FXI Options History — February 2014

In February 2014, FXI traded between $33.71 and $35.98. ATM implied volatility averaged 24.5%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.3% (HV 20d: 25.8%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.10.

Notable Days

2014-02-19: Highest Volume — 341,067 contracts
2014-02-06: Largest IV drop — 6.6% change
2014-02-05: Highest IV Rank — 71.6%
2014-02-03: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.03	$33.71	$35.98	$33.75	$35.39
Max Pain	$34.00	$34.00	$34.00	$34.00	$34.00
ATM IV	24.5%	22.3%	27.7%	27.7%	23.8%
Expected Move	6.8%	6.6%	7.0%	7.0%	6.9%
HV 20d	25.8%	20.2%	28.9%	26.9%	23.4%
HV 60d	25.2%	23.9%	27.0%	25.8%	24.6%
IV Rank	53.0%	40.2%	71.6%	71.5%	48.7%
IV Percentile	77.2%	57.9%	94.8%	94.8%	72.6%
Term Structure	-0.1%	-0.6%	0.7%	-0.5%	0.6%
VWIV	24.7%	22.8%	28.0%	23.9%	23.5%
Skew 25d	3.3%	2.3%	5.3%	3.7%	2.3%
Skew 10d	6.7%	4.7%	11.1%	6.7%	4.7%
Call IV 25d	23.6%	21.9%	26.4%	26.4%	23.5%
Put IV 25d	26.9%	24.6%	31.0%	30.0%	25.8%
Bid-Ask Spread %	7.66	5.71	12.11	9.25	7.66
Gamma HHI	0.07	0.06	0.09	0.07	0.07
Net GEX	-16.0M	-49.8M	20.7M	-47.2M	-14.7M
Net DEX	1.12B	449.8M	2.02B	1.97B	901.4M
Net VEX	-13.6M	-15.0M	-12.0M	-12.1M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.34	2.92	1.49	0.99
Total Volume	130,998.684	56,585	341,067	69,062	171,932
Total OI	3,260,868.211	3,079,372	3,697,715	3,079,372	3,238,282

Daily Data (19 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
2014-02-03	$33.75	$34.00	27.7%	7.0%	26.9%	71.5%	23.9%	3.7%	-0.5%	-47.2M	1.97B	-12.1M	1.49	9.25	27,704	41,358	1,596,461	1,482,911
2014-02-04	$34.14	$34.00	26.7%	6.9%	26.9%	65.4%	23.9%	5.0%	-0.4%	-42.2M	1.78B	-12.4M	0.79	7.62	31,632	24,953	1,606,864	1,497,416
2014-02-05	$33.71	$34.00	27.7%	7.0%	27.1%	71.6%	23.5%	5.3%	-0.6%	-49.8M	2.02B	-12.0M	1.19	8.20	37,565	44,643	1,625,553	1,501,924
2014-02-06	$34.27	$34.00	25.9%	6.9%	27.5%	61.1%	26.4%	5.2%	0.7%	-37.5M	1.69B	-12.5M	0.86	7.87	50,378	43,491	1,650,140	1,516,655
2014-02-07	$34.40	$34.00	24.7%	6.8%	27.0%	54.0%	24.1%	4.1%	-0.1%	-31.1M	1.67B	-12.5M	1.10	8.43	50,067	55,287	1,674,335	1,539,067
2014-02-10	$34.10	$34.00	25.2%	6.8%	26.0%	57.2%	24.0%	4.0%	-0.1%	-43.6M	1.79B	-12.0M	1.60	6.37	25,288	40,540	1,615,179	1,502,543
2014-02-11	$35.40	$34.00	24.6%	6.8%	28.9%	53.7%	25.9%	3.0%	-0.3%	-11.1M	857.9M	-13.3M	0.53	7.69	183,015	96,408	1,626,481	1,524,474
2014-02-12	$35.38	$34.00	24.6%	6.8%	28.3%	53.2%	22.8%	2.8%	-0.4%	5.1M	784.5M	-13.6M	1.40	9.12	58,838	82,596	1,740,248	1,552,230
2014-02-13	$35.47	$34.00	23.0%	6.7%	28.4%	44.0%	25.6%	2.7%	-0.4%	-1.2M	812.8M	-13.7M	0.62	5.93	79,055	48,772	1,728,685	1,589,237
2014-02-14	$35.78	$34.00	22.3%	6.6%	28.4%	40.2%	24.0%	2.7%	-0.1%	837.3K	586.7M	-13.9M	1.53	6.53	36,448	55,747	1,745,244	1,619,985
2014-02-18	$35.80	$34.00	22.7%	6.6%	28.4%	42.7%	23.7%	2.6%	0.3%	3.9M	655.8M	-13.5M	0.65	9.26	82,883	53,871	1,723,839	1,628,047
2014-02-19	$35.98	$34.00	23.6%	6.7%	28.5%	47.5%	24.1%	2.4%	0.2%	16.4M	449.8M	-14.0M	0.34	6.65	254,984	86,083	1,764,851	1,660,691
2014-02-20	$35.68	$34.00	23.8%	6.6%	27.2%	48.5%	28.0%	3.3%	-0.2%	2.0M	723.6M	-14.8M	1.37	6.04	50,552	69,026	1,955,546	1,699,955
2014-02-21	$35.74	$34.00	23.8%	6.7%	21.5%	49.1%	23.2%	2.9%	-0.0%	-8.0M	692.7M	-14.9M	0.84	5.71	89,248	74,763	1,961,548	1,736,167
2014-02-24	$35.31	$34.00	23.7%	6.8%	20.2%	48.0%	25.4%	2.8%	0.1%	4.1M	812.6M	-14.6M	1.44	12.11	29,523	42,377	1,640,876	1,462,488
2014-02-25	$34.70	$34.00	24.5%	6.8%	21.3%	53.1%	25.3%	2.7%	-0.1%	-35.4M	1.30B	-14.0M	2.92	7.67	42,569	124,137	1,655,262	1,490,118
2014-02-26	$34.82	$34.00	24.0%	6.8%	21.0%	50.0%	26.3%	3.0%	-0.2%	-34.0M	1.25B	-14.2M	0.44	6.12	57,264	24,915	1,665,350	1,538,233
2014-02-27	$35.78	$34.00	23.6%	6.8%	23.0%	47.8%	26.3%	2.4%	-0.1%	20.7M	560.2M	-15.0M	0.87	7.27	64,639	56,424	1,653,309	1,546,302
2014-02-28	$35.39	$34.00	23.8%	6.9%	23.4%	48.7%	23.5%	2.3%	0.6%	-14.7M	901.4M	-14.8M	0.99	7.66	86,376	85,556	1,676,881	1,561,401