FXI Options History — April 2014

In April 2014, FXI traded between $34.61 and $36.82. ATM implied volatility averaged 20.8%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.3% (HV 20d: 18.5%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

2014-04-10: Highest Volume — 368,522 contracts
2014-04-10: Largest IV spike — 8.3% change
2014-04-15: Highest IV Rank — 39.3%
2014-04-15: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.63	$34.61	$36.82	$35.90	$34.93
Max Pain	$35.00	$33.00	$37.00	$35.00	$35.00
ATM IV	20.8%	19.1%	22.2%	21.8%	19.1%
Expected Move	6.4%	6.1%	6.6%	6.5%	6.1%
HV 20d	18.5%	15.3%	21.9%	21.9%	16.1%
HV 60d	22.1%	20.1%	23.8%	23.8%	20.1%
IV Rank	31.5%	21.9%	39.3%	37.3%	21.9%
IV Percentile	24.3%	4.8%	46.8%	37.3%	4.8%
Term Structure	0.0%	-0.3%	0.4%	-0.1%	0.3%
VWIV	23.6%	21.1%	25.4%	24.2%	21.1%
Skew 25d	1.4%	0.9%	1.8%	1.8%	1.3%
Skew 10d	2.8%	1.1%	3.4%	3.3%	3.1%
Call IV 25d	20.6%	18.9%	21.8%	21.4%	18.9%
Put IV 25d	22.0%	20.2%	23.3%	23.3%	20.2%
Bid-Ask Spread %	7.76	4.94	12.75	6.16	5.97
Gamma HHI	0.08	0.06	0.15	0.06	0.10
Net GEX	-9.9M	-85.6M	71.2M	20.0M	-79.4M
Net DEX	402.1M	-838.9M	1.38B	-42.3M	1.10B
Net VEX	-14.1M	-15.5M	-12.4M	-15.1M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.43	4.38	0.53	0.82
Total Volume	119,906.143	33,358	368,522	137,954	98,752
Total OI	3,519,485.762	3,161,504	3,948,395	3,506,150	3,269,633

Daily Data (21 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
2014-04-01	$35.90	$35.00	21.8%	6.5%	21.9%	37.3%	24.2%	1.8%	-0.1%	20.0M	-42.3M	-15.1M	0.53	6.16	90,032	47,922	1,778,690	1,727,460
2014-04-02	$35.84	$35.00	21.4%	6.4%	21.5%	34.9%	22.8%	1.6%	0.1%	12.8M	117.3M	-14.8M	2.13	5.86	20,419	43,481	1,746,415	1,741,059
2014-04-03	$35.75	$35.00	21.1%	6.5%	21.3%	33.0%	22.2%	1.6%	0.1%	1.8M	263.8M	-14.8M	0.84	8.39	30,608	25,749	1,750,096	1,778,184
2014-04-04	$35.63	$35.00	21.2%	6.5%	20.9%	34.0%	24.1%	1.1%	-0.1%	-11.4M	399.2M	-14.8M	1.20	9.05	81,002	96,920	1,731,987	1,792,858
2014-04-07	$35.81	$35.00	21.3%	6.6%	20.0%	34.4%	23.8%	1.4%	-0.1%	-819.3K	286.1M	-14.7M	1.65	10.14	34,327	56,611	1,739,897	1,795,190
2014-04-08	$36.38	$35.00	20.9%	6.6%	19.4%	31.8%	24.5%	1.5%	-0.1%	35.6M	-353.7M	-14.8M	0.91	9.57	88,580	80,389	1,757,000	1,819,596
2014-04-09	$36.82	$35.00	20.4%	6.4%	19.5%	29.0%	24.7%	1.4%	0.3%	71.2M	-838.9M	-14.7M	3.27	9.16	26,842	87,724	1,816,732	1,861,057
2014-04-10	$36.68	$35.00	22.1%	6.5%	16.5%	38.8%	24.7%	0.9%	-0.2%	49.3M	-664.2M	-14.8M	0.43	7.52	258,136	110,386	1,799,118	1,904,494
2014-04-11	$36.14	$35.00	21.7%	6.5%	17.9%	36.6%	23.0%	1.0%	0.1%	40.2M	-134.6M	-15.5M	1.47	12.75	72,971	107,499	1,990,603	1,919,932
2014-04-14	$36.20	$35.00	21.1%	6.5%	17.9%	33.5%	23.6%	1.3%	0.4%	45.6M	-194.4M	-15.0M	1.63	10.35	43,168	70,264	2,003,012	1,906,947
2014-04-15	$35.29	$35.00	22.2%	6.6%	20.2%	39.3%	25.4%	1.7%	0.0%	-34.6M	964.3M	-14.3M	1.38	9.68	135,556	187,721	2,018,341	1,917,847
2014-04-16	$35.73	$35.00	20.5%	6.5%	19.3%	29.8%	24.8%	1.6%	0.3%	4.0M	346.6M	-14.3M	1.01	9.87	39,521	40,028	2,020,309	1,913,693
2014-04-17	$35.82	$35.00	19.7%	6.5%	19.1%	25.3%	24.0%	1.5%	0.3%	47.9M	213.0M	-13.9M	1.04	9.09	63,897	66,757	2,028,343	1,920,052
2014-04-21	$35.59	$0.00	20.7%	6.3%	17.2%	31.0%	0.0%	1.5%	-0.2%	-18.3M	498.3M	-13.8M	0.62	5.94	22,882	14,122	1,661,963	1,499,541
2014-04-22	$35.41	$0.00	20.3%	6.3%	16.6%	28.8%	24.4%	1.5%	0.1%	-29.9M	636.3M	-13.6M	4.38	5.80	6,205	27,153	1,672,015	1,502,967
2014-04-23	$34.93	$33.00	20.3%	6.3%	17.2%	28.8%	21.4%	1.3%	-0.3%	-64.4M	1.08B	-12.8M	1.25	5.85	27,987	35,114	1,674,462	1,523,016
2014-04-24	$34.98	$37.00	19.9%	6.3%	17.2%	26.1%	21.7%	1.3%	-0.3%	-70.1M	1.10B	-13.3M	0.58	4.94	28,544	16,457	1,688,694	1,543,946
2014-04-25	$34.70	$35.00	19.9%	6.3%	17.2%	26.2%	24.7%	1.4%	-0.0%	-79.7M	1.38B	-13.0M	1.33	5.76	40,446	53,593	1,689,840	1,551,429
2014-04-28	$34.61	$35.00	20.9%	6.3%	15.3%	32.2%	23.8%	1.6%	0.0%	-85.6M	1.35B	-12.6M	3.24	5.79	15,655	50,670	1,681,026	1,535,731
2014-04-29	$35.07	$35.00	20.3%	6.2%	16.2%	28.7%	23.5%	1.5%	0.1%	-61.5M	936.9M	-12.8M	0.86	5.34	39,849	34,090	1,688,966	1,547,060
2014-04-30	$34.93	$35.00	19.1%	6.1%	16.1%	21.9%	21.1%	1.3%	0.3%	-79.4M	1.10B	-12.4M	0.82	5.97	54,169	44,583	1,703,253	1,566,380