FXI Options History — November 2014

In November 2014, FXI traded between $38.49 and $40.93. ATM implied volatility averaged 20.8%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.0% (HV 20d: 18.8%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.45.

Notable Days

  • 2014-11-21: Highest Volume — 244,758 contracts
  • 2014-11-26: Largest IV spike — 12.1% change
  • 2014-11-14: Highest IV Rank — 64.7%
  • 2014-11-14: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.58$38.49$40.93$39.53$40.60
Max Pain$39.18$38.50$40.00$39.00$40.00
ATM IV20.8%19.2%23.4%19.7%21.8%
Expected Move5.6%5.4%5.9%5.7%5.8%
HV 20d18.8%14.9%23.8%18.2%23.6%
HV 60d19.3%18.3%20.9%18.8%20.8%
IV Rank43.6%31.0%64.7%34.9%51.7%
IV Percentile54.5%32.5%82.5%37.7%70.6%
Term Structure-0.1%-1.1%1.2%0.2%-0.5%
VWIV20.6%19.8%21.8%20.0%20.4%
Skew 25d0.4%-0.5%1.9%1.5%-0.5%
Skew 10d0.8%-1.5%3.8%3.2%-1.5%
Call IV 25d20.9%19.2%23.6%19.6%22.0%
Put IV 25d21.3%19.7%23.7%21.1%21.5%
Bid-Ask Spread %13.9910.4217.6812.5013.75
Gamma HHI0.080.060.290.070.09
Net GEX20.1M-54.9M113.9M14.4M52.5M
Net DEX315.6M-583.6M1.34B242.8M-140.7M
Net VEX-11.2M-12.3M-10.4M-11.6M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.235.091.450.40
Total Volume135,547.84246,299244,758174,60546,299
Total OI3,027,833.3162,608,5973,270,5832,970,0962,694,503

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$39.53$39.0019.7%5.7%18.2%34.9%20.0%1.5%0.2%14.4M242.8M-11.6M1.4512.5071,389103,2161,210,5221,759,574
2014-11-04$39.79$39.0019.3%5.6%17.9%32.1%20.4%1.9%0.1%23.4M102.0M-11.5M0.9311.8786,15380,5351,209,8931,770,583
2014-11-05$39.43$39.0019.7%5.7%17.3%34.9%20.8%0.9%0.3%13.9M285.6M-11.8M1.4512.6546,66567,8291,257,8231,789,627
2014-11-06$39.35$39.0019.6%5.6%16.4%34.5%21.8%1.4%0.3%10.0M354.6M-11.7M1.3214.2258,55177,0421,266,1451,796,290
2014-11-07$39.29$39.0019.2%5.6%15.5%31.0%21.3%0.7%0.1%7.2M477.8M-12.3M1.1215.4880,65890,4101,271,2951,819,587
2014-11-10$39.30$39.0020.0%5.6%15.5%37.6%21.3%0.1%0.9%20.3M350.9M-11.6M2.3514.3640,38394,7501,277,6931,803,696
2014-11-11$39.48$39.0020.1%5.6%15.4%38.0%21.7%0.7%1.2%26.5M201.4M-10.6M2.5315.2531,83080,3791,272,8061,750,278
2014-11-12$39.45$39.0020.6%5.6%15.0%42.1%21.3%-0.2%1.1%21.0M268.9M-11.4M1.0513.1273,93777,7821,288,4151,829,143
2014-11-13$39.68$39.0022.0%5.8%14.9%53.6%21.4%-0.1%1.2%38.6M72.7M-11.1M0.8614.4275,29164,9761,300,8841,841,859
2014-11-14$40.45$39.0023.4%5.9%15.7%64.7%20.7%0.0%0.8%70.0M-583.6M-11.1M0.2313.4898,26322,2301,324,2951,853,390
2014-11-17$39.24$39.0021.6%5.6%19.6%50.0%20.3%-0.1%-0.6%18.3M493.9M-10.9M0.7213.41110,55079,3201,334,0391,850,505
2014-11-18$38.82$39.0021.4%5.6%20.1%48.9%20.6%-0.0%-1.1%-6.5M855.8M-11.1M1.3113.0170,27392,0311,384,5201,873,129
2014-11-19$38.64$39.0020.5%5.4%20.1%41.7%20.5%0.4%-0.7%-31.0M1.11B-10.8M5.0914.3111,96960,8741,372,0641,892,972
2014-11-20$38.49$39.0019.9%5.4%20.1%36.6%19.8%0.3%-0.9%-54.9M1.34B-10.6M1.2216.2942,29151,4451,356,5011,906,085
2014-11-21$39.90$38.5021.6%5.5%23.8%50.3%19.9%-0.2%-1.0%113.9M-8.2M-10.7M0.6816.60145,98098,7781,355,7791,914,804
2014-11-24$40.02$40.0021.5%5.5%23.1%49.3%19.8%0.8%-1.0%5.4M337.4M-11.2M2.8317.6828,12579,4621,031,0141,577,583
2014-11-25$39.71$40.0020.1%5.4%20.8%38.1%20.1%-0.1%-0.7%3.9M476.8M-10.4M1.0710.4244,82048,1191,047,0111,582,729
2014-11-26$40.93$40.0022.5%5.7%23.3%57.8%19.8%-0.4%-0.8%34.9M-247.9M-11.4M0.8812.9775,95466,8501,062,3951,599,402
2014-11-28$40.60$40.0021.8%5.8%23.6%51.7%20.4%-0.5%-0.5%52.5M-140.7M-10.6M0.4013.7532,97813,3211,083,4751,611,028