FXI Options History — March 2015

In March 2015, FXI traded between $40.77 and $44.79. ATM implied volatility averaged 19.7%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.5% (HV 20d: 19.3%). Max pain ranged from $42.00 to $42.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.52.

Notable Days

2015-03-30: Highest Volume — 296,963 contracts
2015-03-30: Largest IV spike — 19.6% change
2015-03-30: Highest IV Rank — 55.5%
2015-03-30: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.52	$40.77	$44.79	$43.87	$44.45
Max Pain	$42.02	$42.00	$42.50	$42.00	$42.50
ATM IV	19.7%	17.9%	22.4%	19.0%	20.4%
Expected Move	5.7%	5.1%	6.5%	5.6%	5.9%
HV 20d	19.3%	15.7%	24.6%	15.7%	22.3%
HV 60d	21.8%	20.2%	23.2%	22.4%	21.5%
IV Rank	34.2%	19.3%	55.5%	27.8%	39.9%
IV Percentile	43.5%	17.9%	77.0%	30.2%	58.7%
Term Structure	0.1%	-0.4%	0.6%	-0.4%	0.1%
VWIV	20.3%	17.9%	23.5%	20.4%	20.7%
Skew 25d	-0.1%	-2.0%	0.8%	0.8%	-1.3%
Skew 10d	-0.4%	-2.8%	1.2%	1.1%	-2.8%
Call IV 25d	20.4%	18.6%	23.7%	19.0%	21.7%
Put IV 25d	20.2%	18.4%	22.3%	19.8%	20.5%
Bid-Ask Spread %	6.54	4.40	9.42	5.82	5.05
Gamma HHI	0.06	0.05	0.09	0.06	0.07
Net GEX	-14.9M	-73.7M	40.6M	28.2M	31.7M
Net DEX	112.2M	-784.8M	873.0M	-568.6M	-701.3M
Net VEX	-12.2M	-14.4M	-10.1M	-10.1M	-14.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.21	3.89	2.22	2.21
Total Volume	117,394.091	21,460	296,963	87,654	274,247
Total OI	2,058,367.273	1,664,017	2,472,533	1,664,017	2,472,533

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
2015-03-02	$43.87	$42.00	19.0%	5.6%	15.7%	27.8%	20.4%	0.8%	-0.4%	28.2M	-568.6M	-10.1M	2.22	5.82	27,256	60,398	588,706	1,075,311
2015-03-03	$42.65	$42.00	19.1%	5.7%	18.4%	28.8%	19.8%	0.4%	-0.4%	-7.2M	-76.0M	-10.3M	1.04	4.52	69,189	71,652	589,590	1,092,429
2015-03-04	$42.02	$42.00	19.3%	5.8%	17.7%	30.3%	20.4%	0.7%	-0.2%	-27.1M	227.6M	-11.0M	1.15	4.40	54,618	62,580	622,418	1,120,745
2015-03-05	$41.70	$42.00	19.2%	5.5%	17.5%	29.7%	19.7%	0.4%	-0.0%	-38.5M	364.1M	-11.2M	1.85	6.26	42,216	77,958	638,225	1,141,092
2015-03-06	$41.22	$42.00	18.8%	5.4%	17.9%	26.8%	20.8%	0.0%	-0.4%	-56.3M	719.2M	-11.7M	1.99	4.73	62,008	123,620	660,240	1,192,818
2015-03-09	$41.74	$42.00	19.3%	5.5%	16.7%	30.2%	19.3%	-0.1%	-0.1%	-42.0M	435.4M	-11.9M	0.21	5.98	17,793	3,667	652,335	1,243,114
2015-03-10	$40.77	$42.00	19.6%	5.6%	18.6%	33.1%	19.8%	0.4%	0.1%	-73.7M	873.0M	-11.9M	1.60	6.29	43,620	69,960	663,590	1,241,076
2015-03-11	$40.87	$42.00	19.8%	5.7%	18.5%	34.8%	20.1%	0.6%	0.1%	-71.8M	863.3M	-12.0M	3.89	5.31	21,482	83,582	693,631	1,300,458
2015-03-12	$41.28	$42.00	19.8%	5.8%	18.9%	35.0%	20.5%	0.1%	0.5%	-63.0M	703.0M	-12.5M	3.18	5.56	14,961	47,554	711,256	1,360,692
2015-03-13	$41.49	$42.00	20.9%	6.1%	18.2%	43.4%	21.6%	-0.1%	0.2%	-21.2M	662.4M	-12.8M	0.64	6.64	18,900	12,175	715,910	1,408,846
2015-03-16	$42.24	$42.00	21.8%	6.2%	19.4%	50.5%	23.5%	-0.5%	0.1%	-31.5M	247.9M	-12.3M	1.06	6.98	54,253	57,747	701,386	1,408,216
2015-03-17	$42.42	$42.00	21.7%	6.2%	19.4%	49.7%	22.2%	-0.5%	-0.3%	-17.8M	110.2M	-12.4M	1.40	6.09	23,360	32,684	743,845	1,452,739
2015-03-18	$43.16	$42.00	21.7%	6.2%	20.4%	50.1%	22.0%	-0.2%	0.5%	21.8M	-319.2M	-11.3M	0.71	9.42	65,985	46,746	760,889	1,455,290
2015-03-19	$43.15	$42.00	20.4%	5.8%	20.4%	39.8%	20.3%	-0.2%	0.3%	40.6M	-353.6M	-11.9M	0.38	8.19	35,268	13,530	795,276	1,485,473
2015-03-20	$43.34	$42.00	19.4%	5.6%	20.4%	31.4%	19.8%	-0.4%	-0.1%	31.5M	-482.4M	-12.4M	0.41	9.18	88,140	36,369	798,695	1,496,295
2015-03-23	$43.20	$42.00	19.2%	5.4%	20.1%	29.7%	19.4%	-0.3%	0.0%	5.2M	-159.5M	-12.7M	1.49	8.19	17,599	26,223	691,131	1,347,088
2015-03-24	$43.00	$42.00	17.9%	5.1%	19.7%	19.3%	18.1%	-0.3%	0.6%	1.1M	-87.6M	-11.9M	3.38	7.73	12,867	43,502	699,550	1,368,397
2015-03-25	$42.51	$42.00	18.1%	5.1%	20.0%	21.3%	17.9%	-0.3%	0.2%	-25.0M	223.8M	-13.0M	1.05	6.78	65,956	69,443	703,283	1,399,238
2015-03-26	$42.47	$42.00	17.9%	5.1%	19.4%	19.6%	19.4%	-0.1%	0.3%	-27.7M	408.1M	-13.3M	1.91	8.79	58,189	111,147	754,851	1,463,367
2015-03-27	$43.10	$42.00	18.7%	5.3%	20.2%	25.9%	18.8%	-0.4%	0.4%	-9.7M	163.1M	-13.7M	0.65	5.64	101,649	65,614	755,867	1,491,775
2015-03-30	$44.79	$42.00	22.4%	6.5%	24.6%	55.5%	22.4%	-2.0%	0.1%	24.2M	-784.8M	-13.9M	1.08	6.37	142,595	154,368	810,536	1,515,878
2015-03-31	$44.45	$42.50	20.4%	5.9%	22.3%	39.9%	20.7%	-1.3%	0.1%	31.7M	-701.3M	-14.4M	2.21	5.05	85,411	188,836	890,194	1,582,339