FXI Options History — July 2014

In July 2014, FXI traded between $37.32 and $41.05. ATM implied volatility averaged 17.0%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.2% (HV 20d: 14.8%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2014-07-22: Highest Volume — 230,864 contracts
2014-07-28: Largest IV spike — 7.3% change
2014-07-31: Highest IV Rank — 27.4%
2014-07-31: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.90	$37.32	$41.05	$37.32	$40.47
Max Pain	$35.45	$34.00	$36.00	$34.00	$36.00
ATM IV	17.0%	15.5%	19.4%	15.5%	19.4%
Expected Move	5.4%	5.3%	5.7%	5.3%	5.7%
HV 20d	14.8%	13.3%	16.2%	13.3%	15.6%
HV 60d	13.9%	13.1%	14.8%	14.4%	14.3%
IV Rank	10.7%	0.9%	27.4%	0.9%	27.4%
IV Percentile	8.7%	0.4%	24.2%	0.4%	24.2%
Term Structure	0.0%	-0.5%	0.9%	-0.1%	-0.2%
VWIV	19.9%	18.6%	23.1%	18.6%	21.1%
Skew 25d	0.8%	0.1%	1.4%	0.3%	1.0%
Skew 10d	1.6%	0.1%	3.4%	0.1%	1.8%
Call IV 25d	17.1%	15.7%	19.7%	15.9%	19.7%
Put IV 25d	17.9%	16.1%	20.7%	16.1%	20.7%
Bid-Ask Spread %	10.87	8.32	14.35	8.48	10.91
Gamma HHI	0.09	0.07	0.13	0.08	0.09
Net GEX	35.2M	-15.9M	75.7M	-6.1M	63.0M
Net DEX	220.9M	-703.2M	928.7M	928.7M	-361.8M
Net VEX	-10.8M	-11.9M	-10.1M	-10.9M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.30	3.47	1.05	1.08
Total Volume	78,985.136	22,911	230,864	35,256	172,389
Total OI	2,567,786.591	2,282,918	2,824,242	2,460,794	2,824,242

Daily Data (22 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
2014-07-01	$37.32	$34.00	15.5%	5.3%	13.3%	0.9%	18.6%	0.3%	-0.1%	-6.1M	928.7M	-10.9M	1.05	8.48	17,210	18,046	999,905	1,460,889
2014-07-02	$38.02	$34.00	16.3%	5.3%	14.5%	5.6%	21.0%	0.1%	0.1%	19.6M	561.4M	-10.7M	0.89	8.59	31,018	27,624	1,003,014	1,469,428
2014-07-03	$38.43	$34.00	15.8%	5.3%	14.7%	2.2%	19.6%	0.1%	0.0%	32.6M	319.0M	-10.9M	0.46	8.42	23,760	11,000	1,016,903	1,487,886
2014-07-07	$38.35	$34.00	16.4%	5.3%	14.6%	6.2%	23.1%	0.6%	-0.1%	34.7M	368.6M	-10.3M	0.83	8.85	26,980	22,440	1,020,763	1,485,655
2014-07-08	$38.15	$34.00	16.5%	5.4%	14.4%	6.8%	19.5%	0.5%	-0.5%	36.3M	474.7M	-10.7M	2.74	8.85	9,516	26,096	1,043,990	1,498,944
2014-07-09	$37.97	$34.00	16.4%	5.4%	14.4%	7.2%	19.7%	0.2%	0.1%	26.8M	604.8M	-10.9M	2.03	9.55	19,334	39,335	1,046,655	1,519,657
2014-07-10	$37.74	$36.00	16.3%	5.4%	14.5%	6.1%	19.2%	0.6%	-0.3%	10.8M	786.5M	-10.7M	1.85	10.71	17,238	31,856	1,054,886	1,523,618
2014-07-11	$37.90	$36.00	16.1%	5.4%	14.6%	5.1%	18.7%	1.0%	-0.2%	21.8M	650.9M	-10.5M	3.47	11.58	6,184	21,457	1,056,910	1,540,071
2014-07-14	$38.40	$36.00	16.2%	5.3%	14.3%	5.8%	20.8%	0.9%	0.3%	46.4M	349.2M	-10.5M	0.84	8.96	20,574	17,257	1,047,884	1,544,729
2014-07-15	$38.40	$36.00	16.1%	5.4%	14.3%	5.1%	20.9%	0.9%	0.3%	47.7M	372.1M	-10.5M	0.41	8.32	66,616	27,444	1,053,234	1,555,536
2014-07-16	$38.52	$36.00	16.1%	5.4%	14.3%	5.1%	20.0%	1.1%	0.2%	67.2M	282.0M	-10.3M	2.95	9.61	7,328	21,634	1,077,988	1,568,314
2014-07-17	$37.97	$36.00	16.5%	5.5%	15.0%	7.6%	19.5%	1.2%	0.3%	18.2M	679.1M	-10.6M	1.74	13.03	41,412	71,959	1,065,863	1,577,881
2014-07-18	$38.24	$36.00	15.9%	5.5%	14.9%	3.6%	20.0%	0.9%	0.9%	33.1M	519.6M	-10.4M	1.35	14.35	10,876	14,693	1,071,645	1,608,920
2014-07-21	$38.21	$36.00	16.6%	5.4%	14.8%	8.3%	19.3%	1.4%	-0.1%	-15.9M	631.3M	-10.2M	1.08	12.61	10,989	11,922	896,694	1,386,224
2014-07-22	$39.07	$36.00	16.5%	5.4%	15.9%	7.5%	18.6%	1.0%	-0.0%	9.9M	252.3M	-10.1M	0.92	13.74	120,448	110,416	901,741	1,389,028
2014-07-23	$39.59	$36.00	16.9%	5.4%	14.4%	10.1%	18.9%	0.6%	-0.1%	27.6M	10.9M	-10.2M	0.43	14.14	96,051	40,870	993,377	1,441,938
2014-07-24	$40.12	$36.00	18.0%	5.5%	14.8%	17.8%	19.6%	0.9%	-0.2%	48.4M	-286.3M	-11.1M	0.73	11.62	83,900	61,403	1,067,156	1,470,426
2014-07-25	$40.19	$36.00	17.9%	5.5%	14.7%	17.0%	18.8%	1.0%	0.1%	50.9M	-340.7M	-11.1M	0.30	12.52	29,756	9,073	1,119,017	1,520,740
2014-07-28	$41.05	$36.00	19.2%	5.5%	15.9%	25.8%	20.9%	1.0%	-0.2%	60.5M	-703.2M	-10.9M	0.73	11.99	87,756	63,748	1,109,002	1,498,732
2014-07-29	$40.95	$36.00	19.4%	5.6%	15.7%	27.1%	19.4%	0.9%	-0.2%	65.3M	-666.3M	-11.4M	0.64	12.82	59,442	37,746	1,162,756	1,537,507
2014-07-30	$40.71	$36.00	19.2%	5.6%	16.2%	26.1%	19.8%	1.1%	-0.0%	75.7M	-572.7M	-11.8M	0.98	9.53	46,801	46,076	1,211,248	1,560,309
2014-07-31	$40.47	$36.00	19.4%	5.7%	15.6%	27.4%	21.1%	1.0%	-0.2%	63.0M	-361.8M	-11.9M	1.08	10.91	82,903	89,486	1,226,500	1,597,742