FXI Options History — December 2013

In December 2013, FXI traded between $37.27 and $40.15. ATM implied volatility averaged 20.7%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.3% (HV 20d: 24.0%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-12-16: Highest Volume — 185,956 contracts
  • 2013-12-12: Largest IV spike — 41.9% change
  • 2013-12-03: Highest IV Rank — 41.8%
  • 2013-12-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.57$37.27$40.15$39.79$38.37
Max Pain$36.67$34.00$38.00$34.00$38.00
ATM IV20.7%15.4%22.8%21.7%20.5%
Expected Move6.9%6.7%7.0%6.9%6.9%
HV 20d24.0%19.9%27.9%25.6%22.4%
HV 60d20.8%19.7%21.8%20.3%21.7%
IV Rank30.6%0.0%41.8%35.4%29.7%
IV Percentile40.4%0.0%67.9%52.8%37.3%
Term Structure0.1%-1.1%1.9%-0.4%-0.4%
VWIV24.6%22.8%27.4%23.3%23.8%
Skew 25d2.2%0.8%4.2%3.5%1.7%
Skew 10d3.7%1.0%6.1%4.0%3.6%
Call IV 25d20.9%19.5%22.5%21.4%20.0%
Put IV 25d23.1%20.9%25.3%24.8%21.7%
Bid-Ask Spread %9.994.2212.764.2210.08
Gamma HHI0.080.060.120.080.07
Net GEX32.9M-49.1M126.4M115.2M9.5M
Net DEX51.3M-1.38B1.36B-1.15B272.2M
Net VEX-12.9M-14.9M-11.1M-14.9M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.311.641.080.54
Total Volume77,682.04816,474185,95682,85285,435
Total OI3,129,694.2382,692,1793,395,8103,227,2552,718,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$39.79$34.0021.7%6.9%25.6%35.4%23.3%3.5%-0.4%115.2M-1.15B-14.9M1.084.2239,88342,9691,770,9131,456,342
2013-12-03$39.43$34.0022.8%6.9%25.9%41.8%24.7%3.1%-0.5%97.9M-823.9M-14.9M0.989.8523,35122,8731,779,6821,479,291
2013-12-04$39.64$34.0021.7%6.9%25.0%35.5%23.5%3.1%0.3%109.5M-1.00B-14.9M0.549.5856,61230,7191,784,7531,490,556
2013-12-05$39.40$34.0022.4%7.0%25.2%39.6%23.9%1.8%-1.1%96.5M-768.4M-14.5M0.319.2488,94727,4591,777,2951,505,646
2013-12-06$40.15$34.0021.2%7.0%24.8%32.2%22.8%3.9%1.9%124.5M-1.38B-14.6M0.5110.4735,54318,1661,732,3631,524,326
2013-12-09$39.88$34.0021.4%7.0%25.1%33.7%25.8%2.3%0.6%125.7M-1.19B-14.1M0.689.5122,16015,1441,706,7971,504,525
2013-12-10$39.83$34.0019.7%6.9%25.0%23.6%25.5%2.7%0.0%126.4M-1.06B-13.8M0.699.0434,76323,9781,719,9501,508,221
2013-12-11$38.53$38.0015.4%7.0%27.9%0.0%26.2%4.2%0.8%31.9M83.1M-13.3M1.179.8870,82282,8781,725,3331,526,045
2013-12-12$38.11$38.0021.8%7.0%27.9%37.4%23.5%3.6%-0.4%-5.4M475.9M-12.9M0.8110.3155,34144,8531,744,5281,556,683
2013-12-13$38.38$38.0020.7%7.0%27.8%31.0%27.4%3.9%0.4%3.4M347.2M-12.9M0.6110.1144,37727,1481,774,1331,567,359
2013-12-16$38.37$38.0022.2%7.0%23.3%39.5%23.3%0.8%-0.5%17.8M224.1M-12.7M0.6210.10114,57471,3821,764,0381,557,391
2013-12-17$37.72$38.0022.4%7.0%19.9%40.5%25.7%1.3%-0.2%-25.7M964.8M-12.7M0.539.5361,98032,7591,728,0091,605,780
2013-12-18$38.47$38.0020.5%6.8%21.4%29.9%26.1%1.9%0.6%14.9M504.9M-12.5M0.6312.7648,57530,8061,782,4651,613,345
2013-12-19$37.59$38.0020.7%6.9%22.7%30.7%25.6%1.2%-0.1%-49.1M1.14B-11.9M1.649.3326,37943,1881,766,9601,601,045
2013-12-20$37.32$38.0020.1%6.9%22.6%27.5%24.9%1.2%0.7%-39.1M1.36B-11.6M0.5411.6669,44637,3191,777,0281,598,425
2013-12-23$37.27$38.0020.0%6.8%22.3%26.9%24.3%1.2%0.0%-33.4M974.4M-11.3M1.2311.8830,41137,2791,398,7751,293,404
2013-12-24$37.95$38.0020.0%6.7%22.7%26.7%24.5%1.4%0.1%-6.1M593.0M-11.7M0.3610.5521,4597,7951,415,2501,321,562
2013-12-26$37.64$38.0020.0%6.8%22.7%26.8%24.0%0.8%0.1%-17.7M682.3M-11.3M0.6511.579,9886,4861,420,8811,301,789
2013-12-27$38.20$38.0020.1%6.7%22.0%27.6%23.6%1.8%0.1%1.2M351.2M-11.4M0.5110.0620,58110,5141,422,2331,303,092
2013-12-30$37.97$38.0019.7%6.8%22.0%25.3%23.6%1.2%-0.0%-7.2M482.3M-11.1M1.309.9824,81932,1621,414,3761,284,242
2013-12-31$38.37$38.0020.5%6.9%22.4%29.7%23.8%1.7%-0.4%9.5M272.2M-11.5M0.5410.0855,62629,8091,423,8251,294,923