FXI Options History — October 2014

In October 2014, FXI traded between $37.46 and $39.95. ATM implied volatility averaged 21.8%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 20.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.76.

Notable Days

2014-10-01: Highest Volume — 322,019 contracts
2014-10-15: Largest IV spike — 12.4% change
2014-10-15: Highest IV Rank — 90.6%
2014-10-15: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.43	$37.46	$39.95	$37.46	$39.95
Max Pain	$39.07	$39.00	$40.00	$40.00	$39.00
ATM IV	21.8%	19.1%	26.6%	22.3%	19.7%
Expected Move	6.1%	5.6%	6.8%	6.1%	5.7%
HV 20d	20.1%	17.3%	22.1%	18.1%	18.2%
HV 60d	18.6%	17.9%	19.2%	18.3%	18.9%
IV Rank	51.9%	29.7%	90.6%	56.2%	34.9%
IV Percentile	64.9%	30.2%	98.4%	76.2%	38.1%
Term Structure	-0.2%	-1.2%	0.4%	0.0%	0.0%
VWIV	22.8%	20.2%	25.3%	21.8%	21.7%
Skew 25d	2.6%	1.5%	5.3%	1.5%	1.8%
Skew 10d	5.2%	2.5%	11.1%	2.5%	3.5%
Call IV 25d	21.3%	18.6%	25.1%	22.2%	19.5%
Put IV 25d	23.9%	20.4%	30.4%	23.7%	21.3%
Bid-Ask Spread %	14.35	11.56	18.54	12.89	13.82
Gamma HHI	0.08	0.06	0.13	0.10	0.07
Net GEX	-45.7M	-111.8M	30.8M	-111.8M	30.8M
Net DEX	1.23B	-134.0M	2.26B	2.15B	-134.0M
Net VEX	-12.9M	-14.1M	-11.7M	-12.8M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.18	4.71	3.16	1.06
Total Volume	175,422.609	75,079	322,019	322,019	182,803
Total OI	3,086,183.87	2,879,867	3,313,968	2,946,428	2,996,995

Daily Data (23 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
2014-10-01	$37.46	$40.00	22.3%	6.1%	18.1%	56.2%	21.8%	1.5%	0.0%	-111.8M	2.15B	-12.8M	3.16	12.89	77,391	244,628	1,224,312	1,722,116
2014-10-02	$37.47	$39.50	22.6%	6.1%	17.9%	58.1%	21.4%	3.3%	-0.5%	-110.9M	2.26B	-13.0M	1.63	11.56	118,059	192,720	1,279,745	1,776,281
2014-10-03	$38.08	$39.00	22.1%	6.1%	19.0%	54.6%	22.7%	2.7%	0.4%	-93.8M	1.66B	-13.6M	4.71	12.36	13,638	64,216	1,374,433	1,853,955
2014-10-06	$38.63	$39.00	21.8%	6.0%	20.3%	52.0%	23.3%	2.2%	-0.5%	-49.6M	1.30B	-14.1M	1.32	14.10	35,645	46,964	1,302,341	1,803,341
2014-10-07	$38.30	$39.00	21.6%	6.0%	20.3%	50.6%	22.2%	1.9%	-0.8%	-69.2M	1.53B	-14.0M	0.18	12.71	218,947	38,678	1,320,836	1,831,612
2014-10-08	$39.00	$39.00	21.7%	6.0%	21.2%	51.0%	23.1%	2.6%	-0.0%	-46.1M	977.0M	-14.1M	0.99	13.04	131,873	130,039	1,316,938	1,855,627
2014-10-09	$38.44	$39.00	21.9%	6.1%	21.6%	52.4%	23.0%	2.4%	-0.2%	-74.8M	1.42B	-14.1M	2.21	12.79	71,436	157,952	1,380,125	1,890,982
2014-10-10	$37.92	$39.00	22.7%	6.2%	21.9%	59.2%	23.5%	2.5%	-0.3%	-88.4M	1.86B	-14.0M	1.67	14.34	59,557	99,737	1,397,449	1,903,466
2014-10-13	$38.08	$39.00	24.3%	6.4%	21.7%	72.0%	24.0%	1.6%	-0.4%	-58.4M	1.61B	-13.5M	1.51	16.45	61,682	93,259	1,383,018	1,865,121
2014-10-14	$38.30	$39.00	23.6%	6.3%	21.7%	66.8%	24.3%	3.5%	-0.6%	-55.5M	1.54B	-13.4M	1.83	16.04	53,904	98,688	1,392,391	1,877,554
2014-10-15	$37.99	$39.00	26.6%	6.8%	21.7%	90.6%	25.3%	5.3%	-1.2%	-58.4M	1.81B	-13.8M	1.58	18.54	80,219	126,957	1,401,496	1,876,348
2014-10-16	$37.80	$39.00	24.6%	6.6%	21.7%	74.9%	24.2%	3.7%	-0.9%	-68.3M	1.92B	-13.3M	1.64	13.27	35,934	58,993	1,410,746	1,876,923
2014-10-17	$38.24	$39.00	24.2%	6.5%	22.1%	71.2%	24.6%	3.8%	-0.2%	-41.7M	1.56B	-13.3M	3.48	15.16	30,489	106,180	1,432,405	1,881,563
2014-10-20	$38.29	$39.00	22.4%	6.2%	21.2%	56.5%	23.5%	3.7%	-0.2%	-35.9M	1.02B	-12.6M	2.00	17.75	58,286	116,766	1,185,263	1,694,604
2014-10-21	$38.40	$39.00	21.0%	6.0%	21.3%	45.8%	22.8%	2.8%	0.2%	-30.2M	934.4M	-12.1M	1.84	16.77	52,903	97,184	1,189,295	1,721,103
2014-10-22	$38.28	$39.00	20.6%	5.9%	19.9%	42.4%	22.6%	2.2%	0.2%	-33.2M	1.01B	-12.4M	1.57	15.52	59,868	94,254	1,193,857	1,727,104
2014-10-23	$38.46	$39.00	20.3%	5.9%	18.7%	39.5%	22.4%	2.6%	0.1%	-24.3M	916.5M	-12.1M	0.93	15.89	94,236	87,359	1,198,018	1,729,324
2014-10-24	$38.60	$39.00	20.3%	5.8%	18.6%	39.6%	22.0%	2.3%	0.1%	-12.6M	783.7M	-11.9M	1.45	13.72	70,165	101,453	1,208,704	1,734,717
2014-10-27	$38.08	$39.00	19.2%	5.7%	17.3%	30.9%	22.7%	2.2%	-0.1%	-47.7M	1.24B	-11.8M	1.42	11.91	59,743	85,092	1,180,224	1,726,601
2014-10-28	$39.27	$39.00	19.3%	5.7%	20.5%	31.8%	20.2%	1.9%	0.1%	2.8M	420.6M	-12.2M	0.95	14.05	38,432	36,647	1,189,312	1,736,351
2014-10-29	$39.42	$39.00	19.5%	5.7%	18.6%	33.1%	21.9%	1.8%	0.2%	11.9M	255.0M	-12.2M	1.66	15.28	74,485	123,511	1,205,501	1,745,275
2014-10-30	$39.47	$39.00	19.1%	5.6%	18.6%	29.7%	21.7%	1.6%	0.3%	14.3M	240.3M	-11.7M	1.64	12.08	58,349	95,399	1,222,170	1,766,687
2014-10-31	$39.95	$39.00	19.7%	5.7%	18.2%	34.9%	21.7%	1.8%	0.0%	30.8M	-134.0M	-11.7M	1.06	13.82	88,783	94,020	1,219,560	1,777,435