FXI Options History — April 2013

In April 2013, FXI traded between $34.83 and $37.74. ATM implied volatility averaged 22.2%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 20.8%). Max pain ranged from $36.50 to $38.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2013-04-17: Highest Volume — 353,830 contracts
  • 2013-04-29: Largest IV spike — 18.8% change
  • 2013-04-08: Highest IV Rank — 40.0%
  • 2013-04-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.14$34.83$37.74$36.48$37.74
Max Pain$37.34$36.50$38.50$38.50$36.50
ATM IV22.2%20.2%24.5%22.9%23.3%
Expected Move6.1%5.6%6.9%5.8%5.6%
HV 20d20.8%17.8%23.6%20.0%23.3%
HV 60d18.7%17.1%20.6%17.3%20.6%
IV Rank29.7%20.3%40.0%32.8%34.4%
IV Percentile51.3%24.6%73.0%56.7%65.1%
Term Structure-0.0%-1.0%0.7%0.2%0.7%
VWIV21.5%19.5%24.1%20.9%20.2%
Skew 25d2.7%1.5%3.9%3.1%1.7%
Skew 10d5.5%2.9%8.4%6.1%3.7%
Call IV 25d20.4%18.6%22.7%19.1%18.9%
Put IV 25d23.1%20.6%26.6%22.2%20.6%
Bid-Ask Spread %7.815.4610.467.7310.09
Gamma HHI0.110.080.230.080.10
Net GEX-48.7M-91.3M-6.4M-56.1M-6.4M
Net DEX1.19B-144.4M1.98B1.39B-144.4M
Net VEX-8.4M-9.1M-7.5M-8.3M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.336.100.991.08
Total Volume83,122.72727,582353,83027,58249,188
Total OI1,840,857.5911,699,4582,146,4121,751,0581,820,537

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$36.48$38.5022.9%5.8%20.0%32.8%20.9%3.1%0.2%-56.1M1.39B-8.3M0.997.7313,87613,706733,9871,017,071
2013-04-02$36.49$38.5021.2%5.6%19.2%24.8%19.5%2.9%0.5%-56.7M1.38B-8.3M1.8010.4513,51824,286739,2311,024,024
2013-04-03$35.87$38.5023.7%5.8%19.6%36.6%19.6%3.3%0.5%-56.6M1.69B-8.0M0.837.6834,65228,654743,4721,035,497
2013-04-04$35.97$38.5020.7%5.8%19.3%22.5%19.7%3.2%0.6%-54.6M1.63B-8.2M2.458.7615,61038,271761,1411,048,052
2013-04-05$35.64$38.0021.7%6.1%19.3%27.2%21.4%3.4%-0.1%-54.2M1.79B-8.1M3.798.7525,56796,974771,0001,073,702
2013-04-08$35.63$37.5024.5%6.1%18.3%40.0%21.3%3.4%0.1%-54.5M1.69B-8.0M1.245.4621,71926,870769,8781,042,862
2013-04-09$36.24$37.5023.4%6.0%19.6%35.3%20.9%2.6%0.0%-51.0M1.41B-8.4M0.556.4337,47120,748780,3331,045,027
2013-04-10$36.42$37.5020.2%5.9%19.1%20.3%21.2%2.4%0.1%-47.1M1.29B-8.5M0.335.9176,14124,753799,6451,046,471
2013-04-11$36.27$37.5020.2%5.8%18.3%20.5%20.7%2.9%0.1%-37.2M1.37B-8.3M0.447.0559,33526,143849,7361,046,109
2013-04-12$36.00$37.5020.4%5.8%17.8%21.3%19.8%3.0%0.1%-39.2M1.54B-8.1M0.917.8232,38529,403848,6451,052,993
2013-04-15$34.92$37.5023.4%6.7%20.3%35.3%23.4%3.4%-1.0%-54.6M1.88B-7.5M1.477.2637,20654,537820,7341,043,107
2013-04-16$35.56$37.5022.0%6.3%21.0%28.7%22.0%2.7%-0.5%-53.4M1.67B-7.9M1.248.3827,29833,909838,3241,059,862
2013-04-17$34.83$37.5023.9%6.9%21.8%37.5%24.1%3.9%-1.0%-57.6M1.93B-7.5M6.107.5149,816304,014848,1971,069,823
2013-04-18$34.93$37.5022.8%6.5%19.5%32.1%23.2%3.8%-0.4%-91.3M1.98B-8.3M1.096.8059,08564,274870,0261,187,685
2013-04-19$36.05$36.5022.0%6.3%22.8%28.7%22.3%2.5%-0.4%-76.4M1.37B-9.1M1.067.4757,18060,814920,0801,226,332
2013-04-22$36.22$36.5022.3%6.4%22.8%29.8%22.9%2.4%-0.2%-50.2M614.4M-9.0M2.138.9121,13045,041699,3981,000,060
2013-04-23$36.02$36.5022.4%6.4%22.9%30.5%22.6%1.9%-0.5%-57.0M703.9M-9.0M1.697.9923,73740,084707,8621,016,325
2013-04-24$36.48$36.5021.9%6.3%22.8%28.1%22.3%1.5%-0.2%-47.1M477.6M-9.1M0.856.6236,99431,283717,0621,034,703
2013-04-25$37.05$36.5021.7%6.2%23.6%27.1%22.4%1.9%0.1%-31.2M196.6M-9.1M1.076.3431,48133,548741,9611,035,561
2013-04-26$36.94$36.5020.3%6.1%23.3%21.0%22.2%2.2%-0.1%-25.0M242.1M-9.1M0.947.9619,79518,511756,2991,051,925
2013-04-29$37.42$36.5024.2%5.9%23.2%38.6%21.1%1.5%0.2%-14.9M-9.7M-8.8M0.7110.4640,72128,972759,0511,045,077
2013-04-30$37.74$36.5023.3%5.6%23.3%34.4%20.2%1.7%0.7%-6.4M-144.4M-8.7M1.0810.0923,59425,594765,2751,055,262