FXI Options History — October 2013

In October 2013, FXI traded between $36.43 and $38.50. ATM implied volatility averaged 21.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.0% (HV 20d: 16.0%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.31.

Notable Days

2013-10-23: Highest Volume — 140,691 contracts
2013-10-23: Largest IV spike — 8.4% change
2013-10-08: Highest IV Rank — 50.1%
2013-10-15: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.65	$36.43	$38.50	$37.60	$37.57
Max Pain	$35.20	$32.00	$39.00	$37.50	$35.00
ATM IV	21.1%	17.7%	24.2%	21.3%	19.5%
Expected Move	6.6%	6.1%	6.9%	6.2%	6.5%
HV 20d	16.0%	12.1%	18.9%	18.9%	17.3%
HV 60d	20.3%	19.0%	23.0%	22.9%	19.9%
IV Rank	31.4%	11.8%	50.1%	32.9%	22.1%
IV Percentile	41.8%	6.3%	79.0%	47.6%	19.0%
Term Structure	-0.6%	-2.4%	1.0%	1.0%	0.1%
VWIV	23.7%	21.3%	26.2%	21.3%	24.6%
Skew 25d	2.6%	1.5%	3.4%	2.6%	1.5%
Skew 10d	5.4%	2.7%	8.8%	5.1%	2.7%
Call IV 25d	20.3%	17.3%	23.8%	20.7%	19.4%
Put IV 25d	23.0%	19.8%	26.8%	23.3%	20.9%
Bid-Ask Spread %	4.32	2.67	8.26	5.33	4.22
Gamma HHI	0.07	0.07	0.09	0.07	0.08
Net GEX	-10.1M	-36.5M	23.4M	-13.2M	10.9M
Net DEX	-22.5M	-607.9M	783.2M	13.0M	24.1M
Net VEX	-11.8M	-12.9M	-10.8M	-12.9M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.29	3.03	0.64	1.32
Total Volume	68,625.957	27,710	140,691	28,713	53,569
Total OI	2,686,764.174	2,319,608	2,964,136	2,712,787	2,588,959

Daily Data (23 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
2013-10-01	$37.60	$37.50	21.3%	6.2%	18.9%	32.9%	21.3%	2.6%	1.0%	-13.2M	13.0M	-12.9M	0.64	5.33	17,524	11,189	1,201,950	1,510,837
2013-10-02	$37.57	$37.50	22.1%	6.1%	18.0%	37.9%	22.1%	2.3%	0.4%	-10.9M	-10.0M	-12.7M	0.64	4.99	37,135	23,750	1,203,220	1,514,258
2013-10-03	$37.51	$0.00	22.1%	6.3%	17.7%	37.6%	23.6%	2.5%	0.1%	-12.1M	-8.3M	-12.8M	2.76	4.49	13,125	36,258	1,220,363	1,524,529
2013-10-04	$38.01	$37.00	22.3%	6.4%	18.2%	38.5%	22.2%	2.4%	-0.3%	962.3K	-295.3M	-12.7M	2.57	3.94	18,659	48,041	1,207,556	1,549,193
2013-10-07	$37.60	$37.00	23.7%	6.8%	16.6%	47.3%	23.4%	2.5%	-0.1%	-23.6M	99.1M	-12.6M	2.48	4.16	12,115	30,019	1,210,769	1,555,124
2013-10-08	$37.53	$37.00	24.2%	6.9%	15.7%	50.1%	24.7%	3.0%	-0.1%	-25.4M	108.8M	-12.7M	1.71	5.10	19,974	34,233	1,214,550	1,555,176
2013-10-09	$37.73	$38.00	23.5%	6.7%	15.7%	46.1%	24.0%	3.0%	-0.3%	-20.0M	-23.2M	-12.3M	0.83	4.01	64,946	54,148	1,212,034	1,564,799
2013-10-10	$38.14	$0.00	22.4%	6.4%	15.7%	39.3%	25.2%	3.4%	-0.3%	1.2M	-389.0M	-12.4M	1.13	2.67	13,015	14,695	1,250,991	1,582,518
2013-10-11	$38.35	$37.00	21.3%	6.2%	15.8%	32.9%	22.2%	3.1%	-0.7%	-2.4M	-467.9M	-12.2M	3.03	6.43	7,306	22,133	1,244,499	1,590,655
2013-10-14	$38.50	$0.00	21.7%	6.9%	15.4%	35.0%	24.2%	3.2%	-1.5%	6.4M	-607.9M	-11.6M	1.75	8.26	18,398	32,247	1,244,928	1,591,975
2013-10-15	$38.12	$39.00	22.9%	6.9%	15.8%	42.4%	26.2%	2.8%	-2.4%	-12.0M	-310.1M	-12.1M	1.49	3.19	52,695	78,428	1,250,828	1,586,348
2013-10-16	$38.21	$32.00	21.0%	6.9%	14.0%	31.1%	22.9%	2.8%	-1.9%	-28.7M	-374.2M	-12.0M	0.43	3.11	45,707	19,475	1,280,551	1,630,216
2013-10-17	$38.11	$32.00	19.4%	6.8%	13.8%	21.4%	24.2%	3.0%	0.6%	-30.6M	-330.1M	-11.5M	1.09	7.09	52,119	56,570	1,297,559	1,635,492
2013-10-18	$38.15	$32.00	18.2%	6.7%	13.3%	14.6%	23.3%	2.5%	0.9%	5.0M	-409.4M	-11.3M	1.30	3.21	25,960	33,765	1,312,698	1,651,438
2013-10-21	$38.17	$32.00	17.7%	6.5%	13.1%	11.8%	24.0%	3.3%	-1.8%	23.4M	-317.3M	-10.8M	1.10	3.42	25,815	28,277	1,035,910	1,283,698
2013-10-22	$38.17	$35.00	18.7%	6.5%	12.1%	17.3%	23.9%	2.6%	-0.7%	20.6M	-311.8M	-11.2M	0.29	3.42	84,081	24,205	1,049,825	1,300,009
2013-10-23	$36.90	$35.00	20.2%	6.6%	17.0%	26.6%	23.5%	3.0%	-1.2%	-13.9M	426.4M	-11.2M	2.10	3.71	45,318	95,373	1,109,341	1,312,855
2013-10-24	$36.48	$34.00	21.4%	6.7%	17.4%	33.5%	23.0%	3.0%	-0.6%	-32.0M	754.3M	-11.4M	1.42	3.83	40,105	56,833	1,120,661	1,378,454
2013-10-25	$36.43	$34.00	21.0%	6.7%	17.3%	30.9%	23.9%	2.3%	-0.4%	-36.5M	783.2M	-11.3M	0.52	3.43	39,979	20,768	1,150,017	1,404,690
2013-10-28	$36.55	$34.00	19.9%	6.6%	16.6%	24.8%	24.5%	2.2%	-1.2%	-31.3M	695.6M	-11.2M	0.49	3.79	28,454	13,915	1,152,876	1,399,477
2013-10-29	$37.03	$34.00	19.7%	6.5%	16.5%	23.2%	24.4%	2.1%	-2.1%	-12.8M	386.0M	-11.1M	0.41	3.84	45,770	18,711	1,154,752	1,399,252
2013-10-30	$37.54	$35.00	20.0%	6.5%	17.3%	25.3%	24.4%	1.8%	-1.1%	5.5M	46.2M	-11.3M	0.66	3.83	38,210	25,385	1,152,055	1,407,691
2013-10-31	$37.57	$35.00	19.5%	6.5%	17.3%	22.1%	24.6%	1.5%	0.1%	10.9M	24.1M	-11.1M	1.32	4.22	23,097	30,472	1,172,365	1,416,594