FXI Options History — August 2013

In August 2013, FXI traded between $33.78 and $36.41. ATM implied volatility averaged 22.6%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.1% (HV 20d: 22.8%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2013-08-13: Highest Volume — 174,078 contracts
  • 2013-08-15: Largest IV spike — 20.1% change
  • 2013-08-29: Highest IV Rank — 57.4%
  • 2013-08-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.29$33.78$36.41$34.92$35.13
Max Pain$34.70$34.00$35.00$34.00$35.00
ATM IV22.6%19.1%25.4%22.1%24.6%
Expected Move6.5%5.7%7.3%6.1%7.0%
HV 20d22.8%17.9%26.9%25.1%22.9%
HV 60d25.0%24.0%25.7%24.1%25.2%
IV Rank40.1%20.0%57.4%31.5%52.5%
IV Percentile63.7%16.7%86.5%62.7%82.1%
Term Structure0.1%-0.6%1.7%0.7%0.3%
VWIV23.3%20.4%25.8%22.3%25.2%
Skew 25d2.5%1.9%2.8%2.6%2.4%
Skew 10d5.0%3.8%6.1%5.7%4.7%
Call IV 25d22.0%19.0%24.8%20.5%23.8%
Put IV 25d24.5%21.3%27.1%23.1%26.2%
Bid-Ask Spread %4.883.398.765.296.14
Gamma HHI0.080.060.130.090.08
Net GEX-11.4M-34.8M15.6M-16.0M-29.4M
Net DEX236.1M-483.6M846.0M272.8M494.4M
Net VEX-10.3M-11.3M-8.8M-9.2M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.225.321.301.44
Total Volume84,888.54523,919174,07893,090134,117
Total OI2,025,221.1821,847,2872,374,1731,868,9112,072,150

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$34.92$34.0022.1%6.1%25.1%31.5%22.3%2.6%0.7%-16.0M272.8M-9.2M1.305.2940,40652,684802,5981,066,313
2013-08-02$34.97$34.0020.0%5.7%25.0%21.0%20.4%2.3%1.7%-12.6M272.2M-9.1M0.385.2023,0168,786825,7681,092,639
2013-08-05$34.67$34.5022.2%5.9%25.4%32.2%21.3%2.5%0.8%-17.7M395.2M-9.0M1.643.8924,64640,514838,0771,092,413
2013-08-06$34.43$34.5022.3%6.1%25.7%39.0%21.8%2.7%0.6%-21.5M531.5M-9.0M1.534.889,45914,460857,1871,114,254
2013-08-07$33.78$34.5022.1%6.4%26.9%37.8%22.6%2.8%0.4%-34.8M846.0M-8.8M1.765.5027,24748,075860,3911,122,621
2013-08-08$34.40$34.5022.4%6.4%20.7%39.1%22.4%2.4%-0.1%-26.3M591.1M-9.2M0.503.9269,88135,089867,1291,148,574
2013-08-09$34.53$34.5020.4%6.2%17.9%27.7%21.9%2.5%0.1%15.6M459.1M-9.2M1.214.8739,45447,831921,3141,168,605
2013-08-12$35.65$34.5020.3%6.1%20.6%26.9%21.6%2.5%0.4%4.3M-87.5M-9.4M0.684.7685,15458,167936,2301,166,568
2013-08-13$36.38$34.5020.3%6.3%21.5%26.8%22.6%2.4%0.1%12.1M-483.6M-10.1M1.284.7876,40797,671987,4171,198,180
2013-08-14$36.41$34.5019.1%6.3%21.5%20.0%21.6%2.3%0.0%4.3M-430.7M-10.4M0.226.59116,06525,2751,007,1731,258,980
2013-08-15$36.15$34.5023.0%6.6%21.6%42.8%24.4%2.3%-0.1%8.3M-326.1M-10.8M3.013.6026,51379,8611,065,3611,253,976
2013-08-16$36.16$35.0023.0%6.6%21.6%42.9%24.0%2.8%-0.0%-8.4M-323.3M-10.9M1.664.7031,80152,8761,069,6951,304,478
2013-08-19$36.06$35.0022.9%6.6%21.7%42.2%22.6%2.8%-0.0%1.9M41.4M-10.9M0.653.3933,45321,636844,3891,002,898
2013-08-20$35.57$35.0023.5%6.8%20.6%46.2%24.3%2.7%0.0%-11.6M273.7M-10.9M1.024.0025,98626,405831,0441,018,172
2013-08-21$34.85$35.0024.3%7.0%21.6%50.7%25.0%2.7%-0.2%-20.2M540.6M-10.9M5.323.9818,845100,346850,7051,018,979
2013-08-22$35.79$35.0023.3%6.7%23.4%44.6%24.2%2.4%0.3%-9.0M190.1M-11.2M0.924.7822,64620,916858,5401,066,058
2013-08-23$35.66$35.0023.1%6.6%23.4%43.5%24.1%2.4%-0.1%-9.4M220.5M-10.9M1.654.4646,44976,478868,0491,064,144
2013-08-26$35.68$35.0023.4%6.7%22.9%45.3%23.8%1.9%-0.4%-9.1M206.9M-11.1M0.734.7924,11317,585889,1411,092,405
2013-08-27$35.08$35.0025.0%7.2%23.9%55.0%25.8%2.6%-0.6%-21.3M493.8M-11.2M3.158.7611,56436,479898,3451,099,339
2013-08-28$34.99$35.0025.3%7.3%23.8%56.8%25.8%2.5%-0.5%-26.5M534.9M-11.3M1.884.3414,43527,166905,1871,121,549
2013-08-29$35.11$35.0025.4%7.3%22.9%57.4%25.5%2.4%-0.2%-23.7M481.0M-11.3M2.404.7222,81354,778906,3891,121,442
2013-08-30$35.13$35.0024.6%7.0%22.9%52.5%25.2%2.4%0.3%-29.4M494.4M-11.3M1.446.1455,05479,063918,7001,153,450