FXI Options History — September 2014 In September 2014, FXI traded between $38.27 and $42.52. ATM implied volatility averaged 18.6%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 18.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2014-09-30 : Highest Volume — 207,514 contracts2014-09-03 : Largest IV spike — 11.1% change2014-09-29 : Highest IV Rank — 47.0%2014-09-29 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $40.44 $38.27 $42.52 $40.71 $38.28 Max Pain $39.62 $39.00 $40.00 $39.00 $40.00 ATM IV 18.6% 15.6% 21.2% 15.6% 21.1% Expected Move 5.5% 5.3% 5.9% 5.3% 5.9% HV 20d 18.2% 14.8% 21.9% 14.8% 21.7% HV 60d 16.6% 14.9% 17.8% 14.9% 17.8% IV Rank 25.8% 1.2% 47.0% 1.2% 46.1% IV Percentile 27.9% 1.2% 61.5% 1.2% 60.3% Term Structure 0.1% -0.3% 0.7% 0.4% -0.1% VWIV 20.3% 18.5% 23.0% 20.9% 21.8% Skew 25d 0.8% -0.0% 2.1% 0.4% 2.1% Skew 10d 1.4% -0.5% 4.6% 0.6% 4.6% Call IV 25d 18.7% 15.9% 20.9% 15.9% 20.8% Put IV 25d 19.5% 16.3% 22.8% 16.3% 22.8% Bid-Ask Spread % 12.57 10.74 16.31 11.31 14.40 Gamma HHI 0.09 0.07 0.13 0.07 0.09 Net GEX -22.9M -98.3M 48.7M 408.9K -98.3M Net DEX 336.1M -943.2M 1.64B 105.0M 1.64B Net VEX -11.6M -13.2M -10.2M -10.8M -13.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 0.53 4.23 4.23 2.78 Total Volume 121,515.81 43,042 207,514 43,042 207,514 Total OI 2,733,113.524 2,475,383 3,039,870 2,521,211 2,838,265
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2014-09-02 $40.71 $39.00 15.6% 5.3% 14.8% 1.2% 20.9% 0.4% 0.4% 408.9K 105.0M -10.8M 4.23 11.31 8,225 34,817 991,878 1,529,333 2014-09-03 $42.06 $39.00 17.3% 5.4% 17.9% 13.4% 19.8% 0.5% 0.2% 32.0M -701.2M -10.2M 0.99 12.05 47,768 47,079 994,990 1,548,612 2014-09-04 $42.19 $39.00 17.3% 5.4% 17.6% 15.6% 23.0% -0.0% -0.1% 39.0M -777.8M -10.3M 1.00 10.74 35,766 35,671 1,026,461 1,573,002 2014-09-05 $42.52 $39.00 17.3% 5.3% 17.2% 15.3% 18.5% 0.6% 0.3% 48.3M -943.2M -11.1M 0.92 11.04 43,959 40,389 1,061,267 1,597,590 2014-09-08 $42.29 $39.00 17.4% 5.3% 16.8% 16.3% 18.7% 0.2% 0.2% 48.7M -813.3M -11.1M 2.91 12.01 18,152 52,870 1,077,552 1,595,445 2014-09-09 $41.99 $39.00 17.9% 5.4% 16.6% 20.7% 18.7% 0.6% -0.2% 33.7M -583.7M -10.5M 2.24 11.44 33,698 75,591 1,051,515 1,620,687 2014-09-10 $41.25 $39.00 18.1% 5.5% 17.9% 22.1% 20.1% 0.7% -0.2% -24.7M 9.9M -11.5M 3.06 11.60 30,034 91,812 1,063,925 1,680,672 2014-09-11 $41.11 $39.00 18.1% 5.5% 17.4% 22.5% 20.0% 0.5% -0.0% -57.0M 142.0M -10.9M 1.95 11.09 58,578 114,293 1,074,500 1,720,034 2014-09-12 $40.95 $40.00 18.7% 5.5% 17.0% 26.6% 19.3% 1.2% -0.3% -64.5M 254.7M -11.7M 1.16 11.46 38,352 44,380 1,090,223 1,736,771 2014-09-15 $40.37 $40.00 19.5% 5.6% 17.7% 33.2% 19.6% 0.9% 0.0% -24.1M 549.7M -11.4M 2.56 12.41 27,610 70,563 1,100,626 1,731,385 2014-09-16 $40.63 $40.00 20.3% 5.7% 17.6% 39.6% 19.9% 0.6% 0.1% -9.1M 372.2M -11.9M 0.74 12.00 106,480 78,496 1,114,210 1,753,712 2014-09-17 $40.34 $40.00 18.8% 5.6% 17.7% 27.9% 20.1% 0.9% 0.5% -14.8M 571.0M -11.7M 0.63 14.05 90,998 57,083 1,139,309 1,742,690 2014-09-18 $40.28 $40.00 18.5% 5.5% 17.6% 25.3% 20.3% 0.5% 0.7% -23.6M 573.0M -11.9M 0.53 14.24 90,584 48,271 1,190,224 1,755,849 2014-09-19 $39.87 $40.00 18.0% 5.4% 17.4% 21.3% 21.8% 0.6% 0.6% -45.2M 834.4M -12.2M 2.01 13.41 63,915 128,686 1,260,340 1,779,530 2014-09-22 $39.12 $40.00 19.5% 5.6% 18.3% 33.6% 20.4% 1.2% 0.1% -56.4M 923.6M -11.7M 0.93 12.18 72,556 67,262 1,039,239 1,436,144 2014-09-23 $39.08 $40.00 18.6% 5.5% 17.9% 25.8% 19.8% 1.0% 0.2% -55.0M 965.7M -11.6M 0.74 10.90 78,726 58,321 1,083,991 1,472,802 2014-09-24 $39.84 $40.00 18.5% 5.5% 19.5% 25.2% 20.7% 0.7% 0.2% -19.9M 404.3M -12.6M 1.39 13.67 61,592 85,816 1,141,103 1,496,734 2014-09-25 $39.00 $40.00 19.4% 5.7% 20.6% 32.7% 22.1% 1.6% -0.2% -53.9M 1.03B -13.2M 1.59 12.43 38,499 61,187 1,177,940 1,553,870 2014-09-26 $39.19 $40.00 19.2% 5.7% 20.4% 31.2% 19.6% 0.7% 0.3% -53.0M 973.0M -12.6M 0.65 16.31 38,576 24,891 1,196,138 1,602,559 2014-09-29 $38.27 $40.00 21.2% 5.9% 21.9% 47.0% 21.8% 1.7% -0.3% -82.8M 1.54B -12.6M 4.13 15.29 27,834 114,938 1,168,165 1,586,102 2014-09-30 $38.28 $40.00 21.1% 5.9% 21.7% 46.1% 21.8% 2.1% -0.1% -98.3M 1.64B -13.0M 2.78 14.40 54,846 152,668 1,178,990 1,659,275
« Aug 2014 | All History | Oct 2014 » Home FXI History September 2014