FXI Options History — May 2013

In May 2013, FXI traded between $36.01 and $38.62. ATM implied volatility averaged 20.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.0% (HV 20d: 19.3%). Max pain ranged from $36.50 to $38.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.47.

Notable Days

2013-05-13: Highest Volume — 106,487 contracts
2013-05-02: Largest IV drop — 27.8% change
2013-05-01: Highest IV Rank — 57.0%
2013-05-31: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.58	$36.01	$38.62	$37.19	$36.01
Max Pain	$37.39	$36.50	$38.00	$36.50	$37.50
ATM IV	20.3%	17.3%	28.2%	28.2%	22.7%
Expected Move	5.9%	5.4%	6.4%	6.2%	6.4%
HV 20d	19.3%	15.0%	23.1%	23.1%	18.4%
HV 60d	19.9%	19.5%	20.3%	20.0%	20.3%
IV Rank	20.8%	7.2%	57.0%	57.0%	32.0%
IV Percentile	31.8%	3.2%	88.9%	88.9%	66.3%
Term Structure	0.7%	-0.1%	1.6%	-0.1%	0.1%
VWIV	20.8%	19.2%	23.0%	21.7%	23.0%
Skew 25d	2.0%	1.1%	3.2%	2.6%	3.2%
Skew 10d	4.0%	1.9%	6.3%	5.0%	6.3%
Call IV 25d	19.8%	17.9%	21.4%	20.5%	21.4%
Put IV 25d	21.8%	19.8%	24.6%	23.1%	24.6%
Bid-Ask Spread %	8.77	4.10	12.64	12.20	9.35
Gamma HHI	0.08	0.06	0.15	0.12	0.07
Net GEX	-12.3M	-42.8M	16.7M	-26.6M	-42.8M
Net DEX	85.1M	-547.8M	899.3M	151.6M	899.3M
Net VEX	-8.2M	-8.8M	-7.9M	-8.8M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.36	3.68	0.95	1.68
Total Volume	53,918.273	23,680	106,487	29,729	87,363
Total OI	1,653,220.727	1,193,013	1,982,205	1,828,504	1,417,060

Daily Data (22 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
2013-05-01	$37.19	$36.50	28.2%	6.2%	23.1%	57.0%	21.7%	2.6%	-0.1%	-26.6M	151.6M	-8.8M	0.95	12.20	15,211	14,518	763,059	1,065,445
2013-05-02	$37.38	$36.50	20.3%	5.6%	23.1%	21.1%	20.7%	2.7%	0.9%	-13.8M	23.1M	-8.6M	2.94	12.64	7,880	23,195	765,805	1,066,311
2013-05-03	$37.71	$36.50	18.8%	5.4%	22.9%	14.1%	19.2%	1.9%	1.6%	-12.1M	-143.5M	-8.4M	0.68	7.47	28,809	19,683	767,324	1,076,987
2013-05-06	$37.89	$37.00	20.5%	5.8%	22.8%	22.0%	20.6%	2.1%	0.8%	-4.4M	-205.5M	-8.2M	0.71	4.10	14,824	10,528	758,387	1,069,336
2013-05-07	$38.31	$37.00	18.7%	5.5%	22.5%	13.7%	19.7%	1.7%	0.7%	10.1M	-409.9M	-8.2M	1.01	7.57	21,616	21,816	764,408	1,072,297
2013-05-08	$38.62	$37.00	17.6%	5.8%	22.5%	8.6%	20.3%	1.5%	0.8%	16.7M	-547.8M	-8.1M	0.59	6.40	39,064	23,025	769,745	1,079,771
2013-05-09	$38.22	$37.50	18.0%	5.7%	22.9%	10.4%	20.4%	1.6%	1.2%	7.9M	-355.0M	-8.3M	3.68	5.40	12,602	46,331	785,376	1,091,681
2013-05-10	$38.42	$37.50	17.6%	5.7%	22.6%	8.7%	20.4%	2.1%	1.0%	10.2M	-412.3M	-8.3M	0.74	5.02	37,279	27,552	784,649	1,124,950
2013-05-13	$37.73	$37.50	19.4%	5.9%	20.5%	16.7%	20.6%	2.1%	1.0%	-11.0M	-60.1M	-8.2M	1.70	9.38	39,437	67,050	786,326	1,136,858
2013-05-14	$37.75	$37.50	19.1%	5.9%	19.8%	15.2%	20.6%	2.0%	0.9%	-14.2M	-61.9M	-8.4M	2.34	8.36	8,310	19,450	793,861	1,170,739
2013-05-15	$37.75	$37.50	17.3%	5.7%	17.7%	7.2%	20.1%	1.9%	1.1%	-16.5M	-47.0M	-8.2M	3.05	9.85	11,825	36,110	791,693	1,179,259
2013-05-16	$37.54	$37.50	19.8%	5.7%	18.1%	18.4%	20.1%	1.8%	0.7%	-32.7M	86.5M	-8.2M	1.40	9.88	12,674	17,702	785,465	1,191,525
2013-05-17	$37.91	$37.50	19.3%	5.5%	15.0%	16.1%	19.4%	1.4%	0.7%	14.1M	-99.6M	-8.2M	0.36	10.32	37,319	13,369	785,141	1,197,064
2013-05-20	$38.37	$37.50	19.6%	5.6%	15.4%	17.7%	19.7%	1.1%	0.7%	-2.8M	13.7M	-8.2M	0.61	10.46	40,001	24,471	513,552	679,461
2013-05-21	$38.12	$38.00	19.5%	5.6%	15.4%	17.0%	19.7%	1.1%	1.0%	-3.3M	103.6M	-8.3M	0.79	9.72	23,505	18,487	543,145	696,635
2013-05-22	$37.54	$38.00	20.7%	5.9%	16.2%	22.6%	21.3%	1.8%	0.4%	-14.5M	268.9M	-8.1M	1.60	8.69	20,411	32,600	554,187	704,567
2013-05-23	$37.18	$38.00	21.7%	6.2%	15.8%	27.1%	21.8%	2.1%	0.6%	-22.3M	446.5M	-8.2M	1.23	10.69	31,717	39,002	559,094	721,500
2013-05-24	$36.56	$38.00	21.9%	6.3%	16.9%	28.1%	22.0%	2.2%	0.5%	-31.8M	651.5M	-8.1M	0.99	8.73	45,339	44,858	570,333	732,366
2013-05-28	$37.16	$37.50	21.8%	6.2%	17.3%	27.5%	21.8%	2.3%	0.1%	-20.9M	418.3M	-8.3M	1.36	8.05	18,443	25,104	588,755	751,807
2013-05-29	$36.58	$37.50	22.0%	6.3%	17.8%	28.5%	22.4%	2.0%	0.1%	-31.9M	593.9M	-7.9M	2.10	8.96	7,627	16,053	593,927	760,708
2013-05-30	$36.74	$37.50	22.0%	6.3%	17.2%	28.6%	21.8%	2.1%	0.1%	-27.0M	557.6M	-8.0M	1.73	9.82	30,765	53,277	597,028	763,269
2013-05-31	$36.01	$37.50	22.7%	6.4%	18.4%	32.0%	23.0%	3.2%	0.1%	-42.8M	899.3M	-8.0M	1.68	9.35	32,571	54,792	610,965	806,095