FXI Options History — June 2015

In June 2015, FXI traded between $45.06 and $49.66. ATM implied volatility averaged 28.8%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.1% (HV 20d: 23.7%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.93.

Notable Days

2015-06-23: Highest Volume — 275,369 contracts
2015-06-29: Largest IV spike — 8.1% change
2015-06-08: Highest IV Rank — 72.9%
2015-06-01: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.00	$45.06	$49.66	$49.27	$46.08
Max Pain	$49.55	$49.00	$50.00	$50.00	$49.50
ATM IV	28.8%	25.7%	31.1%	30.6%	29.3%
Expected Move	8.2%	7.4%	8.9%	8.9%	8.8%
HV 20d	23.7%	20.2%	28.6%	28.6%	24.3%
HV 60d	28.3%	27.7%	29.1%	28.3%	29.1%
IV Rank	62.1%	47.9%	72.9%	70.6%	64.6%
IV Percentile	87.2%	75.0%	95.6%	94.4%	88.5%
Term Structure	-0.5%	-1.1%	-0.2%	-0.9%	-0.3%
VWIV	29.6%	26.0%	33.6%	31.9%	31.6%
Skew 25d	-0.6%	-1.0%	0.5%	-0.4%	-0.4%
Skew 10d	-1.5%	-2.6%	-0.5%	-1.5%	-0.7%
Call IV 25d	29.6%	27.1%	31.7%	30.6%	30.4%
Put IV 25d	29.0%	26.2%	30.9%	30.3%	30.0%
Bid-Ask Spread %	4.90	3.40	6.42	3.83	4.74
Gamma HHI	0.07	0.06	0.09	0.07	0.07
Net GEX	34.8M	-34.2M	91.1M	73.0M	-23.2M
Net DEX	54.9M	-1.24B	1.62B	-1.01B	1.09B
Net VEX	-19.9M	-21.1M	-18.6M	-20.3M	-19.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.32	1.35	0.57	0.92
Total Volume	189,196.409	109,610	275,369	185,313	142,647
Total OI	3,852,603.545	3,304,092	4,438,333	3,649,913	3,454,325

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
2015-06-01	$49.27	$50.00	30.6%	8.9%	28.6%	70.6%	31.9%	-0.4%	-0.9%	73.0M	-1.01B	-20.3M	0.57	3.83	117,704	67,609	1,848,871	1,801,042
2015-06-02	$49.31	$50.00	29.8%	8.7%	28.4%	67.0%	31.0%	-0.9%	-0.9%	80.2M	-978.8M	-20.3M	1.27	4.51	50,036	63,551	1,923,569	1,838,185
2015-06-03	$49.66	$50.00	29.2%	8.5%	25.6%	64.1%	31.4%	-0.7%	-1.1%	91.1M	-1.24B	-20.1M	0.77	3.40	100,911	78,137	1,922,601	1,860,929
2015-06-04	$49.29	$50.00	30.7%	8.5%	24.5%	71.3%	29.7%	-0.9%	-1.1%	80.0M	-969.5M	-20.6M	0.74	6.42	118,035	86,792	1,984,626	1,889,336
2015-06-05	$48.98	$49.00	30.7%	8.4%	24.6%	71.1%	30.4%	-0.9%	-1.1%	37.7M	-663.3M	-20.9M	1.13	4.82	93,276	105,212	2,034,001	1,926,976
2015-06-08	$49.43	$49.50	31.1%	8.7%	23.1%	72.9%	31.1%	-0.7%	-0.5%	85.9M	-1.13B	-20.5M	0.90	5.31	80,335	72,501	2,023,971	1,932,439
2015-06-09	$48.72	$49.50	30.9%	8.6%	23.4%	71.9%	31.0%	-0.5%	-0.7%	54.4M	-452.8M	-20.4M	1.18	5.82	87,569	103,723	2,049,602	1,946,505
2015-06-10	$48.33	$49.50	28.9%	8.2%	23.5%	62.7%	28.4%	0.5%	-0.2%	32.9M	67.8M	-19.8M	1.21	5.72	102,833	124,471	2,087,398	1,977,794
2015-06-11	$48.71	$49.50	27.9%	7.9%	23.4%	58.2%	26.9%	0.4%	-0.6%	43.1M	-229.8M	-19.7M	0.85	5.41	117,160	99,189	2,143,945	2,005,571
2015-06-12	$49.10	$49.50	28.7%	8.2%	23.4%	61.9%	28.2%	-1.0%	-0.6%	76.3M	-752.4M	-20.6M	0.92	5.87	108,465	99,753	2,202,048	2,022,397
2015-06-15	$47.65	$49.50	28.8%	8.2%	24.2%	62.2%	28.7%	-1.0%	-0.6%	16.1M	613.2M	-19.4M	1.16	6.41	60,927	70,426	2,194,682	2,012,916
2015-06-16	$47.01	$49.50	29.3%	8.4%	24.1%	64.8%	30.2%	-0.6%	-0.4%	-1.9M	1.05B	-19.1M	1.34	4.90	98,808	132,850	2,206,436	2,020,930
2015-06-17	$47.14	$49.00	28.3%	8.1%	23.4%	60.1%	29.2%	-0.5%	-0.3%	-2.0M	1.01B	-18.6M	1.35	6.18	50,895	68,952	2,241,017	2,066,897
2015-06-18	$47.20	$49.00	27.9%	8.0%	23.4%	58.1%	29.4%	-1.0%	-0.2%	-10.0M	990.0M	-19.2M	0.73	4.98	145,380	105,852	2,245,372	2,071,231
2015-06-19	$46.85	$49.50	27.6%	8.0%	23.4%	56.6%	28.7%	-0.7%	-0.5%	-16.7M	1.31B	-19.1M	0.39	4.06	197,202	76,866	2,330,198	2,108,135
2015-06-22	$47.50	$49.50	27.1%	7.9%	20.9%	54.2%	28.4%	-0.4%	-0.3%	31.0M	191.4M	-19.5M	0.51	4.75	110,952	56,494	1,698,937	1,605,155
2015-06-23	$48.51	$49.50	26.7%	7.6%	22.6%	52.5%	28.4%	-0.8%	-0.3%	63.3M	-419.0M	-20.3M	0.32	4.31	209,139	66,230	1,735,419	1,644,640
2015-06-24	$48.36	$49.50	26.4%	7.6%	22.6%	50.8%	27.1%	-0.8%	-0.3%	69.1M	-322.4M	-21.1M	1.09	4.18	78,571	85,395	1,746,804	1,675,299
2015-06-25	$47.60	$49.50	25.7%	7.4%	20.2%	47.9%	26.0%	-0.8%	-0.3%	31.8M	266.8M	-20.1M	0.99	3.83	55,157	54,453	1,752,752	1,673,412
2015-06-26	$46.19	$50.00	27.4%	8.0%	21.6%	55.6%	29.5%	-0.8%	-0.2%	-13.0M	1.14B	-19.5M	1.34	4.13	103,576	138,518	1,761,049	1,683,076
2015-06-29	$45.06	$49.50	29.6%	8.9%	22.4%	66.0%	33.6%	-0.6%	-0.3%	-34.2M	1.62B	-19.0M	0.79	4.31	98,417	77,352	1,724,786	1,682,004
2015-06-30	$46.08	$49.50	29.3%	8.8%	24.3%	64.6%	31.6%	-0.4%	-0.3%	-23.2M	1.09B	-19.8M	0.92	4.74	74,326	68,321	1,746,127	1,708,198