FXI Options History — March 2014

In March 2014, FXI traded between $32.98 and $35.83. ATM implied volatility averaged 24.1%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.2% (HV 20d: 21.9%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-03-13: Highest Volume — 318,619 contracts
  • 2014-03-18: Largest IV drop — 7.1% change
  • 2014-03-13: Highest IV Rank — 66.4%
  • 2014-03-14: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.35$32.98$35.83$34.96$35.78
Max Pain$34.76$34.00$35.00$34.00$35.00
ATM IV24.1%22.4%26.8%25.1%22.4%
Expected Move6.7%6.6%6.9%6.8%6.6%
HV 20d21.9%18.3%24.4%23.9%22.2%
HV 60d24.5%23.9%24.8%24.7%23.9%
IV Rank50.7%40.6%66.4%56.7%40.6%
IV Percentile71.8%51.2%92.9%85.7%51.2%
Term Structure-0.2%-1.0%0.3%-0.2%-0.1%
VWIV24.6%23.0%26.8%24.4%23.2%
Skew 25d2.7%1.3%4.3%3.3%1.9%
Skew 10d5.4%2.5%9.6%6.7%3.2%
Call IV 25d23.5%21.4%25.5%24.2%22.1%
Put IV 25d26.2%24.0%29.7%27.5%24.0%
Bid-Ask Spread %8.705.9913.216.656.16
Gamma HHI0.090.070.210.070.08
Net GEX-59.6M-179.1M31.6M-34.9M31.6M
Net DEX1.66B-277.1M3.23B1.22B-105.6M
Net VEX-14.3M-15.4M-13.1M-14.6M-14.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.372.880.641.59
Total Volume155,235.8156,638318,61972,170170,613
Total OI3,631,616.4293,261,8084,212,0733,261,8083,341,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$34.96$34.0025.1%6.8%23.9%56.7%24.4%3.3%-0.2%-34.9M1.22B-14.6M0.646.6544,11028,0601,664,9231,596,885
2014-03-04$35.36$34.0024.1%6.8%22.2%50.8%25.5%2.8%-0.1%-16.2M902.0M-14.8M0.459.5376,75234,7171,675,0031,595,925
2014-03-05$35.01$34.0024.7%6.8%22.4%54.2%25.2%2.9%-0.1%-30.4M1.19B-14.7M0.759.5781,29161,0211,720,3361,622,728
2014-03-06$35.38$34.0023.7%6.8%22.0%48.1%24.9%2.4%-0.1%-7.8M929.7M-15.1M1.3411.8054,04172,3171,760,6481,662,606
2014-03-07$34.99$34.0023.6%6.8%21.8%47.8%23.6%2.5%-0.0%-65.7M1.27B-14.9M2.888.2242,037120,9171,787,9301,675,845
2014-03-10$34.44$35.0024.9%6.8%22.6%55.4%23.0%3.3%-1.0%-64.1M1.77B-14.2M1.5013.2155,01682,4371,765,1391,705,875
2014-03-11$33.90$35.0025.6%6.8%23.1%59.1%25.8%3.6%-0.9%-83.5M2.17B-13.8M2.577.9964,266165,3121,796,4741,747,432
2014-03-12$33.81$35.0025.3%6.8%18.3%57.6%25.5%3.9%-0.8%-108.9M2.38B-14.0M0.9313.09120,557112,6211,831,7281,864,248
2014-03-13$32.98$35.0026.8%6.9%19.9%66.4%25.4%4.2%-0.3%-113.6M3.07B-13.1M1.448.51130,326188,2931,909,5971,915,666
2014-03-14$33.03$35.0026.3%6.9%19.9%63.3%24.6%4.3%-0.8%-179.1M3.16B-13.6M2.558.8749,547126,4622,008,0262,029,199
2014-03-17$33.07$35.0024.5%6.8%19.4%53.1%23.6%3.7%0.3%-122.1M3.16B-13.2M2.348.1437,20286,9371,958,6312,032,273
2014-03-18$33.63$35.0022.8%6.7%20.8%43.0%24.4%3.3%0.3%-125.1M2.75B-13.6M0.749.86102,19375,1911,978,6542,049,853
2014-03-19$33.10$35.0023.2%6.8%21.0%45.3%24.0%2.5%-0.0%-124.5M3.11B-13.7M1.657.7121,35535,2832,066,0632,098,419
2014-03-20$33.00$35.0022.7%6.7%20.9%42.5%24.9%2.4%0.3%-135.1M3.23B-13.1M1.5210.5750,03076,0482,061,1392,084,279
2014-03-21$33.95$35.0023.1%6.6%23.8%44.7%24.9%1.5%-0.0%-81.5M2.23B-14.5M0.917.18144,862131,7512,101,6222,110,451
2014-03-24$34.49$35.0023.9%6.7%24.4%49.4%24.1%1.3%-0.1%-31.4M907.8M-14.7M0.828.3665,87654,0061,657,8701,624,181
2014-03-25$34.77$35.0023.3%6.7%23.8%46.0%26.8%1.3%-0.1%-8.8M687.3M-14.8M0.617.16113,47269,2291,702,5961,645,987
2014-03-26$34.85$35.0023.5%6.7%23.8%46.8%23.7%1.6%-0.2%1.0M632.0M-15.1M0.985.9938,41037,8061,761,4081,682,953
2014-03-27$35.10$35.0023.4%6.7%21.7%46.3%24.8%1.9%0.1%21.1M400.7M-15.3M0.376.2546,92817,3381,771,5971,700,269
2014-03-28$35.83$35.0023.5%6.7%22.7%46.9%25.2%1.8%0.1%27.5M-277.1M-15.4M1.657.8466,117109,2051,789,0451,708,460
2014-03-31$35.78$35.0022.4%6.6%22.2%40.6%23.2%1.9%-0.1%31.6M-105.6M-14.6M1.596.1665,947104,6661,740,7961,601,186