FXI Options History — April 2015

In April 2015, FXI traded between $45.21 and $52.72. ATM implied volatility averaged 29.7%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.5% (HV 20d: 29.2%). Max pain ranged from $41.50 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.22.

Notable Days

2015-04-08: Highest Volume — 529,989 contracts
2015-04-08: Largest IV spike — 26.8% change
2015-04-08: Highest IV Rank — 100.0%
2015-04-13: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.36	$45.21	$52.72	$45.21	$51.34
Max Pain	$44.52	$41.50	$47.00	$42.50	$47.00
ATM IV	29.7%	21.1%	36.9%	21.2%	29.1%
Expected Move	8.6%	6.1%	10.5%	6.1%	8.5%
HV 20d	29.2%	20.8%	34.0%	21.9%	33.1%
HV 60d	24.6%	21.1%	26.3%	21.7%	25.1%
IV Rank	73.9%	45.5%	100.0%	46.0%	63.8%
IV Percentile	93.5%	66.3%	100.0%	67.1%	93.7%
Term Structure	-0.4%	-1.0%	0.5%	0.3%	-0.3%
VWIV	30.4%	21.5%	37.7%	21.5%	30.3%
Skew 25d	-1.7%	-3.6%	-0.8%	-1.4%	-0.8%
Skew 10d	-3.1%	-7.2%	-1.2%	-2.8%	-1.6%
Call IV 25d	31.2%	22.4%	39.3%	22.6%	30.3%
Put IV 25d	29.5%	20.7%	36.0%	21.2%	29.5%
Bid-Ask Spread %	5.53	3.98	9.55	4.11	5.35
Gamma HHI	0.07	0.05	0.12	0.07	0.07
Net GEX	90.8M	39.4M	133.6M	39.4M	74.5M
Net DEX	-3.55B	-5.03B	-1.13B	-1.13B	-3.39B
Net VEX	-16.5M	-18.4M	-13.9M	-14.7M	-18.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.41	2.57	0.89	0.99
Total Volume	271,000.333	162,360	529,989	220,768	221,521
Total OI	3,372,269.286	2,587,703	3,811,790	2,587,703	3,811,790

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
2015-04-01	$45.21	$42.50	21.2%	6.1%	21.9%	46.0%	21.5%	-1.4%	0.3%	39.4M	-1.13B	-14.7M	0.89	4.11	116,697	104,071	927,432	1,660,271
2015-04-02	$45.73	$41.50	21.1%	6.3%	21.7%	45.5%	22.0%	-1.8%	0.5%	46.0M	-1.45B	-14.9M	0.72	4.49	119,435	86,506	975,229	1,705,545
2015-04-06	$46.27	$41.50	23.2%	6.6%	20.9%	62.2%	23.5%	-1.9%	0.1%	59.8M	-1.70B	-14.7M	1.12	4.61	83,941	93,864	1,012,321	1,700,857
2015-04-07	$46.42	$42.00	23.3%	6.7%	20.8%	63.2%	23.4%	-1.4%	0.0%	65.1M	-1.82B	-14.7M	1.08	4.87	78,220	84,140	1,051,004	1,733,967
2015-04-08	$49.22	$42.00	29.6%	8.2%	25.6%	100.0%	29.8%	-2.5%	-0.9%	66.1M	-3.27B	-13.9M	0.41	5.19	377,102	152,887	1,111,967	1,745,395
2015-04-09	$51.05	$42.50	33.2%	9.3%	27.1%	100.0%	32.6%	-1.5%	-0.8%	86.7M	-4.31B	-14.8M	0.75	5.65	226,104	168,726	1,344,613	1,851,272
2015-04-10	$50.76	$43.50	32.5%	9.2%	27.8%	96.2%	32.9%	-2.4%	-0.6%	90.1M	-4.17B	-16.5M	1.12	7.41	154,099	173,149	1,426,673	1,942,132
2015-04-13	$51.34	$43.50	36.9%	10.5%	27.7%	100.0%	37.7%	-3.3%	-0.9%	86.5M	-4.32B	-16.6M	0.98	5.37	130,376	127,400	1,465,385	1,958,345
2015-04-14	$50.97	$43.50	33.1%	9.5%	28.3%	82.4%	33.2%	-3.6%	-1.0%	87.9M	-4.07B	-17.1M	1.27	7.64	84,530	107,478	1,502,658	2,016,911
2015-04-15	$51.36	$44.00	30.6%	8.8%	28.2%	70.7%	31.5%	-2.8%	-0.1%	101.1M	-4.35B	-16.6M	1.59	9.55	98,690	156,814	1,539,534	2,036,947
2015-04-16	$52.30	$45.00	29.6%	8.5%	28.3%	66.2%	30.3%	-2.5%	-0.2%	124.3M	-5.03B	-15.8M	0.73	6.32	158,455	115,553	1,584,676	2,068,004
2015-04-17	$50.06	$45.50	31.4%	9.1%	33.9%	74.6%	32.5%	-1.4%	-0.8%	67.2M	-3.35B	-18.4M	1.47	5.25	185,938	273,721	1,632,436	2,102,833
2015-04-20	$50.45	$46.00	30.6%	8.9%	33.9%	70.8%	32.3%	-0.9%	-0.9%	90.9M	-3.00B	-17.4M	1.47	6.00	102,851	151,194	1,457,406	1,923,938
2015-04-21	$51.50	$46.00	29.4%	8.6%	34.0%	65.3%	30.4%	-0.8%	-0.4%	116.2M	-3.87B	-16.5M	1.25	5.79	106,873	133,666	1,527,216	1,936,583
2015-04-22	$52.39	$46.00	30.1%	8.7%	33.7%	68.5%	31.0%	-1.8%	-0.5%	133.6M	-4.55B	-16.4M	0.61	3.98	203,626	123,497	1,597,773	1,963,733
2015-04-23	$51.83	$46.00	30.3%	8.8%	33.6%	69.1%	30.8%	-1.6%	-0.4%	129.4M	-4.06B	-17.8M	2.40	5.00	59,248	142,264	1,669,400	1,993,005
2015-04-24	$51.89	$46.00	32.1%	9.3%	33.6%	77.6%	33.0%	-1.3%	-0.7%	119.0M	-4.16B	-18.3M	1.42	4.76	109,962	155,892	1,702,857	2,037,963
2015-04-27	$52.72	$47.00	33.1%	9.7%	33.6%	82.4%	34.6%	-0.8%	-0.6%	111.8M	-4.40B	-18.0M	1.91	4.85	65,622	125,330	1,640,191	2,016,354
2015-04-28	$52.70	$47.00	31.5%	9.2%	32.0%	74.9%	33.3%	-1.0%	-0.4%	116.6M	-4.37B	-17.8M	2.57	4.51	64,515	165,957	1,656,645	2,036,224
2015-04-29	$51.98	$47.00	30.8%	9.1%	32.5%	71.7%	33.0%	-1.0%	-0.1%	94.6M	-3.80B	-18.2M	0.82	5.47	165,821	135,272	1,670,998	2,079,172
2015-04-30	$51.34	$47.00	29.1%	8.5%	33.1%	63.8%	30.3%	-0.8%	-0.3%	74.5M	-3.39B	-18.1M	0.99	5.35	111,188	110,333	1,717,876	2,093,914