FXI Options History — November 2013

In November 2013, FXI traded between $36.49 and $40.19. ATM implied volatility averaged 21.8%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.5% (HV 20d: 21.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-11-18: Highest Volume — 545,732 contracts
  • 2013-11-18: Largest IV spike — 15.3% change
  • 2013-11-18: Highest IV Rank — 56.4%
  • 2013-11-25: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$36.49$40.19$37.83$40.13
Max Pain$34.65$34.00$35.00$35.00$34.00
ATM IV21.8%19.8%25.3%20.4%21.3%
Expected Move6.9%6.5%7.1%6.5%6.8%
HV 20d21.3%16.3%27.4%16.8%25.3%
HV 60d19.7%18.4%21.0%19.6%20.2%
IV Rank35.6%23.9%56.4%27.6%32.7%
IV Percentile52.5%23.0%87.7%33.7%47.2%
Term Structure-1.6%-5.5%2.6%0.1%1.0%
VWIV25.2%22.6%27.0%24.6%25.1%
Skew 25d2.6%0.8%5.5%1.9%4.2%
Skew 10d4.6%2.6%7.1%4.2%5.2%
Call IV 25d21.2%19.7%24.5%20.1%20.4%
Put IV 25d23.9%21.4%27.1%22.0%24.6%
Bid-Ask Spread %3.923.115.813.755.81
Gamma HHI0.070.060.090.080.09
Net GEX36.5M-66.5M133.8M23.9M133.8M
Net DEX-336.7M-1.58B1.12B-184.5M-1.53B
Net VEX-13.1M-16.2M-10.8M-11.4M-15.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.212.791.600.36
Total Volume162,353.7551,772545,73284,60884,139
Total OI2,946,937.42,501,8353,301,0482,624,5373,301,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$37.83$35.0020.4%6.5%16.8%27.6%24.6%1.9%0.1%23.9M-184.5M-11.4M1.603.7532,53952,0691,186,7181,437,819
2013-11-04$37.89$35.0020.1%6.6%16.3%25.7%25.6%1.4%-3.2%30.3M-237.7M-11.2M2.794.1422,71663,4841,205,8991,455,624
2013-11-05$37.28$35.0021.5%6.8%17.3%34.3%23.1%2.1%-3.3%-5.0M294.0M-11.8M1.753.7368,149119,1171,216,9051,498,811
2013-11-06$37.24$35.0021.4%6.8%17.2%33.3%22.6%2.1%-3.1%-11.4M416.5M-12.1M1.304.6531,47941,0541,265,6191,580,586
2013-11-07$36.64$35.0021.0%6.8%17.5%31.3%26.5%2.0%-2.0%-48.7M928.1M-11.7M1.134.2545,12650,9111,256,5511,597,413
2013-11-08$36.84$35.0020.3%6.8%17.5%26.8%24.6%2.0%-1.9%-40.4M828.6M-11.6M0.413.6394,95039,1361,271,9951,616,394
2013-11-11$37.23$35.0020.7%6.8%17.9%29.4%25.6%2.1%-4.1%-15.5M495.7M-11.4M0.573.9037,99721,7261,280,6431,602,274
2013-11-12$36.90$35.0020.4%6.8%17.9%27.8%25.5%2.0%-2.6%-38.4M796.7M-11.0M0.563.8375,93042,1681,298,8251,606,711
2013-11-13$36.49$35.0021.5%6.9%18.1%34.2%25.4%2.0%-3.6%-66.5M1.12B-11.0M1.383.6831,31443,1891,309,1751,614,066
2013-11-14$36.83$35.0019.8%6.8%18.6%23.9%25.6%2.4%-3.5%-52.0M843.2M-10.8M0.473.3771,44833,4251,313,4271,615,922
2013-11-15$38.44$35.0021.9%6.9%24.4%36.4%25.0%0.8%-5.5%19.5M-766.2M-11.5M0.434.18322,856137,6341,334,3301,616,041
2013-11-18$39.82$35.0025.3%6.9%27.4%56.4%25.2%2.6%-0.6%62.8M-1.18B-12.8M0.213.48450,88394,8491,218,8421,282,993
2013-11-19$39.88$35.0023.7%7.0%27.3%47.0%26.9%3.7%0.3%79.6M-1.28B-14.1M0.273.11395,048104,7621,401,2761,336,014
2013-11-20$39.57$34.0023.6%7.0%24.2%46.6%26.7%3.1%-0.2%103.3M-1.22B-15.6M0.893.9767,54560,3011,711,6141,385,997
2013-11-21$39.72$34.0023.4%7.0%23.5%45.0%25.2%3.8%-0.6%109.6M-1.33B-15.7M0.584.24112,93065,5521,733,4941,413,272
2013-11-22$39.96$34.0022.2%7.1%23.4%38.1%24.5%5.5%2.6%122.5M-1.48B-16.2M0.693.6252,30936,1961,791,2411,456,810
2013-11-25$39.17$34.0022.1%7.1%25.0%37.8%25.4%3.5%0.3%88.3M-763.0M-15.4M0.603.8659,68036,0941,776,6561,443,419
2013-11-26$39.38$34.0022.4%7.0%24.8%39.2%27.0%1.6%-2.1%100.7M-921.4M-15.4M0.383.3037,52414,2481,780,2871,463,900
2013-11-27$40.19$34.0022.3%7.0%25.3%39.0%23.8%3.5%-0.0%132.9M-1.58B-15.8M0.423.9867,80728,7911,791,0091,469,128
2013-11-29$40.13$34.0021.3%6.8%25.3%32.7%25.1%4.2%1.0%133.8M-1.53B-15.2M0.365.8161,67722,4621,819,2611,481,787