FXI Options History — June 2013

In June 2013, FXI traded between $31.70 and $36.54. ATM implied volatility averaged 26.2%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.5% (HV 20d: 21.8%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.28.

Notable Days

2013-06-24: Highest Volume — 368,451 contracts
2013-06-20: Largest IV spike — 22.9% change
2013-06-25: Highest IV Rank — 84.2%
2013-06-25: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.11	$31.70	$36.54	$36.54	$32.52
Max Pain	$36.77	$36.00	$38.00	$37.50	$36.00
ATM IV	26.2%	22.1%	32.6%	26.8%	25.7%
Expected Move	7.2%	6.4%	9.4%	6.5%	7.4%
HV 20d	21.8%	17.9%	27.2%	18.9%	26.8%
HV 60d	21.1%	19.9%	23.2%	20.6%	23.1%
IV Rank	51.4%	30.4%	84.2%	50.7%	49.8%
IV Percentile	87.2%	61.1%	99.2%	90.1%	88.5%
Term Structure	-0.6%	-2.3%	0.5%	-0.7%	0.5%
VWIV	25.7%	22.6%	32.7%	23.1%	26.1%
Skew 25d	3.8%	1.7%	6.0%	1.8%	5.7%
Skew 10d	6.1%	2.4%	11.8%	3.9%	10.2%
Call IV 25d	23.8%	20.6%	30.1%	22.1%	23.5%
Put IV 25d	27.6%	23.7%	35.7%	23.9%	29.2%
Bid-Ask Spread %	7.54	3.11	11.27	10.72	4.96
Gamma HHI	0.10	0.07	0.15	0.07	0.10
Net GEX	-52.2M	-72.9M	-26.6M	-38.9M	-40.2M
Net DEX	1.47B	703.4M	2.36B	703.4M	1.42B
Net VEX	-7.5M	-8.2M	-6.4M	-8.2M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.56	2.56	1.75	1.02
Total Volume	117,738.6	42,282	368,451	72,489	60,213
Total OI	1,706,104.9	1,457,221	2,070,144	1,457,221	1,766,089

Daily Data (20 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
2013-06-03	$36.54	$37.50	26.8%	6.5%	18.9%	50.7%	23.1%	1.8%	-0.7%	-38.9M	703.4M	-8.2M	1.75	10.72	26,352	46,137	626,469	830,752
2013-06-04	$36.18	$37.50	26.4%	6.4%	19.0%	48.7%	22.6%	2.3%	-0.6%	-50.8M	853.7M	-8.0M	1.57	9.16	21,872	34,314	641,737	857,837
2013-06-05	$35.69	$37.50	28.6%	6.6%	18.7%	59.2%	22.9%	2.1%	-0.7%	-56.2M	1.08B	-8.0M	1.75	11.27	15,393	26,889	653,716	874,901
2013-06-06	$35.92	$37.50	24.2%	6.5%	18.6%	38.6%	23.2%	2.1%	-0.7%	-55.6M	977.3M	-8.1M	1.18	7.05	23,464	27,763	661,837	886,027
2013-06-07	$35.67	$38.00	22.1%	6.7%	18.4%	30.4%	23.3%	3.8%	-0.6%	-54.4M	1.10B	-7.9M	1.29	8.46	32,393	41,948	674,612	894,281
2013-06-10	$35.35	$37.50	24.5%	6.4%	18.2%	43.6%	23.2%	3.6%	-0.1%	-61.5M	1.26B	-7.6M	2.56	8.52	18,394	47,085	683,621	897,909
2013-06-11	$34.82	$37.50	27.1%	6.8%	18.0%	56.5%	23.9%	4.3%	-0.4%	-65.0M	1.50B	-7.4M	1.43	8.22	30,617	43,643	695,915	927,822
2013-06-12	$34.59	$37.50	24.5%	7.0%	17.9%	43.5%	25.0%	4.2%	-0.7%	-64.6M	1.57B	-7.4M	1.43	6.96	23,110	33,153	709,733	949,014
2013-06-13	$34.94	$37.00	23.7%	6.8%	18.6%	39.9%	24.0%	4.1%	-0.4%	-67.0M	1.44B	-7.7M	1.53	6.24	31,595	48,436	721,299	963,955
2013-06-14	$33.98	$36.50	24.7%	7.1%	20.4%	44.7%	25.0%	3.8%	-0.7%	-72.9M	1.84B	-7.2M	1.50	9.49	42,561	63,643	735,113	993,738
2013-06-17	$34.48	$36.00	24.6%	7.0%	21.0%	44.0%	24.9%	4.3%	-0.6%	-69.2M	1.64B	-7.3M	0.63	10.05	84,631	53,208	749,704	996,769
2013-06-18	$34.56	$36.00	24.2%	6.9%	20.2%	42.1%	24.9%	3.4%	-0.7%	-70.0M	1.58B	-7.7M	1.04	6.13	55,456	57,872	817,991	1,037,175
2013-06-19	$33.61	$36.50	24.3%	7.0%	21.7%	42.6%	24.6%	2.7%	-0.4%	-65.1M	2.02B	-7.3M	1.27	8.62	52,175	66,217	862,250	1,076,908
2013-06-20	$32.21	$36.50	29.9%	8.6%	25.1%	70.4%	30.5%	5.1%	-1.8%	-42.0M	2.36B	-6.7M	1.00	9.54	139,420	139,230	888,843	1,098,898
2013-06-21	$32.74	$36.00	26.4%	7.6%	26.5%	52.9%	26.8%	4.7%	0.3%	-47.4M	2.27B	-7.2M	1.33	6.01	50,602	67,542	920,178	1,149,966
2013-06-24	$31.94	$36.00	29.3%	8.4%	27.1%	67.7%	29.5%	1.7%	-1.2%	-37.5M	1.54B	-6.4M	0.70	3.11	216,461	151,990	618,842	851,924
2013-06-25	$31.70	$36.50	32.6%	9.4%	25.7%	84.2%	32.7%	6.0%	-2.3%	-30.0M	1.54B	-7.2M	1.27	5.93	71,766	91,197	790,234	946,972
2013-06-26	$32.26	$36.00	28.2%	8.1%	27.0%	62.2%	29.3%	5.2%	-0.7%	-29.6M	1.43B	-7.8M	0.82	5.21	45,877	37,798	830,831	998,577
2013-06-27	$32.49	$36.00	26.9%	7.7%	27.2%	55.8%	27.5%	5.5%	-0.0%	-26.6M	1.34B	-7.9M	0.56	5.22	150,058	84,297	844,221	995,438
2013-06-28	$32.52	$36.00	25.7%	7.4%	26.8%	49.8%	26.1%	5.7%	0.5%	-40.2M	1.42B	-7.8M	1.02	4.96	29,783	30,430	750,199	1,015,890