FXI Options History — May 2012

In May 2012, FXI traded between $32.58 and $38.35. ATM implied volatility averaged 28.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.3% (HV 20d: 20.2%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2012-05-17: Highest Volume — 198,520 contracts
  • 2012-05-03: Largest IV drop — 22.3% change
  • 2012-05-30: Highest IV Rank — 33.9%
  • 2012-05-17: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.95$32.58$38.35$38.35$33.49
Max Pain$36.68$36.00$38.00$37.00$36.00
ATM IV28.5%21.5%36.3%25.7%30.7%
Expected Move7.9%6.0%9.5%6.6%8.6%
HV 20d20.2%16.9%24.7%21.6%24.6%
HV 60d23.0%22.2%24.9%22.9%23.6%
IV Rank20.4%7.6%33.9%15.3%23.3%
IV Percentile50.5%13.9%72.2%43.7%58.3%
Term Structure-0.2%-1.8%2.0%0.7%-0.2%
VWIV27.7%21.1%32.7%23.5%29.3%
Skew 25d5.3%1.8%7.9%1.8%5.8%
Skew 10d10.7%3.8%16.0%3.8%10.5%
Call IV 25d25.5%20.1%29.9%22.4%26.8%
Put IV 25d30.8%22.6%37.2%24.2%32.6%
Bid-Ask Spread %5.793.8414.154.355.26
Gamma HHI0.160.100.570.100.12
Net GEX-58.6M-148.9M22.1M14.0M-41.6M
Net DEX1.41B-24.5M2.60B-24.5M1.59B
Net VEX-7.9M-8.8M-7.0M-8.6M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.653.340.872.15
Total Volume105,900.22747,349198,520109,70747,349
Total OI2,085,036.4091,829,4622,409,1101,954,3962,075,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$38.35$37.0025.7%6.6%21.6%15.3%23.5%1.8%0.7%14.0M-24.5M-8.6M0.874.3558,60251,105790,8651,163,531
2012-05-02$38.31$37.0028.0%6.1%21.7%19.7%21.7%1.9%1.6%22.1M-15.2M-8.7M0.7814.1585,77766,546833,0631,189,965
2012-05-03$37.92$37.0021.8%6.0%21.2%8.1%21.1%2.5%2.0%4.5M202.1M-8.8M0.704.1229,51920,678833,4411,188,517
2012-05-04$37.37$38.0021.5%6.8%21.7%7.6%24.3%4.4%1.6%-32.0M548.2M-8.7M1.275.7055,19769,942833,1211,197,815
2012-05-07$37.18$37.0024.4%6.8%20.7%13.0%24.8%4.0%1.3%-45.4M598.9M-8.7M1.215.1630,63837,048834,4001,222,800
2012-05-08$36.43$37.0027.7%7.2%21.2%19.1%24.8%4.9%1.3%-76.1M1.08B-8.5M1.284.6848,36361,831844,2211,236,777
2012-05-09$35.93$37.0025.4%7.3%21.4%14.8%25.7%5.1%0.2%-86.9M1.32B-8.4M2.436.4432,75979,523867,8541,263,199
2012-05-10$35.81$37.0025.5%7.3%16.9%15.1%24.9%4.9%-0.1%-91.0M1.35B-8.3M1.124.8045,12750,663862,4501,264,904
2012-05-11$35.33$37.0026.9%7.7%17.3%17.5%25.7%5.0%0.1%-99.4M1.62B-8.3M1.126.6363,64971,219893,4361,288,057
2012-05-14$34.73$37.0028.5%8.2%18.0%20.6%28.8%5.7%-1.1%-102.2M1.94B-8.0M1.594.5524,30238,716921,6461,314,920
2012-05-15$34.72$37.0028.5%8.2%17.1%20.6%29.2%5.2%-1.1%-104.2M1.96B-7.9M1.134.6539,47944,667927,5071,314,422
2012-05-16$33.93$37.0031.0%8.9%18.3%25.2%32.4%6.5%-1.4%-101.0M2.31B-7.4M3.343.8439,176130,935948,9151,329,307
2012-05-17$33.19$37.0033.0%9.5%18.7%28.9%32.7%7.3%-1.8%-84.1M2.60B-7.0M1.104.7994,743103,777971,3541,357,549
2012-05-18$33.00$37.0032.3%9.3%18.2%27.6%32.3%7.9%-1.5%-148.9M2.58B-7.1M1.854.1643,16379,8101,038,9411,370,169
2012-05-21$33.86$36.0029.2%8.4%20.1%21.8%29.7%4.9%-0.8%-41.4M1.44B-7.6M0.654.6962,93141,205805,0431,024,419
2012-05-22$33.63$36.0029.1%8.3%19.8%21.7%28.7%6.8%-1.3%-42.1M1.52B-7.5M1.4411.4336,23352,112843,1321,046,060
2012-05-23$33.25$36.0030.2%8.7%19.1%23.7%29.9%7.1%-0.9%-45.0M1.63B-7.2M0.976.1088,19985,869859,9151,064,024
2012-05-24$32.74$36.0030.3%8.7%18.9%23.9%32.7%6.4%-1.0%-47.8M1.79B-7.2M2.885.6917,54650,558879,8611,108,351
2012-05-25$32.58$36.0029.1%8.4%18.5%21.6%29.7%6.7%-0.8%-55.9M1.89B-7.1M0.975.3230,15629,198884,6871,134,218
2012-05-29$33.88$36.0031.5%8.3%24.7%25.7%29.0%4.6%-0.7%-42.3M1.46B-7.8M0.685.7062,42442,473879,6491,120,857
2012-05-30$33.29$36.0036.3%8.9%24.2%33.9%28.9%6.5%-1.0%-42.0M1.65B-7.5M1.015.0743,18643,412906,3591,135,510
2012-05-31$33.49$36.0030.7%8.6%24.6%23.3%29.3%5.8%-0.2%-41.6M1.59B-7.6M2.155.2615,05532,294922,7291,152,841