FXI Options History — September 2013

In September 2013, FXI traded between $36.23 and $39.16. ATM implied volatility averaged 22.6%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.5% (HV 20d: 22.1%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.29.

Notable Days

2013-09-10: Highest Volume — 251,241 contracts
2013-09-30: Largest IV spike — 19.9% change
2013-09-03: Highest IV Rank — 82.2%
2013-09-03: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.02	$36.23	$39.16	$36.23	$37.08
Max Pain	$36.80	$35.00	$37.50	$35.00	$37.50
ATM IV	22.6%	19.6%	29.6%	29.6%	23.8%
Expected Move	6.4%	5.6%	7.4%	7.4%	6.4%
HV 20d	22.1%	19.7%	25.3%	25.1%	21.1%
HV 60d	24.1%	22.6%	26.2%	25.9%	22.8%
IV Rank	40.4%	22.9%	82.2%	82.2%	47.7%
IV Percentile	58.1%	20.6%	97.6%	97.6%	77.0%
Term Structure	0.5%	-0.6%	1.3%	-0.6%	-0.2%
VWIV	22.9%	20.0%	26.0%	26.0%	22.9%
Skew 25d	2.1%	1.4%	2.8%	2.7%	2.5%
Skew 10d	4.5%	3.3%	6.2%	5.1%	5.3%
Call IV 25d	21.8%	19.4%	24.7%	24.7%	21.8%
Put IV 25d	23.9%	20.8%	27.4%	27.4%	24.3%
Bid-Ask Spread %	5.39	3.67	8.35	6.30	8.06
Gamma HHI	0.07	0.06	0.08	0.06	0.07
Net GEX	20.3M	-24.3M	43.9M	-2.5M	-24.3M
Net DEX	-707.8M	-1.55B	343.6M	-61.2M	343.6M
Net VEX	-13.0M	-13.6M	-11.8M	-11.8M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.46	4.14	0.79	1.66
Total Volume	108,388.45	44,201	251,241	120,281	94,932
Total OI	2,610,715.1	2,135,860	2,969,743	2,135,860	2,663,797

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
2013-09-03	$36.23	$35.00	29.6%	7.4%	25.1%	82.2%	26.0%	2.7%	-0.6%	-2.5M	-61.2M	-11.8M	0.79	6.30	67,292	52,989	948,870	1,186,990
2013-09-04	$36.85	$35.00	26.0%	6.9%	25.3%	61.0%	25.5%	2.3%	0.4%	11.5M	-367.6M	-12.1M	1.23	4.45	22,191	27,226	994,309	1,214,830
2013-09-05	$37.23	$35.00	23.4%	6.6%	24.0%	45.6%	23.8%	2.2%	0.5%	22.2M	-568.1M	-11.8M	2.24	3.79	51,730	116,012	1,002,521	1,224,338
2013-09-06	$37.38	$35.00	21.8%	6.7%	23.5%	36.0%	23.4%	2.3%	0.4%	25.6M	-596.4M	-12.6M	0.80	4.57	101,631	81,444	1,034,071	1,272,139
2013-09-09	$38.27	$35.50	24.9%	6.7%	24.5%	54.0%	24.3%	2.2%	0.2%	36.8M	-1.04B	-12.3M	1.39	3.67	46,814	65,123	1,066,067	1,325,721
2013-09-10	$38.79	$36.00	24.1%	6.5%	22.6%	49.6%	24.1%	2.4%	0.3%	37.4M	-1.26B	-12.4M	1.55	5.52	98,549	152,692	1,081,425	1,368,826
2013-09-11	$38.50	$37.00	21.1%	6.4%	22.1%	31.9%	22.4%	2.2%	0.5%	26.8M	-1.03B	-13.0M	0.46	4.14	136,739	63,530	1,128,566	1,471,597
2013-09-12	$38.07	$37.50	22.3%	6.4%	22.7%	38.7%	23.4%	2.4%	0.5%	26.1M	-846.5M	-13.4M	4.14	4.66	23,358	96,628	1,219,455	1,509,512
2013-09-13	$38.21	$37.50	22.2%	6.4%	22.4%	38.4%	24.0%	2.8%	0.6%	26.0M	-867.8M	-13.5M	0.95	4.16	64,860	61,339	1,232,141	1,579,699
2013-09-16	$38.59	$37.50	22.5%	6.5%	22.5%	40.0%	24.9%	2.2%	0.4%	33.9M	-1.17B	-13.6M	0.76	4.45	32,057	24,367	1,262,812	1,602,700
2013-09-17	$38.41	$37.50	22.5%	6.4%	22.6%	39.8%	23.0%	2.1%	0.3%	31.4M	-1.05B	-13.6M	1.11	4.65	37,637	41,733	1,274,702	1,616,791
2013-09-18	$39.16	$37.50	22.3%	6.4%	22.4%	39.0%	22.9%	1.8%	0.1%	43.9M	-1.55B	-13.3M	0.52	6.61	63,079	32,934	1,294,002	1,643,110
2013-09-19	$38.88	$37.50	20.8%	6.0%	20.8%	30.0%	21.7%	1.6%	0.6%	42.3M	-1.37B	-13.4M	1.55	6.17	38,750	60,047	1,292,864	1,637,970
2013-09-20	$38.43	$37.50	21.9%	6.3%	20.1%	36.2%	22.0%	1.7%	0.3%	40.4M	-1.04B	-13.6M	0.63	5.48	30,999	19,487	1,306,302	1,663,441
2013-09-23	$38.65	$37.50	21.2%	6.1%	19.9%	32.5%	21.2%	2.0%	0.6%	24.3M	-751.8M	-13.2M	1.82	5.70	36,424	66,317	1,131,894	1,388,898
2013-09-24	$38.11	$37.50	21.2%	6.1%	20.9%	32.4%	21.1%	1.8%	0.9%	7.9M	-418.9M	-13.4M	0.77	5.21	59,074	45,694	1,152,674	1,428,721
2013-09-25	$37.92	$37.50	20.3%	5.8%	19.8%	26.9%	21.0%	1.9%	1.0%	5.1M	-280.7M	-13.3M	1.07	6.90	28,845	30,837	1,195,300	1,453,718
2013-09-26	$37.90	$37.50	19.6%	5.6%	19.7%	22.9%	20.0%	1.4%	1.1%	-2.2M	-204.5M	-13.1M	0.82	5.01	27,560	22,648	1,194,559	1,470,440
2013-09-27	$37.65	$37.50	19.9%	5.7%	20.0%	24.3%	20.5%	1.7%	1.3%	-7.6M	-33.0M	-13.1M	1.47	8.35	17,883	26,318	1,198,530	1,480,000
2013-09-30	$37.08	$37.50	23.8%	6.4%	21.1%	47.7%	22.9%	2.5%	-0.2%	-24.3M	343.6M	-12.7M	1.66	8.06	35,646	59,286	1,191,355	1,472,442