FXI Options History — January 2015

In January 2015, FXI traded between $41.02 and $43.81. ATM implied volatility averaged 24.5%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.9% (HV 20d: 23.6%). Max pain ranged from $40.00 to $41.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2015-01-13: Highest Volume — 168,988 contracts
  • 2015-01-08: Largest IV drop — 5.9% change
  • 2015-01-20: Highest IV Rank — 85.9%
  • 2015-01-20: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.35$41.02$43.81$41.72$41.24
Max Pain$40.65$40.00$41.50$40.00$41.50
ATM IV24.5%23.2%26.1%24.9%23.9%
Expected Move7.0%6.6%7.5%7.0%6.9%
HV 20d23.6%21.8%27.0%27.0%23.7%
HV 60d24.2%23.4%25.4%23.7%25.4%
IV Rank72.7%62.1%85.9%76.1%67.8%
IV Percentile82.8%68.3%95.6%89.7%77.4%
Term Structure-0.2%-1.0%0.4%-0.3%0.2%
VWIV24.6%23.3%26.6%24.7%24.1%
Skew 25d0.4%-0.3%1.1%0.3%-0.0%
Skew 10d0.7%-1.6%2.3%0.4%-0.4%
Call IV 25d24.9%23.2%26.6%25.4%24.5%
Put IV 25d25.3%23.7%27.0%25.7%24.4%
Bid-Ask Spread %7.776.039.969.216.03
Gamma HHI0.110.060.420.080.06
Net GEX42.4M-7.3M126.1M44.1M-7.3M
Net DEX-401.8M-922.0M245.7M-283.9M137.5M
Net VEX-10.2M-11.3M-9.7M-10.0M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.394.241.374.24
Total Volume100,227.9516,154168,98892,208145,040
Total OI2,110,282.051,370,6402,690,2812,577,5261,604,719

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$41.72$40.0024.9%7.0%27.0%76.1%24.7%0.3%-0.3%44.1M-283.9M-10.0M1.379.2138,94753,2611,008,6791,568,847
2015-01-05$41.53$40.0025.6%7.2%25.2%81.5%25.2%0.3%-0.1%41.3M-37.6M-9.8M1.139.4741,81947,382969,7551,553,394
2015-01-06$41.02$40.0025.9%7.2%25.1%83.8%25.4%-0.3%0.1%30.1M245.7M-10.0M0.539.5142,20322,159981,3021,576,492
2015-01-07$42.10$40.0025.5%7.2%26.8%81.2%25.5%0.5%-0.3%52.8M-313.7M-10.0M1.468.0919,26028,183991,4221,587,875
2015-01-08$42.43$40.0024.0%6.8%23.1%69.0%23.9%0.2%0.2%59.4M-523.5M-9.9M0.947.1573,01468,560999,1471,604,215
2015-01-09$42.37$40.0024.1%6.7%22.8%69.7%23.7%0.4%-0.1%60.3M-484.7M-10.0M0.896.8763,10656,2311,012,1651,606,246
2015-01-12$41.92$40.0024.8%7.0%23.3%75.2%24.7%0.0%-0.2%64.2M-227.2M-9.7M1.146.8753,78561,3241,005,1121,599,145
2015-01-13$42.45$40.0023.9%6.6%23.0%67.7%23.3%0.4%-0.9%67.9M-605.3M-9.7M1.037.7683,30385,6851,024,1611,593,746
2015-01-14$42.09$40.0024.5%6.9%23.3%72.8%24.7%0.5%-0.4%77.6M-335.2M-9.9M1.717.2141,27970,5971,041,2701,623,766
2015-01-15$42.46$40.0024.7%7.0%23.3%74.2%24.6%-0.3%-0.4%81.2M-550.0M-9.9M1.217.4838,83446,9381,045,6261,640,631
2015-01-16$42.22$40.5025.1%7.0%21.8%78.0%24.8%0.9%-1.0%126.1M-429.1M-9.9M0.399.42100,18739,0801,045,2001,645,081
2015-01-20$41.76$41.0026.1%7.5%22.3%85.9%26.6%0.8%-0.6%5.8M-184.3M-10.3M1.839.9625,32846,408546,089824,551
2015-01-21$43.09$41.0024.9%7.2%24.5%76.4%25.6%1.1%-0.2%23.8M-638.6M-9.9M0.828.6653,19143,822560,028850,681
2015-01-22$43.81$41.5024.9%7.1%23.9%75.7%25.3%1.1%-0.1%27.9M-894.0M-10.2M2.127.1238,22481,118590,153865,594
2015-01-23$43.77$41.5023.6%6.8%23.2%65.4%24.4%0.5%-0.6%29.6M-922.0M-10.1M1.718.5050,57286,679601,634887,430
2015-01-26$43.73$41.5023.5%6.8%22.8%64.4%23.9%0.7%0.3%27.6M-855.3M-10.3M0.806.478,9627,192603,439901,265
2015-01-27$42.89$41.5023.4%6.7%21.8%64.3%24.1%0.7%0.3%20.1M-563.0M-10.6M3.176.9611,16735,437611,281904,831
2015-01-28$42.11$41.5023.2%6.7%23.0%62.1%23.7%-0.2%0.4%6.5M-245.2M-10.9M2.656.3729,07577,033620,618932,793
2015-01-29$42.38$41.5023.2%6.7%22.2%62.3%23.8%1.1%0.2%9.3M-326.8M-11.0M2.166.1828,55261,622626,846950,412
2015-01-30$41.24$41.5023.9%6.9%23.7%67.8%24.1%-0.0%0.2%-7.3M137.5M-11.3M4.246.0327,700117,340627,889976,830