FXI Options History — April 2012

In April 2012, FXI traded between $35.75 and $38.00. ATM implied volatility averaged 25.0%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.3% (HV 20d: 22.7%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2012-04-12: Highest Volume — 272,064 contracts
  • 2012-04-05: Largest IV drop — 27.3% change
  • 2012-04-10: Highest IV Rank — 25.2%
  • 2012-04-10: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.21$35.75$38.00$37.09$37.92
Max Pain$37.35$37.00$39.00$39.00$37.00
ATM IV25.0%21.3%31.0%25.0%26.8%
Expected Move6.9%6.0%7.8%6.4%6.4%
HV 20d22.7%20.7%26.9%26.9%21.7%
HV 60d23.4%22.6%24.1%23.3%23.0%
IV Rank14.2%7.2%25.2%14.1%17.5%
IV Percentile38.2%17.1%61.5%43.3%50.8%
Term Structure0.8%-0.2%1.9%1.1%0.8%
VWIV24.8%21.7%29.4%23.4%22.9%
Skew 25d2.8%1.8%4.8%1.8%2.2%
Skew 10d5.6%3.4%9.5%3.4%4.9%
Call IV 25d23.2%20.4%25.7%22.1%21.7%
Put IV 25d26.0%22.8%30.2%23.9%23.9%
Bid-Ask Spread %5.423.509.708.996.94
Gamma HHI0.130.100.170.130.11
Net GEX-39.0M-74.6M21.0M-45.9M-16.7M
Net DEX614.3M225.4M1.27B689.8M225.4M
Net VEX-8.3M-9.0M-7.7M-8.1M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.394.261.180.86
Total Volume87,635.335,483272,06489,51372,614
Total OI1,941,747.21,764,0042,214,4161,764,0041,912,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$37.09$39.0025.0%6.4%26.9%14.1%23.4%1.8%1.1%-45.9M689.8M-8.1M1.188.9941,12848,385680,7781,083,226
2012-04-03$37.20$39.0024.6%6.4%23.7%13.3%23.3%1.9%1.2%-38.5M636.6M-8.2M2.489.7017,00542,253710,1031,108,735
2012-04-04$36.63$39.0029.3%6.5%24.2%22.0%23.2%2.5%1.3%-52.7M893.7M-8.1M0.837.6538,71231,982707,4081,117,739
2012-04-05$37.00$38.0021.3%6.3%22.8%7.2%22.2%2.0%1.9%-48.5M696.1M-8.2M1.058.2018,15719,086726,7841,130,685
2012-04-09$36.35$37.0026.8%7.5%23.2%17.4%25.5%4.2%0.6%-61.5M1.00B-7.9M3.203.5810,93234,942706,9381,120,686
2012-04-10$35.75$37.0031.0%7.8%23.6%25.2%29.4%4.8%0.9%-69.8M1.27B-7.7M4.263.6821,19790,233713,5951,134,723
2012-04-11$36.16$37.0025.5%7.7%21.1%14.9%27.3%4.6%0.5%-74.6M1.16B-7.9M1.043.5020,82621,558720,6761,200,243
2012-04-12$37.45$37.0025.9%7.4%22.9%15.8%26.9%2.9%0.2%-41.1M547.8M-8.2M1.344.65116,128155,936732,9491,207,369
2012-04-13$37.42$37.0026.8%7.7%22.8%17.4%26.6%2.7%0.2%-50.0M582.8M-8.5M0.897.4174,84766,352806,5401,276,774
2012-04-16$37.08$37.0026.4%7.6%22.9%16.6%26.2%2.9%0.2%-52.0M734.5M-8.5M0.794.9322,60717,870818,7981,248,925
2012-04-17$37.52$37.0024.9%7.1%22.4%13.8%26.8%3.4%-0.2%-39.5M517.4M-8.3M0.664.0554,98836,021827,4301,254,559
2012-04-18$37.54$37.0024.7%7.1%21.3%13.5%25.4%3.3%0.2%-37.8M512.0M-8.3M0.983.9938,35237,741863,2181,268,498
2012-04-19$37.77$37.0024.1%6.9%21.4%12.4%25.7%2.5%0.8%-26.3M389.2M-8.4M2.596.4623,21360,008886,5711,290,789
2012-04-20$38.00$37.0022.9%6.6%20.7%10.3%24.2%2.2%0.8%21.0M261.3M-8.3M1.704.3638,02464,467892,1931,322,223
2012-04-23$37.00$37.0024.4%7.0%23.0%13.0%24.8%2.4%0.6%-42.4M640.0M-8.3M0.794.5781,38064,191669,0901,101,488
2012-04-24$37.19$37.0024.4%7.0%22.8%13.0%24.5%2.8%0.8%-34.5M516.0M-8.8M1.073.7328,42730,344718,2711,115,940
2012-04-25$37.53$37.0022.4%6.4%23.0%9.3%23.9%2.4%1.2%-26.3M403.8M-8.8M3.814.2613,95953,188742,7101,137,962
2012-04-26$37.74$37.0021.7%6.2%22.3%8.0%22.1%2.6%1.4%-25.2M364.7M-9.0M0.393.7025,5339,950748,5901,187,189
2012-04-27$37.87$37.0021.9%6.0%21.9%8.4%21.7%2.3%1.9%-18.6M242.4M-8.8M1.193.9750,29759,873759,8451,181,942
2012-04-30$37.92$37.0026.8%6.4%21.7%17.5%22.9%2.2%0.8%-16.7M225.4M-8.6M0.866.9439,07233,542758,2181,154,544