FXI Options History — June 2014 In June 2014, FXI traded between $36.70 and $38.28. ATM implied volatility averaged 18.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.5% (HV 20d: 12.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.
Notable Days 2014-06-23 : Highest Volume — 386,787 contracts2014-06-20 : Largest IV drop — 7.7% change2014-06-03 : Highest IV Rank — 35.3%2014-06-12 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $37.49 $36.70 $38.28 $37.12 $37.04 Max Pain $34.45 $34.00 $35.00 $34.50 $34.00 ATM IV 18.0% 15.6% 21.5% 21.2% 15.6% Expected Move 5.5% 5.3% 5.7% 5.6% 5.3% HV 20d 12.5% 11.0% 13.9% 13.1% 13.4% HV 60d 15.1% 13.9% 17.1% 17.1% 14.3% IV Rank 15.3% 1.1% 35.3% 33.9% 1.1% IV Percentile 8.7% 0.4% 39.7% 34.5% 0.4% Term Structure -0.2% -1.2% 0.8% -0.9% 0.2% VWIV 20.4% 18.8% 23.7% 20.2% 18.8% Skew 25d 1.3% 0.2% 2.9% 1.1% 0.2% Skew 10d 1.4% 0.1% 2.7% 1.1% 0.1% Call IV 25d 17.1% 15.3% 20.0% 19.4% 16.0% Put IV 25d 18.4% 16.1% 21.0% 20.5% 16.1% Bid-Ask Spread % 7.65 6.29 10.00 6.49 9.56 Gamma HHI 0.11 0.08 0.27 0.09 0.08 Net GEX 26.2M -51.7M 82.3M 28.7M -25.5M Net DEX 77.5M -673.2M 1.30B -85.1M 1.08B Net VEX -11.2M -11.7M -10.7M -11.0M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.13 3.60 0.89 0.92 Total Volume 83,056.048 26,083 386,787 65,846 40,930 Total OI 2,676,781.857 2,396,227 3,098,922 2,495,923 2,414,238
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 2014-06-02 $37.12 $34.50 21.2% 5.6% 13.1% 33.9% 20.2% 1.1% -0.9% 28.7M -85.1M -11.0M 0.89 6.49 34,827 31,019 1,138,831 1,357,092 2014-06-03 $37.45 $34.50 21.5% 5.6% 12.5% 35.3% 20.3% 1.0% -1.2% 41.8M -318.2M -11.1M 1.53 6.29 39,118 59,941 1,149,605 1,351,690 2014-06-04 $37.14 $34.50 21.0% 5.6% 13.2% 32.4% 20.8% 0.9% -0.8% 34.1M -139.1M -11.0M 3.60 6.57 17,271 62,230 1,171,650 1,396,638 2014-06-05 $37.44 $34.50 20.4% 5.6% 13.0% 29.4% 19.6% 1.0% -0.9% 43.1M -309.4M -11.0M 1.14 6.69 18,572 21,109 1,179,763 1,448,213 2014-06-06 $37.24 $34.50 19.7% 5.6% 13.4% 25.1% 19.9% 1.0% -0.7% 26.5M -147.6M -11.3M 1.15 8.02 30,316 34,961 1,185,732 1,458,782 2014-06-09 $37.61 $34.50 19.0% 5.7% 13.3% 21.2% 19.2% 2.0% -1.0% 42.8M -326.9M -11.6M 1.80 7.01 17,234 31,081 1,190,446 1,464,196 2014-06-10 $37.78 $34.50 18.7% 5.6% 11.7% 19.2% 20.2% 1.7% -0.6% 47.3M -429.1M -11.6M 0.53 7.38 37,376 19,815 1,195,787 1,480,727 2014-06-11 $37.62 $34.50 18.2% 5.6% 12.0% 16.3% 21.6% 2.1% -0.3% 46.4M -300.4M -11.6M 1.37 7.96 54,313 74,353 1,225,867 1,498,188 2014-06-12 $37.52 $34.50 18.4% 5.7% 11.7% 17.6% 19.7% 2.5% -0.3% 38.8M -134.6M -11.7M 1.59 6.95 23,486 37,235 1,266,038 1,553,032 2014-06-13 $38.09 $35.00 18.3% 5.6% 12.0% 16.9% 20.6% 2.9% -0.3% 74.8M -673.2M -11.0M 0.66 6.79 46,172 30,659 1,281,556 1,573,424 2014-06-16 $38.02 $35.00 18.5% 5.6% 11.8% 18.1% 20.1% 1.7% 0.2% 68.9M -592.0M -11.1M 2.50 6.94 43,801 109,583 1,292,478 1,584,661 2014-06-17 $37.99 $35.00 18.0% 5.5% 11.4% 15.2% 19.5% 1.7% -0.2% 57.6M -403.6M -11.2M 2.65 7.32 24,252 64,224 1,319,798 1,678,088 2014-06-18 $38.28 $35.00 17.3% 5.5% 11.0% 11.2% 20.4% 1.9% 0.8% 72.3M -534.7M -11.3M 2.66 8.82 15,100 40,100 1,324,307 1,732,985 2014-06-19 $37.93 $35.00 17.1% 5.5% 11.3% 9.9% 22.5% 1.6% 0.4% 54.4M -250.1M -11.2M 0.84 7.43 40,946 34,242 1,319,854 1,731,473 2014-06-20 $37.83 $34.00 15.8% 5.4% 11.2% 2.3% 19.4% 0.9% 0.3% 82.3M -278.3M -11.0M 1.92 7.81 26,662 51,277 1,339,729 1,759,193 2014-06-23 $37.36 $34.00 16.1% 5.4% 12.3% 4.2% 18.9% 1.3% 0.3% -28.8M 761.4M -11.1M 0.13 8.36 342,192 44,595 1,031,643 1,412,034 2014-06-24 $36.70 $34.00 16.2% 5.5% 13.9% 4.6% 20.0% 0.3% 0.2% -51.7M 1.30B -11.0M 0.65 10.00 31,733 20,643 949,700 1,446,527 2014-06-25 $36.77 $34.00 15.8% 5.4% 13.3% 2.7% 23.0% 0.6% 0.3% -47.5M 1.27B -11.1M 1.62 8.82 9,973 16,110 966,540 1,458,174 2014-06-26 $37.13 $34.00 15.8% 5.4% 13.7% 2.5% 20.0% 0.5% 0.0% -33.7M 1.10B -10.9M 0.37 7.66 19,927 7,392 967,504 1,465,839 2014-06-27 $37.21 $34.00 15.6% 5.4% 13.6% 1.2% 23.7% 0.7% 0.3% -22.3M 1.04B -10.8M 0.52 7.71 25,933 13,474 982,163 1,468,234 2014-06-30 $37.04 $34.00 15.6% 5.3% 13.4% 1.1% 18.8% 0.2% 0.2% -25.5M 1.08B -10.7M 0.92 9.56 21,342 19,588 972,106 1,442,132
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