FXI Options History — February 2013

In February 2013, FXI traded between $38.04 and $41.82. ATM implied volatility averaged 19.5%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.7% (HV 20d: 16.8%). Max pain ranged from $40.50 to $41.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.56.

Notable Days

  • 2013-02-21: Highest Volume — 172,873 contracts
  • 2013-02-25: Largest IV spike — 35.5% change
  • 2013-02-25: Highest IV Rank — 51.6%
  • 2013-02-25: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.59$38.04$41.82$41.82$38.95
Max Pain$40.89$40.50$41.00$41.00$40.50
ATM IV19.5%15.8%27.0%15.8%19.6%
Expected Move5.4%4.8%6.5%5.1%5.5%
HV 20d16.8%13.2%18.5%13.2%18.5%
HV 60d18.0%17.6%18.8%17.8%17.9%
IV Rank17.1%0.0%51.6%0.0%17.6%
IV Percentile18.6%0.0%84.5%0.0%14.7%
Term Structure0.4%-1.3%1.6%0.7%-0.0%
VWIV19.0%16.8%23.1%18.2%19.6%
Skew 25d1.9%1.3%2.5%1.9%1.4%
Skew 10d3.9%2.7%5.6%4.7%3.4%
Call IV 25d18.3%16.5%21.7%17.5%18.9%
Put IV 25d20.1%18.0%24.2%19.4%20.4%
Bid-Ask Spread %7.895.5810.908.848.27
Gamma HHI0.090.060.190.190.06
Net GEX-30.4M-78.5M67.3M67.3M-37.2M
Net DEX222.0M-960.5M931.1M-960.5M479.5M
Net VEX-8.5M-8.9M-8.0M-8.0M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.524.060.520.99
Total Volume74,598.78928,329172,873104,35585,269
Total OI1,725,675.2631,427,1692,025,6961,707,9821,553,951

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$41.82$41.0015.8%5.1%13.2%0.0%18.2%1.9%0.7%67.3M-960.5M-8.0M0.528.8468,68835,667742,448965,534
2013-02-04$40.63$41.0020.3%5.6%16.7%21.1%19.5%2.4%-0.2%7.1M-357.2M-8.1M1.206.1735,05041,937777,531965,395
2013-02-05$40.62$41.0020.8%5.4%16.5%23.3%19.3%2.2%0.1%-887.7K-329.2M-8.1M2.139.5544,09294,035780,892985,639
2013-02-06$40.46$41.0016.4%5.3%15.3%3.2%18.6%2.1%0.4%-24.7M-177.7M-8.4M1.415.6416,84923,673800,0931,059,117
2013-02-07$39.52$41.0018.9%5.4%16.9%14.5%19.1%1.8%0.6%-44.8M359.5M-8.3M1.787.2050,01988,831786,0011,066,863
2013-02-08$39.85$41.0018.0%5.2%16.4%10.4%18.5%1.7%1.4%-38.7M178.3M-8.4M0.905.5874,40267,162810,1771,101,675
2013-02-11$39.77$41.0018.4%5.3%16.1%11.9%18.8%1.8%1.1%-35.7M182.0M-8.9M1.267.5915,42319,501844,8081,127,400
2013-02-12$39.83$41.0017.6%5.0%16.0%8.5%17.6%1.5%1.3%-35.6M137.9M-8.8M0.788.1815,93012,399851,0691,139,538
2013-02-13$40.05$41.0017.3%5.0%16.2%7.2%17.2%1.5%1.5%-28.8M-6.7M-8.7M0.738.8923,69817,358854,0571,140,770
2013-02-14$40.22$41.0017.4%5.0%16.3%7.7%17.2%1.5%1.2%-17.5M-121.1M-8.6M1.016.3035,85836,341852,9121,141,936
2013-02-15$40.32$41.0016.8%4.8%16.3%4.7%16.8%1.5%1.6%-9.7M-191.6M-8.6M1.2210.0821,05425,719867,5101,158,186
2013-02-19$39.44$41.0017.8%5.1%17.4%9.3%17.9%1.3%0.8%-48.1M402.3M-8.3M1.037.6718,49219,029582,394844,775
2013-02-20$39.04$41.0018.8%5.4%17.6%13.8%19.0%1.9%0.5%-50.4M559.9M-8.3M1.058.3926,22727,422589,997854,067
2013-02-21$38.51$41.0019.6%5.6%17.9%17.5%19.4%2.2%-0.3%-56.8M786.8M-8.2M4.068.4834,164138,709599,090868,490
2013-02-22$38.54$41.0019.9%5.6%18.0%19.1%19.6%1.9%-0.2%-78.5M931.1M-8.6M3.756.3212,57347,121618,905951,555
2013-02-25$38.04$40.5027.0%6.5%18.1%51.6%23.1%2.5%-1.3%-48.3M831.2M-8.6M3.307.628,39727,712615,998868,427
2013-02-26$38.12$40.5025.2%6.2%18.2%43.2%21.6%2.4%-1.0%-52.3M830.4M-8.5M1.298.3224,81031,891618,762878,512
2013-02-27$38.47$40.5024.5%5.8%17.7%40.3%20.7%2.1%-0.4%-44.1M683.2M-8.6M1.2610.9022,94028,935629,529893,827
2013-02-28$38.95$40.5019.6%5.5%18.5%17.6%19.6%1.4%-0.0%-37.2M479.5M-8.8M0.998.2742,80642,463644,720909,231