,146
2011-07-08$42.27$43.0019.9%6.1%18.7%18.4%23.0%3.5%1.7%-18.1M588.2M-13.3M7.782.954,71636,7041,105,7521,061,134
2011-07-11$41.28$43.0025.9%6.8%18.4%63.3%23.4%4.0%0.6%-47.2M1.06B-12.8M0.743.5353,47839,4411,104,1241,075,284
2011-07-12$40.89$43.0024.9%6.7%18.4%55.3%24.3%3.7%0.9%-56.9M1.24B-12.7M0.663.0845,66630,3541,130,5241,089,917
2011-07-13$41.50$43.0024.1%6.8%18.7%50.0%23.5%3.5%0.7%-39.7M910.8M-13.3M0.793.4625,03919,8501,157,5981,101,480
2011-07-14$41.20$43.0023.5%6.7%17.8%45.1%24.0%2.9%0.8%-56.4M1.03B-13.1M2.223.3624,73154,9341,162,5221,103,489
2011-07-15$41.33$43.0022.9%6.6%17.8%40.6%23.0%3.5%1.2%-53.4M972.6M-13.3M0.853.0628,87224,5371,172,5861,125,390
2011-07-18$41.21$43.0023.2%6.7%17.8%43.4%23.6%3.7%0.2%-34.0M737.8M-13.1M1.253.2035,93245,0091,052,100995,262
2011-07-19$41.77$43.0021.0%6.0%18.5%26.6%21.4%3.8%1.1%-28.7M521.2M-13.5M0.533.1548,51525,5181,072,6891,024,315
2011-07-20$41.94$43.0021.3%6.1%18.5%28.8%21.5%2.0%1.2%-21.6M409.8M-13.6M0.232.7081,36118,9851,102,0331,024,659
2011-07-21$42.18$43.0021.5%6.2%17.2%30.3%22.1%1.2%1.2%-9.7M272.0M-13.9M0.523.4778,40340,6631,145,7101,030,841
2011-07-22$42.44$43.0020.6%5.9%17.3%23.9%20.9%1.0%1.5%-1.8M78.9M-14.1M0.762.9825,14619,0411,178,7441,037,257
2011-07-25$42.18$43.0021.7%6.2%17.2%32.2%22.7%1.7%1.1%-8.8M248.2M-13.7M0.833.3713,52311,1761,172,2991,036,275
2011-07-26$42.66$43.0021.1%6.0%16.6%27.5%22.4%1.1%1.5%2.5M8.6M-13.8M0.676.5337,18924,7841,168,2831,040,738
2011-07-27$42.06$43.0023.5%6.7%17.3%45.4%24.0%2.2%0.6%-13.5M352.1M-13.8M1.015.5826,61926,9351,164,7281,049,560
2011-07-28$42.36$43.0023.2%6.7%17.4%43.3%23.7%2.5%0.7%-815.6K172.9M-13.8M0.365.75124,76445,4071,190,5041,047,317
2011-07-29$42.36$43.0029.4%6.9%16.9%88.8%24.6%2.8%-0.1%4.7M59.6M-14.8M0.504.0053,09126,4401,295,9691,072,697