FXI Options History — March 2012

In March 2012, FXI traded between $36.30 and $40.32. ATM implied volatility averaged 24.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.3% (HV 20d: 25.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2012-03-28: Highest Volume — 159,786 contracts
  • 2012-03-05: Largest IV spike — 36.9% change
  • 2012-03-06: Highest IV Rank — 30.6%
  • 2012-03-06: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.14$36.30$40.32$40.32$36.66
Max Pain$39.09$39.00$40.00$40.00$39.00
ATM IV24.8%20.7%33.9%22.3%23.1%
Expected Move7.1%6.5%7.8%6.7%6.6%
HV 20d25.1%18.6%27.7%19.1%27.7%
HV 60d24.5%23.2%26.2%24.5%23.2%
IV Rank13.7%6.1%30.6%9.1%10.5%
IV Percentile40.3%20.2%66.7%32.1%30.6%
Term Structure1.0%0.4%1.9%1.3%0.9%
VWIV25.3%23.0%28.3%24.6%24.2%
Skew 25d3.7%2.1%6.3%3.2%2.1%
Skew 10d7.4%4.5%12.3%6.8%4.5%
Call IV 25d23.6%21.9%25.8%22.5%22.9%
Put IV 25d27.3%25.0%31.3%25.8%25.0%
Bid-Ask Spread %8.013.0510.866.069.04
Gamma HHI0.100.070.150.070.11
Net GEX-35.8M-62.9M-2.6M-11.2M-57.7M
Net DEX512.8M-61.9M1.04B-61.9M843.6M
Net VEX-7.9M-8.3M-7.5M-7.6M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.482.942.611.99
Total Volume78,458.68238,960159,78643,53960,981
Total OI1,521,795.4091,360,8251,784,2201,362,9591,784,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$40.32$40.0022.3%6.7%19.1%9.1%24.6%3.2%1.3%-11.2M-61.9M-7.6M2.616.0612,07331,466530,712832,247
2012-03-02$40.27$40.0020.7%6.5%18.6%6.1%23.0%3.2%1.9%-2.6M-61.6M-7.6M2.773.0512,55634,727534,409833,520
2012-03-05$39.17$39.0028.3%7.3%20.4%20.2%25.0%4.4%1.4%-21.5M268.4M-7.6M2.507.5127,46368,688533,043840,849
2012-03-06$37.75$39.0033.9%7.8%23.5%30.6%28.3%6.3%0.7%-41.6M706.6M-7.7M2.757.6223,15463,604545,939882,795
2012-03-07$37.92$39.0025.9%7.7%23.6%15.7%27.6%6.0%0.9%-44.9M677.0M-7.9M2.217.8315,52634,328552,336901,413
2012-03-08$38.81$39.0024.1%7.3%24.4%12.5%27.5%5.7%0.8%-33.7M426.0M-7.9M1.328.5821,28328,126555,563911,932
2012-03-09$39.03$39.0023.6%7.4%24.4%11.5%25.3%4.8%1.0%-17.3M353.3M-7.9M0.488.3374,83335,864566,132928,389
2012-03-12$38.83$39.0025.0%7.2%22.1%14.0%24.8%3.8%0.9%-32.7M367.9M-8.0M1.728.5221,72437,326608,679933,810
2012-03-13$39.96$39.0022.7%7.0%24.0%9.7%25.2%3.0%0.7%-4.4M-36.9M-7.9M1.177.8221,08524,658610,834949,801
2012-03-14$38.67$39.0026.5%7.6%26.8%16.8%26.9%3.1%0.8%-40.7M447.3M-8.0M1.428.7536,11551,145613,641951,339
2012-03-15$38.86$39.0024.8%7.1%26.6%13.7%26.0%3.1%1.2%-42.4M385.4M-8.0M2.945.739,90129,059627,491967,636
2012-03-16$38.76$39.0023.0%6.6%26.1%10.4%24.5%3.4%1.4%-45.2M430.0M-7.8M1.698.0421,19835,778626,552969,240
2012-03-19$37.97$39.0023.9%6.9%26.9%12.1%23.8%3.0%1.2%-31.1M455.9M-7.5M0.879.4942,67337,156492,266868,559
2012-03-20$37.27$39.0025.1%7.2%27.4%14.3%25.9%4.1%0.6%-37.6M652.3M-7.7M2.638.0521,70057,129516,126887,863
2012-03-21$37.42$39.0024.6%7.0%27.1%13.3%24.0%3.6%1.1%-40.9M630.0M-7.7M1.049.7961,55564,055524,159916,378
2012-03-22$36.89$39.0025.4%7.3%27.4%14.8%25.8%3.6%0.6%-45.6M795.6M-8.1M1.2410.8644,64455,410565,953956,078
2012-03-23$36.91$39.0024.4%7.0%27.4%12.9%24.8%3.6%0.8%-56.6M797.1M-8.0M1.396.6947,11065,677581,915978,441
2012-03-26$37.31$39.0024.9%7.1%27.7%13.9%25.2%3.1%0.4%-35.0M647.5M-8.1M1.039.4029,02029,875602,5931,007,266
2012-03-27$37.25$39.0024.5%7.0%27.0%13.2%24.9%2.7%1.1%-34.8M656.1M-8.1M1.658.6115,58225,690617,7631,015,390
2012-03-28$36.70$39.0024.1%6.9%27.2%12.3%24.7%2.8%0.7%-46.1M863.7M-8.0M2.227.5849,697110,089619,2911,021,966
2012-03-29$36.30$39.0025.0%7.2%27.2%14.0%25.0%2.9%0.7%-62.9M1.04B-8.0M0.978.8069,09667,272655,6411,059,329
2012-03-30$36.66$39.0023.1%6.6%27.7%10.5%24.2%2.1%0.9%-57.7M843.6M-8.3M1.999.0420,40340,578699,1211,085,099