FXI Options History — February 2015

In February 2015, FXI traded between $41.90 and $43.79. ATM implied volatility averaged 21.1%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.8% (HV 20d: 22.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.03.

Notable Days

2015-02-13: Highest Volume — 196,375 contracts
2015-02-04: Largest IV spike — 8.2% change
2015-02-04: Highest IV Rank — 84.3%
2015-02-04: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.87	$41.90	$43.79	$41.94	$43.79
Max Pain	$41.29	$41.00	$42.00	$41.50	$42.00
ATM IV	21.1%	18.9%	25.9%	23.8%	19.3%
Expected Move	6.1%	5.4%	7.5%	6.9%	5.5%
HV 20d	22.9%	19.0%	25.4%	24.5%	19.0%
HV 60d	25.1%	22.9%	26.3%	25.5%	22.9%
IV Rank	45.3%	27.4%	84.3%	67.2%	30.5%
IV Percentile	52.4%	29.4%	94.8%	76.6%	35.3%
Term Structure	0.0%	-0.5%	0.5%	0.1%	-0.1%
VWIV	21.9%	19.1%	27.1%	24.7%	19.7%
Skew 25d	0.2%	-0.3%	1.0%	0.9%	0.4%
Skew 10d	0.5%	-1.5%	2.9%	2.9%	0.8%
Call IV 25d	21.6%	19.5%	26.6%	23.9%	19.6%
Put IV 25d	21.8%	19.6%	26.3%	24.7%	20.0%
Bid-Ask Spread %	6.18	4.88	7.89	5.04	5.46
Gamma HHI	0.08	0.06	0.25	0.06	0.06
Net GEX	22.3M	-16.7M	93.6M	-9.8M	19.3M
Net DEX	-412.0M	-751.0M	35.6M	-68.8M	-596.4M
Net VEX	-10.8M	-11.6M	-10.1M	-11.3M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	0.59	5.87	5.87	1.12
Total Volume	116,938.105	28,242	196,375	51,825	95,139
Total OI	1,797,312.421	1,615,818	1,968,770	1,656,975	1,696,849

Daily Data (19 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
2015-02-02	$41.94	$41.50	23.8%	6.9%	24.5%	67.2%	24.7%	0.9%	0.1%	-9.8M	-68.8M	-11.3M	5.87	5.04	7,546	44,279	622,140	1,034,835
2015-02-03	$42.79	$41.50	24.0%	6.9%	25.4%	68.4%	25.0%	1.0%	0.1%	8.3M	-445.9M	-11.1M	2.14	5.23	37,860	81,054	626,785	1,050,351
2015-02-04	$43.13	$42.00	25.9%	7.5%	24.9%	84.3%	27.1%	-0.3%	-0.5%	14.7M	-615.0M	-10.9M	1.13	4.98	79,922	90,702	635,338	1,058,725
2015-02-05	$43.02	$41.00	24.3%	6.9%	23.4%	71.3%	26.1%	0.4%	-0.1%	29.9M	-561.9M	-11.3M	3.70	5.85	31,617	117,083	694,071	1,083,774
2015-02-06	$42.02	$41.00	22.9%	6.8%	24.8%	59.7%	24.2%	0.2%	0.3%	-15.8M	-61.6M	-11.4M	2.66	7.40	38,918	103,445	699,289	1,115,355
2015-02-09	$41.90	$41.00	22.7%	6.7%	24.8%	58.4%	23.4%	-0.1%	0.4%	-16.7M	35.6M	-11.6M	2.83	7.01	31,793	89,868	690,459	1,151,138
2015-02-10	$42.13	$41.00	22.0%	6.4%	24.6%	52.5%	21.9%	-0.1%	0.2%	-9.4M	-93.1M	-11.5M	2.22	7.66	33,244	73,814	691,565	1,164,240
2015-02-11	$42.11	$41.00	20.8%	6.1%	24.2%	43.2%	21.8%	0.9%	0.5%	-12.9M	-54.1M	-11.4M	1.98	6.88	47,179	93,618	695,942	1,170,599
2015-02-12	$42.71	$41.00	20.5%	6.0%	24.5%	40.1%	21.6%	0.6%	0.5%	28.4M	-458.2M	-11.1M	2.37	7.15	44,742	105,909	712,878	1,201,657
2015-02-13	$42.94	$41.00	19.7%	5.7%	24.4%	34.1%	20.8%	-0.2%	-0.1%	48.9M	-645.9M	-10.2M	1.22	6.47	88,537	107,838	727,817	1,207,443
2015-02-17	$43.10	$41.00	19.1%	5.5%	24.3%	28.7%	19.5%	-0.0%	0.3%	70.7M	-672.1M	-10.3M	2.99	7.89	36,753	110,072	720,007	1,219,226
2015-02-18	$43.09	$41.00	19.2%	5.5%	23.9%	29.9%	19.1%	-0.2%	0.2%	77.7M	-638.3M	-10.4M	2.47	6.28	38,807	95,989	720,923	1,241,243
2015-02-19	$43.06	$41.00	19.2%	5.5%	21.1%	30.0%	21.2%	-0.2%	-0.3%	93.6M	-599.7M	-10.7M	0.87	4.88	15,125	13,117	721,254	1,247,516
2015-02-20	$43.33	$41.00	18.9%	5.4%	20.3%	27.4%	19.5%	0.2%	-0.0%	13.6M	-751.0M	-10.1M	0.77	5.67	68,960	53,174	718,541	1,239,437
2015-02-23	$42.96	$41.00	19.9%	5.6%	20.5%	35.1%	20.0%	-0.1%	-0.2%	10.7M	-243.3M	-10.7M	1.40	6.73	30,388	42,557	579,073	1,036,745
2015-02-24	$43.50	$41.50	19.7%	5.6%	21.1%	33.6%	19.8%	-0.2%	-0.1%	22.3M	-450.1M	-10.1M	0.59	5.58	56,151	33,271	570,775	1,047,438
2015-02-25	$43.25	$42.00	19.7%	5.6%	20.0%	33.6%	19.9%	-0.1%	-0.4%	16.5M	-354.8M	-10.6M	0.94	5.99	53,865	50,606	607,008	1,061,978
2015-02-26	$43.78	$42.00	19.6%	5.6%	19.1%	32.9%	21.1%	0.6%	-0.2%	33.2M	-553.3M	-10.7M	1.26	5.19	34,887	43,995	608,025	1,078,497
2015-02-27	$43.79	$42.00	19.3%	5.5%	19.0%	30.5%	19.7%	0.4%	-0.1%	19.3M	-596.4M	-10.3M	1.12	5.46	44,967	50,172	608,793	1,088,056