FXI Options History — May 2015

In May 2015, FXI traded between $48.82 and $52.21. ATM implied volatility averaged 28.3%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.0% (HV 20d: 28.3%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2015-05-22: Highest Volume — 352,609 contracts
2015-05-22: Largest IV spike — 8.0% change
2015-05-28: Highest IV Rank — 77.3%
2015-05-28: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.32	$48.82	$52.21	$51.82	$48.82
Max Pain	$49.25	$47.00	$50.00	$47.00	$50.00
ATM IV	28.3%	25.3%	32.0%	28.3%	30.3%
Expected Move	8.0%	7.3%	9.0%	8.2%	8.5%
HV 20d	28.3%	24.0%	36.3%	33.0%	28.6%
HV 60d	27.0%	25.1%	28.4%	25.1%	28.4%
IV Rank	59.9%	45.7%	77.3%	59.8%	69.3%
IV Percentile	91.3%	83.7%	97.6%	93.3%	94.4%
Term Structure	-0.0%	-1.0%	1.0%	-0.2%	-0.9%
VWIV	28.5%	25.6%	31.8%	29.2%	30.6%
Skew 25d	-0.2%	-1.3%	1.5%	-0.2%	-1.1%
Skew 10d	-0.4%	-3.0%	2.6%	-0.4%	-3.0%
Call IV 25d	28.8%	25.7%	32.2%	28.9%	31.2%
Put IV 25d	28.6%	25.7%	31.8%	28.7%	30.2%
Bid-Ask Spread %	5.33	4.04	7.20	4.04	5.38
Gamma HHI	0.07	0.05	0.10	0.10	0.06
Net GEX	64.4M	-224.8K	137.7M	111.9M	49.0M
Net DEX	-2.14B	-3.97B	-617.3M	-3.68B	-617.3M
Net VEX	-18.6M	-20.4M	-17.4M	-18.4M	-20.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.33	1.25	0.74	0.69
Total Volume	189,617.1	51,356	352,609	177,483	169,981
Total OI	3,752,632.1	3,164,784	4,234,571	3,869,712	3,692,951

Daily Data (20 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
2015-05-01	$51.82	$47.00	28.3%	8.2%	33.0%	59.8%	29.2%	-0.2%	-0.2%	111.9M	-3.68B	-18.4M	0.74	4.04	101,713	75,770	1,744,459	2,125,253
2015-05-04	$52.21	$48.50	27.7%	7.9%	33.0%	57.0%	27.7%	0.4%	0.1%	105.6M	-3.97B	-17.4M	0.67	4.54	89,775	60,507	1,702,578	2,089,915
2015-05-05	$50.33	$48.50	29.3%	8.2%	36.3%	64.5%	29.7%	0.4%	-0.7%	72.1M	-2.57B	-18.4M	0.67	7.20	132,160	88,017	1,800,342	2,096,226
2015-05-06	$49.27	$48.50	29.9%	8.4%	31.1%	67.4%	29.9%	1.4%	-0.3%	39.2M	-1.70B	-18.6M	0.95	6.68	94,684	90,272	1,804,836	2,108,393
2015-05-07	$49.27	$48.50	28.9%	8.3%	27.9%	62.9%	29.1%	1.5%	-0.1%	30.3M	-1.61B	-18.5M	0.86	6.18	109,359	93,574	1,837,574	2,140,082
2015-05-08	$50.51	$48.50	29.1%	8.3%	29.4%	63.7%	29.5%	0.3%	-0.5%	56.3M	-2.69B	-18.4M	0.33	6.41	194,321	63,611	1,838,020	2,175,505
2015-05-11	$50.07	$48.50	27.4%	7.9%	29.2%	55.5%	27.9%	-0.1%	0.2%	44.4M	-2.29B	-17.9M	1.25	5.36	52,109	65,083	1,871,602	2,188,508
2015-05-12	$49.82	$49.00	27.0%	7.8%	29.2%	53.9%	27.6%	0.9%	0.1%	16.3M	-1.85B	-18.0M	0.74	6.20	104,687	77,425	1,836,490	2,226,323
2015-05-13	$49.23	$50.00	25.7%	7.4%	29.2%	47.7%	25.9%	0.3%	0.1%	136.7K	-1.37B	-17.8M	0.60	4.35	126,805	76,681	1,899,112	2,236,711
2015-05-14	$49.62	$49.50	25.3%	7.3%	28.5%	45.7%	25.6%	0.1%	0.2%	-224.8K	-1.81B	-17.9M	0.48	4.73	175,904	84,447	1,944,706	2,255,983
2015-05-15	$50.65	$49.50	25.6%	7.3%	25.2%	47.1%	26.0%	-0.1%	-0.0%	60.1M	-2.92B	-17.9M	0.56	4.61	157,437	87,490	1,969,867	2,264,704
2015-05-18	$49.85	$49.50	25.9%	7.4%	25.7%	48.9%	26.6%	-0.3%	1.0%	47.0M	-1.25B	-17.8M	0.49	5.87	82,325	40,508	1,499,651	1,665,133
2015-05-19	$50.53	$49.50	27.3%	7.8%	25.0%	55.1%	28.1%	-0.7%	1.0%	72.5M	-1.83B	-18.0M	0.59	5.02	32,341	19,015	1,558,109	1,680,608
2015-05-20	$50.10	$50.00	27.4%	7.8%	24.2%	55.5%	27.9%	-1.3%	0.9%	56.7M	-1.51B	-18.5M	0.77	4.70	114,275	88,336	1,576,308	1,683,390
2015-05-21	$49.87	$50.00	27.0%	7.7%	24.0%	53.9%	27.2%	-1.3%	0.9%	46.4M	-1.41B	-18.9M	0.93	4.69	80,868	75,071	1,658,190	1,719,329
2015-05-22	$51.39	$50.00	29.2%	8.3%	26.5%	64.1%	29.1%	-1.2%	0.7%	130.9M	-2.66B	-19.1M	0.37	5.97	257,404	95,205	1,675,886	1,753,011
2015-05-26	$51.61	$50.00	31.5%	8.8%	25.9%	75.0%	30.9%	-1.3%	-1.0%	132.2M	-2.85B	-20.0M	0.72	4.92	97,056	70,215	1,783,123	1,756,377
2015-05-27	$51.53	$50.00	31.2%	8.6%	25.9%	73.6%	30.2%	-0.8%	-0.9%	137.7M	-2.80B	-20.0M	0.83	4.87	74,687	61,906	1,813,984	1,763,125
2015-05-28	$49.83	$50.00	32.0%	9.0%	28.0%	77.3%	31.8%	-0.4%	-1.0%	79.4M	-1.39B	-20.4M	0.80	4.82	128,657	102,661	1,845,631	1,770,647
2015-05-29	$48.82	$50.00	30.3%	8.5%	28.6%	69.3%	30.6%	-1.1%	-0.9%	49.0M	-617.3M	-20.2M	0.69	5.38	100,604	69,377	1,888,864	1,804,087