FXI Options History — December 2014

In December 2014, FXI traded between $39.37 and $41.99. ATM implied volatility averaged 24.9%, placing in the 76.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.0% (HV 20d: 29.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2014-12-18: Highest Volume — 304,446 contracts
2014-12-17: Largest IV spike — 42.6% change
2014-12-05: Highest IV Rank — 100.0%
2014-12-04: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.60	$39.37	$41.99	$39.54	$41.62
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	24.9%	18.7%	27.9%	22.6%	25.0%
Expected Move	6.8%	6.0%	7.1%	6.0%	6.9%
HV 20d	29.0%	25.2%	31.7%	25.2%	27.1%
HV 60d	23.2%	21.3%	23.9%	21.3%	23.8%
IV Rank	76.5%	25.6%	100.0%	58.1%	76.7%
IV Percentile	88.2%	28.2%	100.0%	79.0%	90.9%
Term Structure	-0.7%	-7.0%	0.2%	-0.2%	-0.3%
VWIV	24.4%	22.5%	25.8%	22.5%	24.7%
Skew 25d	-0.3%	-4.8%	0.7%	0.6%	-0.1%
Skew 10d	-0.7%	-4.4%	2.2%	-0.4%	0.8%
Call IV 25d	25.5%	21.5%	28.4%	21.5%	25.6%
Put IV 25d	25.2%	22.2%	27.6%	22.2%	25.5%
Bid-Ask Spread %	12.50	9.35	16.68	10.48	11.07
Gamma HHI	0.07	0.06	0.09	0.08	0.09
Net GEX	20.2M	-25.6M	56.8M	-9.6M	49.1M
Net DEX	184.0M	-839.7M	983.2M	641.4M	-212.7M
Net VEX	-11.1M	-12.3M	-9.9M	-10.7M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.33	2.48	2.48	0.67
Total Volume	141,288.227	35,729	304,446	128,977	46,131
Total OI	2,763,562.455	2,547,396	3,032,981	2,640,288	2,562,263

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
2014-12-01	$39.54	$40.00	22.6%	6.0%	25.2%	58.1%	22.5%	0.6%	-0.2%	-9.6M	641.4M	-10.7M	2.48	10.48	37,051	91,926	1,051,362	1,588,926
2014-12-02	$40.50	$40.00	24.1%	6.2%	26.3%	70.3%	22.9%	-0.2%	-0.6%	21.8M	36.0M	-11.0M	2.36	12.54	44,735	105,543	1,058,105	1,602,083
2014-12-03	$40.34	$40.00	24.4%	6.4%	26.3%	72.9%	23.3%	-0.2%	-0.7%	15.7M	209.6M	-11.6M	1.35	10.65	64,357	86,962	1,065,366	1,600,255
2014-12-04	$41.51	$40.00	27.5%	7.1%	27.8%	98.1%	25.1%	-2.0%	-0.6%	41.2M	-596.2M	-11.7M	0.79	15.60	90,033	71,551	1,091,456	1,617,805
2014-12-05	$41.99	$40.00	27.9%	7.1%	27.9%	100.0%	25.7%	-1.3%	-0.5%	47.2M	-839.7M	-12.0M	0.88	16.03	98,554	86,825	1,134,036	1,652,721
2014-12-08	$41.68	$40.00	27.0%	7.0%	28.1%	93.3%	25.0%	-1.3%	-0.3%	48.0M	-666.3M	-11.9M	1.41	13.99	68,993	97,220	1,163,324	1,644,936
2014-12-09	$40.21	$40.00	27.0%	7.1%	31.3%	92.9%	25.2%	0.6%	-0.6%	8.9M	331.8M	-12.1M	0.75	13.32	122,780	91,757	1,189,982	1,671,013
2014-12-10	$39.88	$40.00	26.1%	6.9%	31.5%	85.5%	25.4%	-0.4%	-0.8%	-534.0K	547.5M	-12.3M	0.47	9.80	177,801	82,919	1,235,477	1,701,682
2014-12-11	$40.03	$40.00	25.5%	7.0%	31.5%	80.9%	25.5%	-0.4%	-0.1%	7.5M	434.6M	-12.0M	0.83	12.95	63,423	52,951	1,302,767	1,730,214
2014-12-12	$39.57	$40.00	25.1%	6.9%	31.7%	77.5%	24.4%	-0.4%	-0.2%	-15.3M	805.3M	-11.1M	1.09	12.37	106,979	116,201	1,207,639	1,720,848
2014-12-15	$39.46	$40.00	24.4%	6.8%	30.9%	71.8%	24.5%	-0.1%	-0.4%	-25.6M	983.2M	-11.3M	1.18	13.56	69,732	82,405	1,223,735	1,719,614
2014-12-16	$39.37	$40.00	18.7%	6.2%	28.9%	25.6%	22.9%	-4.8%	-7.0%	-21.6M	855.1M	-10.5M	0.93	14.32	69,655	65,104	1,232,941	1,722,545
2014-12-17	$40.45	$40.00	26.7%	7.0%	30.1%	90.3%	25.1%	0.6%	-0.9%	24.7M	288.0M	-11.4M	0.80	12.68	87,386	69,960	1,242,297	1,729,281
2014-12-18	$40.51	$40.00	25.1%	6.8%	30.0%	78.0%	24.2%	0.6%	-0.5%	22.2M	301.8M	-11.1M	0.50	16.68	203,633	100,813	1,253,620	1,737,861
2014-12-19	$40.26	$40.00	23.9%	6.7%	30.1%	67.8%	23.8%	0.3%	-0.3%	-10.7M	633.0M	-11.0M	0.33	13.12	32,534	10,592	1,154,016	1,770,998
2014-12-22	$41.20	$40.00	24.5%	6.8%	28.5%	72.6%	24.1%	0.7%	0.1%	38.5M	-25.0M	-10.7M	1.23	12.08	40,836	50,255	998,331	1,560,219
2014-12-23	$40.67	$40.00	23.8%	6.7%	28.9%	67.1%	23.8%	0.2%	0.2%	30.3M	274.8M	-10.6M	1.22	11.08	40,568	49,290	1,009,143	1,571,237
2014-12-24	$40.33	$40.00	23.7%	6.6%	29.0%	66.1%	23.9%	0.6%	0.0%	20.2M	456.4M	-10.6M	1.28	10.89	37,473	47,780	1,016,820	1,571,637
2014-12-26	$41.61	$40.00	25.9%	7.1%	29.1%	84.4%	25.8%	-0.1%	-0.4%	55.0M	-295.4M	-10.5M	0.86	9.35	68,303	58,404	1,020,834	1,573,887
2014-12-29	$41.61	$40.00	25.6%	7.0%	28.9%	81.4%	24.9%	0.5%	-0.3%	56.8M	-271.1M	-10.3M	1.17	9.45	38,332	44,865	1,012,594	1,537,108
2014-12-30	$40.95	$40.00	24.4%	6.9%	27.8%	72.3%	24.6%	0.5%	-0.2%	39.9M	155.9M	-10.2M	0.71	12.93	20,882	14,847	996,554	1,550,842
2014-12-31	$41.62	$40.00	25.0%	6.9%	27.1%	76.7%	24.7%	-0.1%	-0.3%	49.1M	-212.7M	-9.9M	0.67	11.07	27,704	18,427	999,484	1,562,779