FXI Options History — August 2014

In August 2014, FXI traded between $39.86 and $41.47. ATM implied volatility averaged 18.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.8% (HV 20d: 16.2%). Max pain ranged from $36.00 to $38.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.53.

Notable Days

2014-08-05: Highest Volume — 151,486 contracts
2014-08-13: Largest IV drop — 5.0% change
2014-08-07: Highest IV Rank — 34.3%
2014-08-08: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.88	$39.86	$41.47	$40.72	$40.47
Max Pain	$37.76	$36.00	$38.50	$36.00	$38.50
ATM IV	18.0%	15.5%	20.3%	19.5%	15.5%
Expected Move	5.7%	5.4%	6.0%	5.7%	5.4%
HV 20d	16.2%	14.5%	17.8%	15.4%	14.9%
HV 60d	14.7%	14.3%	15.0%	14.3%	14.9%
IV Rank	18.4%	1.2%	34.3%	28.8%	1.2%
IV Percentile	16.5%	0.8%	36.1%	25.0%	0.8%
Term Structure	0.1%	-0.5%	0.6%	-0.2%	0.2%
VWIV	21.1%	19.3%	25.0%	19.6%	19.4%
Skew 25d	0.8%	0.3%	1.3%	0.6%	0.4%
Skew 10d	1.6%	0.8%	3.2%	1.4%	0.8%
Call IV 25d	18.1%	15.6%	20.4%	20.0%	15.6%
Put IV 25d	18.9%	16.0%	21.3%	20.6%	16.0%
Bid-Ask Spread %	11.55	9.79	13.78	12.29	12.04
Gamma HHI	0.11	0.07	0.38	0.09	0.07
Net GEX	42.7M	-9.2M	133.2M	60.9M	-2.3M
Net DEX	-250.9M	-850.8M	286.9M	-480.2M	258.3M
Net VEX	-11.6M	-12.9M	-10.8M	-12.2M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.69	3.06	0.69	2.00
Total Volume	64,896.524	24,619	151,486	24,619	66,828
Total OI	2,741,371.286	2,370,265	3,083,690	2,862,827	2,543,555

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
2014-08-01	$40.72	$36.00	19.5%	5.7%	15.4%	28.8%	19.6%	0.6%	-0.2%	60.9M	-480.2M	-12.2M	0.69	12.29	14,565	10,054	1,226,528	1,636,299
2014-08-04	$41.07	$36.00	19.1%	5.7%	15.4%	26.4%	22.1%	1.3%	0.1%	75.7M	-696.7M	-11.4M	1.50	12.21	30,236	45,318	1,203,867	1,617,662
2014-08-05	$40.47	$36.00	19.9%	5.8%	16.5%	31.4%	20.5%	0.8%	0.0%	53.4M	-241.7M	-12.4M	1.48	11.07	61,114	90,372	1,214,062	1,659,232
2014-08-06	$40.21	$36.00	19.8%	5.9%	16.6%	31.1%	21.0%	0.9%	0.0%	37.0M	-8.6M	-12.0M	1.42	9.82	38,671	54,913	1,220,361	1,700,362
2014-08-07	$39.86	$38.00	20.3%	5.9%	16.8%	34.3%	25.0%	0.9%	0.0%	17.2M	250.3M	-12.5M	1.11	9.79	31,168	34,616	1,239,761	1,738,528
2014-08-08	$40.49	$38.00	20.1%	6.0%	17.4%	33.0%	22.5%	0.7%	0.2%	38.3M	-168.5M	-12.9M	3.06	11.02	33,424	102,242	1,259,870	1,770,153
2014-08-11	$41.04	$38.00	20.1%	5.9%	17.4%	33.2%	22.2%	0.9%	-0.1%	77.1M	-583.3M	-12.1M	1.11	10.01	25,726	28,514	1,269,458	1,775,307
2014-08-12	$40.97	$38.00	19.4%	5.8%	17.5%	28.3%	21.6%	1.0%	-0.3%	81.0M	-489.6M	-12.0M	1.07	10.45	28,557	30,567	1,260,309	1,785,655
2014-08-13	$41.47	$38.00	18.4%	5.8%	17.8%	21.5%	22.3%	1.0%	0.1%	101.7M	-850.8M	-11.3M	0.80	11.03	42,751	34,372	1,248,498	1,792,717
2014-08-14	$41.02	$38.00	18.0%	5.8%	17.3%	18.4%	21.8%	1.0%	-0.1%	98.1M	-443.5M	-12.1M	1.51	11.06	25,946	39,182	1,249,689	1,802,035
2014-08-15	$41.07	$38.00	17.6%	5.7%	17.3%	15.3%	20.7%	1.2%	-0.5%	133.2M	-526.4M	-11.6M	0.80	12.27	37,162	29,585	1,260,646	1,823,044
2014-08-18	$41.40	$38.00	17.2%	5.7%	17.3%	12.5%	20.9%	0.8%	0.5%	25.1M	-456.6M	-11.1M	1.95	11.98	30,268	58,881	952,158	1,418,107
2014-08-19	$41.43	$38.00	17.1%	5.6%	15.9%	12.1%	20.0%	0.3%	0.4%	25.3M	-413.6M	-11.0M	1.26	11.96	30,756	38,804	962,711	1,439,361
2014-08-20	$41.21	$38.50	17.2%	5.6%	15.7%	12.4%	19.3%	0.8%	0.5%	24.4M	-217.1M	-11.3M	1.37	11.97	27,689	38,007	986,726	1,471,270
2014-08-21	$40.67	$38.50	17.0%	5.6%	16.0%	11.4%	21.3%	0.7%	0.6%	8.3M	82.7M	-11.6M	1.59	11.62	14,018	22,284	1,001,087	1,491,547
2014-08-22	$40.89	$38.00	16.4%	5.6%	16.1%	7.1%	20.5%	0.9%	0.5%	9.7M	-28.0M	-11.4M	1.76	13.78	10,514	18,549	1,004,241	1,505,092
2014-08-25	$41.25	$38.00	16.7%	5.5%	14.5%	9.4%	20.1%	0.5%	0.2%	18.4M	-228.6M	-11.0M	2.33	12.14	10,463	24,386	988,631	1,499,521
2014-08-26	$41.31	$38.50	16.3%	5.4%	14.5%	6.5%	21.0%	0.5%	0.1%	16.5M	-235.2M	-10.9M	1.73	11.84	10,061	17,397	991,669	1,515,207
2014-08-27	$41.02	$38.50	16.3%	5.5%	14.6%	6.2%	19.8%	0.7%	0.1%	6.5M	-78.6M	-10.9M	1.51	10.56	14,889	22,491	993,844	1,518,211
2014-08-28	$40.52	$38.50	16.2%	5.5%	15.1%	5.5%	21.4%	1.1%	0.4%	-9.2M	286.9M	-11.1M	2.08	13.71	12,158	25,329	999,621	1,532,195
2014-08-29	$40.47	$38.50	15.5%	5.4%	14.9%	1.2%	19.4%	0.4%	0.2%	-2.3M	258.3M	-10.8M	2.00	12.04	22,278	44,550	1,000,815	1,542,740