FXI Options History — May 2014

In May 2014, FXI traded between $34.58 and $36.85. ATM implied volatility averaged 18.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.5% (HV 20d: 14.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2014-05-14: Highest Volume — 151,967 contracts
2014-05-27: Largest IV spike — 14.6% change
2014-05-30: Highest IV Rank — 32.9%
2014-05-05: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.61	$34.58	$36.85	$34.99	$36.85
Max Pain	$34.48	$34.00	$35.00	$35.00	$34.50
ATM IV	18.8%	17.4%	21.1%	19.4%	21.1%
Expected Move	5.7%	5.5%	6.1%	6.1%	5.6%
HV 20d	14.3%	13.0%	16.4%	16.2%	13.0%
HV 60d	18.4%	17.2%	19.9%	19.9%	17.2%
IV Rank	19.8%	11.7%	32.9%	23.5%	32.9%
IV Percentile	7.1%	0.4%	31.3%	6.3%	31.3%
Term Structure	0.4%	-1.2%	3.1%	0.3%	-1.1%
VWIV	20.5%	19.0%	22.4%	21.4%	21.1%
Skew 25d	1.1%	0.6%	1.6%	1.4%	0.6%
Skew 10d	2.2%	0.8%	3.6%	2.2%	0.8%
Call IV 25d	18.4%	16.9%	20.4%	19.1%	19.8%
Put IV 25d	19.5%	17.7%	21.1%	20.5%	20.4%
Bid-Ask Spread %	6.73	5.60	8.21	6.24	6.39
Gamma HHI	0.12	0.09	0.38	0.10	0.09
Net GEX	-29.8M	-166.7M	140.8M	-71.5M	20.2M
Net DEX	628.8M	-167.2M	1.62B	1.02B	-167.2M
Net VEX	-11.9M	-12.8M	-11.0M	-12.8M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.45	3.88	1.64	0.86
Total Volume	81,579	28,297	151,967	41,832	112,811
Total OI	3,007,907.81	2,288,516	3,516,531	3,334,864	2,489,106

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
2014-05-01	$34.99	$35.00	19.4%	6.1%	16.2%	23.5%	21.4%	1.4%	0.3%	-71.5M	1.02B	-12.8M	1.64	6.24	15,818	26,014	1,738,673	1,596,191
2014-05-02	$35.00	$34.50	18.7%	6.0%	16.2%	19.1%	21.2%	1.4%	0.4%	-86.9M	1.06B	-12.5M	2.06	5.60	30,254	62,332	1,747,215	1,605,457
2014-05-05	$34.70	$35.00	19.3%	6.1%	16.4%	22.8%	22.4%	1.4%	0.1%	-102.6M	1.36B	-12.2M	0.60	7.04	56,040	33,492	1,728,813	1,603,147
2014-05-06	$34.76	$34.50	18.9%	6.0%	16.3%	20.6%	21.0%	1.4%	0.4%	-104.2M	1.36B	-12.4M	1.01	5.70	53,499	53,881	1,764,454	1,631,483
2014-05-07	$34.61	$35.00	19.2%	6.0%	14.9%	22.0%	22.0%	1.6%	0.1%	-114.7M	1.49B	-12.3M	2.90	6.25	16,831	48,869	1,790,126	1,643,486
2014-05-08	$34.72	$35.00	18.5%	6.0%	14.1%	18.3%	21.2%	1.3%	0.1%	-122.2M	1.46B	-12.1M	3.77	5.63	20,445	77,085	1,801,129	1,668,462
2014-05-09	$34.58	$34.00	18.1%	5.8%	14.1%	15.6%	19.9%	1.4%	0.1%	-166.7M	1.62B	-11.9M	1.93	5.72	32,267	62,366	1,807,786	1,692,481
2014-05-12	$35.32	$34.00	18.1%	5.7%	15.8%	16.0%	19.6%	1.2%	-0.2%	-50.8M	791.1M	-11.9M	0.90	6.66	51,153	46,105	1,794,510	1,660,810
2014-05-13	$35.42	$34.50	17.8%	5.6%	15.8%	13.8%	20.2%	1.1%	-0.1%	-34.3M	665.1M	-11.8M	1.56	6.92	30,899	48,355	1,814,258	1,657,221
2014-05-14	$35.82	$34.50	18.0%	5.6%	13.5%	15.4%	20.1%	0.8%	-0.0%	5.8M	244.3M	-11.9M	0.68	6.84	90,576	61,391	1,816,573	1,673,556
2014-05-15	$35.57	$34.00	18.4%	5.7%	13.0%	17.5%	19.9%	1.0%	0.3%	-17.3M	531.4M	-12.0M	1.21	7.92	28,840	34,991	1,822,498	1,676,406
2014-05-16	$35.97	$34.00	18.3%	5.6%	13.6%	17.2%	21.1%	1.4%	-0.1%	140.8M	107.7M	-11.9M	1.30	7.98	40,919	53,012	1,831,364	1,685,167
2014-05-19	$35.76	$34.00	17.9%	5.6%	13.6%	14.7%	19.3%	1.0%	3.1%	-9.1M	345.8M	-11.7M	1.24	7.16	51,757	63,975	1,041,946	1,246,570
2014-05-20	$35.55	$34.50	18.2%	5.7%	13.6%	16.6%	21.0%	0.9%	2.3%	-23.4M	622.8M	-11.8M	3.88	7.05	11,685	45,373	1,084,935	1,300,652
2014-05-21	$36.04	$34.50	18.0%	5.6%	13.4%	15.2%	19.8%	0.8%	2.2%	-1.0M	313.0M	-12.0M	0.45	8.21	45,698	20,769	1,089,683	1,334,902
2014-05-22	$36.35	$34.50	17.4%	5.5%	13.6%	11.7%	21.8%	0.9%	2.3%	29.6M	58.2M	-12.1M	1.17	6.71	31,856	37,382	1,117,011	1,347,682
2014-05-23	$36.34	$34.50	17.5%	5.5%	13.1%	12.6%	20.1%	0.8%	1.9%	14.4M	32.6M	-11.9M	2.09	7.25	28,201	58,976	1,129,009	1,354,282
2014-05-27	$36.15	$34.50	20.1%	5.5%	13.3%	27.5%	19.1%	1.1%	-1.0%	8.1M	298.4M	-11.2M	0.71	6.95	28,977	20,559	1,119,915	1,329,202
2014-05-28	$36.59	$34.50	21.0%	5.5%	13.2%	32.4%	19.0%	1.2%	-1.2%	29.7M	7.8M	-11.0M	0.92	6.82	26,725	24,684	1,119,909	1,337,973
2014-05-29	$36.66	$34.50	20.6%	5.5%	13.0%	30.4%	19.8%	0.7%	-1.0%	29.5M	-13.9M	-11.0M	1.42	6.23	11,680	16,617	1,119,724	1,352,297
2014-05-30	$36.85	$34.50	21.1%	5.6%	13.0%	32.9%	21.1%	0.6%	-1.1%	20.2M	-167.2M	-11.0M	0.86	6.39	60,754	52,057	1,126,097	1,363,009