FXI Options History — July 2013

In July 2013, FXI traded between $31.73 and $34.72. ATM implied volatility averaged 25.9%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.7% (HV 20d: 27.6%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.54.

Notable Days

2013-07-11: Highest Volume — 161,729 contracts
2013-07-29: Largest IV spike — 25.9% change
2013-07-03: Highest IV Rank — 82.1%
2013-07-03: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.46	$31.73	$34.72	$32.48	$34.26
Max Pain	$34.57	$34.00	$36.00	$35.50	$34.00
ATM IV	25.9%	20.8%	32.2%	28.3%	30.2%
Expected Move	7.0%	6.0%	8.5%	7.6%	6.4%
HV 20d	27.6%	24.9%	33.7%	25.8%	24.9%
HV 60d	23.7%	22.3%	24.8%	23.0%	23.9%
IV Rank	50.5%	25.1%	82.1%	62.7%	72.0%
IV Percentile	80.7%	41.7%	98.8%	95.2%	98.0%
Term Structure	-0.4%	-1.4%	0.9%	-1.4%	-0.3%
VWIV	25.1%	21.5%	29.5%	26.5%	22.9%
Skew 25d	3.8%	2.4%	6.0%	4.2%	2.9%
Skew 10d	7.9%	5.4%	11.4%	7.8%	5.5%
Call IV 25d	23.1%	19.8%	27.5%	25.0%	21.5%
Put IV 25d	26.9%	22.2%	32.0%	29.2%	24.4%
Bid-Ask Spread %	4.90	1.79	6.78	3.62	6.29
Gamma HHI	0.10	0.09	0.12	0.11	0.10
Net GEX	-26.6M	-39.6M	-15.4M	-37.9M	-27.2M
Net DEX	915.1M	307.1M	1.67B	1.44B	570.5M
Net VEX	-8.2M	-9.0M	-7.5M	-7.7M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.49	3.27	0.80	1.08
Total Volume	70,095.136	35,380	161,729	70,257	56,072
Total OI	1,880,744.318	1,657,519	2,165,938	1,766,080	1,851,699

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
2013-07-01	$32.48	$35.50	28.3%	7.6%	25.8%	62.7%	26.5%	4.2%	-1.4%	-37.9M	1.44B	-7.7M	0.80	3.62	38,962	31,295	754,059	1,012,021
2013-07-02	$32.02	$35.50	29.7%	8.2%	25.9%	69.8%	28.6%	4.2%	-1.4%	-37.0M	1.57B	-7.6M	1.48	4.18	32,919	48,676	775,267	1,018,609
2013-07-03	$31.73	$35.50	32.2%	8.5%	25.8%	82.1%	29.5%	4.5%	-1.0%	-39.6M	1.67B	-7.5M	1.18	4.52	30,420	35,804	790,639	1,044,668
2013-07-05	$32.07	$36.00	27.5%	7.9%	26.1%	58.6%	27.7%	6.0%	-1.1%	-35.5M	1.56B	-7.7M	1.50	1.79	21,151	31,808	814,940	1,062,446
2013-07-08	$32.21	$36.00	31.4%	7.8%	26.3%	77.9%	27.2%	5.8%	-1.0%	-37.8M	1.52B	-7.6M	2.98	4.34	12,109	36,102	816,370	1,060,700
2013-07-09	$32.36	$36.00	29.0%	7.4%	26.5%	66.1%	27.7%	4.9%	-0.7%	-36.8M	1.47B	-7.6M	2.55	6.03	19,755	50,296	818,837	1,065,770
2013-07-10	$32.45	$36.00	24.9%	7.3%	26.3%	45.4%	26.0%	4.8%	-0.8%	-39.5M	1.39B	-7.6M	0.65	6.45	44,883	29,351	823,671	1,068,201
2013-07-11	$34.15	$34.00	25.6%	7.3%	32.6%	49.1%	27.3%	3.9%	-0.9%	-18.6M	612.1M	-8.3M	2.55	6.78	45,507	116,222	857,211	1,072,356
2013-07-12	$33.21	$34.00	26.5%	7.6%	33.7%	53.6%	27.5%	4.1%	-1.2%	-30.9M	1.05B	-8.5M	0.96	4.39	44,607	42,708	871,245	1,144,944
2013-07-15	$33.55	$34.00	25.1%	7.2%	32.6%	46.6%	25.8%	3.6%	-0.9%	-24.3M	891.6M	-8.2M	0.81	5.04	31,460	25,554	884,945	1,150,735
2013-07-16	$33.62	$34.00	25.7%	7.4%	32.2%	49.5%	26.0%	4.0%	-1.0%	-19.5M	851.4M	-8.2M	1.32	3.54	15,260	20,120	893,228	1,149,180
2013-07-17	$33.83	$34.00	25.1%	7.2%	32.2%	46.8%	24.9%	4.3%	-0.7%	-15.9M	722.8M	-8.2M	0.49	3.86	77,214	37,813	892,524	1,151,148
2013-07-18	$33.63	$34.00	24.7%	7.1%	30.7%	44.6%	24.4%	3.5%	-0.2%	-20.4M	836.9M	-8.4M	1.17	4.52	34,585	40,345	949,753	1,167,985
2013-07-19	$33.73	$34.00	23.7%	6.8%	26.3%	39.6%	23.3%	3.8%	0.1%	-18.8M	813.4M	-8.5M	1.15	5.13	34,367	39,526	969,771	1,196,167
2013-07-22	$33.77	$34.00	21.8%	6.3%	25.8%	30.3%	22.6%	3.5%	0.3%	-27.5M	663.9M	-8.3M	1.61	4.69	13,747	22,096	716,479	941,040
2013-07-23	$34.70	$34.00	21.5%	6.2%	25.3%	28.6%	21.5%	2.6%	0.4%	-17.9M	330.2M	-8.5M	1.04	6.67	62,537	65,164	724,780	953,919
2013-07-24	$34.34	$34.00	21.8%	6.2%	25.5%	29.9%	22.6%	2.4%	0.2%	-19.1M	460.7M	-8.7M	3.27	6.29	10,866	35,536	764,464	985,189
2013-07-25	$34.64	$34.00	21.1%	6.0%	25.1%	26.6%	21.5%	2.4%	0.8%	-15.4M	352.4M	-8.7M	1.35	4.70	15,118	20,367	767,116	1,001,198
2013-07-26	$34.72	$34.00	20.8%	6.0%	25.1%	25.1%	21.7%	2.4%	0.9%	-16.6M	307.1M	-8.8M	1.54	5.36	26,590	40,966	775,487	1,012,266
2013-07-29	$34.31	$34.00	26.2%	6.3%	25.6%	52.0%	23.1%	3.1%	0.3%	-23.8M	533.6M	-8.7M	1.63	5.08	17,074	27,851	767,727	1,019,712
2013-07-30	$34.40	$34.00	26.6%	6.3%	25.6%	54.2%	24.2%	3.0%	0.5%	-24.3M	520.2M	-9.0M	2.73	4.48	15,879	43,411	778,798	1,039,111
2013-07-31	$34.26	$34.00	30.2%	6.4%	24.9%	72.0%	22.9%	2.9%	-0.3%	-27.2M	570.5M	-9.0M	1.08	6.29	26,977	29,095	788,478	1,063,221