FXI Options History — January 2014

In January 2014, FXI traded between $34.16 and $37.12. ATM implied volatility averaged 22.2%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.6% (HV 20d: 25.8%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-01-24: Highest Volume — 348,584 contracts
  • 2014-01-23: Largest IV spike — 13.6% change
  • 2014-01-28: Highest IV Rank — 58.2%
  • 2014-01-24: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.64$34.16$37.12$37.12$34.58
Max Pain$35.14$34.00$38.00$38.00$34.00
ATM IV22.2%19.9%25.4%22.0%24.9%
Expected Move6.8%6.6%7.0%6.9%6.7%
HV 20d25.8%22.4%29.0%24.9%26.0%
HV 60d24.1%22.6%25.8%22.6%25.5%
IV Rank39.5%26.4%58.2%38.4%55.2%
IV Percentile55.3%21.4%88.5%57.9%85.3%
Term Structure0.1%-0.9%1.9%0.2%0.3%
VWIV24.1%22.9%26.2%24.4%23.3%
Skew 25d2.2%1.2%3.9%1.3%3.6%
Skew 10d4.9%2.7%8.2%2.7%8.0%
Call IV 25d21.7%19.6%24.4%21.9%23.9%
Put IV 25d23.9%20.8%28.0%23.2%27.6%
Bid-Ask Spread %10.515.2716.3411.068.27
Gamma HHI0.090.060.130.090.07
Net GEX-50.3M-87.2M-7.4M-38.3M-48.6M
Net DEX1.47B448.2M2.10B947.8M1.57B
Net VEX-11.3M-13.0M-9.9M-10.9M-13.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.262.822.820.26
Total Volume166,343.76266,181348,584189,825109,597
Total OI2,945,591.2862,285,1673,548,5772,744,8073,173,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$37.12$38.0022.0%6.9%24.9%38.4%24.4%1.3%0.2%-38.3M947.8M-10.9M2.8211.0649,696140,1291,449,5391,295,268
2014-01-03$36.66$38.0022.1%6.9%24.9%38.7%24.7%2.2%-0.4%-65.1M1.32B-10.7M1.0011.4039,55139,4381,473,9511,388,601
2014-01-06$36.01$38.0021.7%6.9%25.4%36.9%24.2%2.1%-0.5%-84.2M1.67B-9.9M1.4311.4649,14070,2541,477,3971,397,454
2014-01-07$36.02$38.0021.3%6.6%24.0%34.1%23.6%2.2%-0.5%-87.2M1.66B-10.1M0.425.27100,96342,1421,506,1201,432,153
2014-01-08$36.45$38.0021.1%6.6%24.7%33.2%22.9%1.7%-0.4%-70.8M1.38B-10.3M0.5813.7476,92444,2891,580,0461,455,545
2014-01-09$35.78$38.0022.0%6.6%25.2%38.1%24.0%1.7%-0.6%-84.2M1.81B-10.2M0.265.30181,41347,2111,615,1461,478,736
2014-01-10$36.43$34.0020.6%6.7%24.2%30.4%23.5%1.8%-0.3%-51.5M1.25B-11.0M0.6213.4965,43840,6851,724,3291,502,756
2014-01-13$35.71$34.0021.4%6.6%24.8%35.0%23.3%2.4%0.4%-64.3M1.75B-10.4M1.156.5839,31945,0401,701,1441,494,941
2014-01-14$36.26$34.0020.7%6.7%25.4%31.0%23.1%1.7%-0.1%-56.6M1.39B-10.8M1.2113.7964,58578,2991,723,5461,509,848
2014-01-15$36.19$34.0020.4%6.7%25.4%28.9%24.3%1.6%0.4%-53.7M1.48B-10.7M1.466.5475,401109,9201,732,0921,522,542
2014-01-16$35.86$34.0021.0%6.8%25.0%32.7%26.2%1.3%-0.1%-38.2M1.78B-11.4M1.4312.6397,714140,0571,784,8801,600,274
2014-01-17$35.80$34.0020.2%6.7%23.6%28.0%24.5%1.3%-0.1%-25.0M2.10B-11.3M1.268.2578,84399,0121,857,5601,691,017
2014-01-21$35.80$34.0020.2%6.7%22.4%27.8%23.1%1.9%1.3%-29.7M950.5M-11.5M1.2410.0329,53736,6441,214,7911,070,376
2014-01-22$36.66$34.0019.9%6.6%24.2%26.4%23.2%1.2%1.9%-7.4M448.2M-12.1M0.275.90164,17344,6481,225,2091,093,065
2014-01-23$35.02$34.0022.7%6.9%29.0%42.2%24.1%1.3%0.2%-35.6M1.31B-11.8M0.9211.99120,899111,6391,354,4531,122,991
2014-01-24$34.22$34.0024.7%7.0%28.7%53.9%24.8%2.5%0.2%-45.0M1.79B-11.3M0.9010.64183,104165,4801,419,5181,198,003
2014-01-27$34.16$34.0024.9%6.9%28.7%55.3%24.7%3.6%0.2%-45.7M1.72B-11.5M2.0415.7361,687125,7181,471,3591,252,388
2014-01-28$34.55$34.0025.4%6.9%28.4%58.2%24.7%3.6%-0.9%-38.2M1.52B-12.3M1.6116.3459,18395,5551,506,1791,339,179
2014-01-29$34.50$34.0024.4%6.9%28.4%52.6%24.7%3.9%-0.2%-42.1M1.58B-12.2M1.6114.7396,944156,4601,532,9471,397,196
2014-01-30$34.66$34.0024.5%6.8%28.1%53.0%24.6%3.9%0.2%-44.6M1.52B-13.0M0.637.5671,67744,8111,599,2951,491,842
2014-01-31$34.58$34.0024.9%6.7%26.0%55.2%23.3%3.6%0.3%-48.6M1.57B-13.0M0.268.2786,96022,6371,650,8601,522,881