FXI Options History — July 2015

In July 2015, FXI traded between $39.09 and $45.82. ATM implied volatility averaged 29.9%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 12.1% (HV 20d: 42.0%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2015-07-08: Highest Volume — 731,732 contracts
2015-07-08: Largest IV spike — 33.6% change
2015-07-08: Highest IV Rank — 100.0%
2015-07-08: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.18	$39.09	$45.82	$45.72	$40.43
Max Pain	$48.14	$47.00	$50.00	$49.50	$47.00
ATM IV	29.9%	24.1%	45.4%	28.9%	27.7%
Expected Move	8.5%	6.9%	11.7%	8.6%	8.1%
HV 20d	42.0%	24.0%	46.8%	24.0%	45.7%
HV 60d	31.9%	26.4%	34.1%	29.1%	32.7%
IV Rank	51.8%	28.8%	100.0%	62.6%	40.6%
IV Percentile	82.0%	57.9%	100.0%	85.3%	77.0%
Term Structure	-0.6%	-2.8%	0.2%	-0.7%	0.0%
VWIV	30.8%	25.0%	40.8%	31.0%	29.0%
Skew 25d	2.1%	-0.2%	4.3%	0.3%	1.4%
Skew 10d	4.2%	-1.6%	8.1%	-0.8%	3.6%
Call IV 25d	29.8%	24.7%	44.2%	29.2%	27.8%
Put IV 25d	31.9%	25.4%	48.5%	29.5%	29.2%
Bid-Ask Spread %	5.51	3.07	17.23	4.95	3.55
Gamma HHI	0.06	0.05	0.08	0.07	0.08
Net GEX	-42.6M	-83.0M	-12.1M	-40.8M	-70.9M
Net DEX	2.43B	1.25B	4.00B	1.34B	3.22B
Net VEX	-19.9M	-21.5M	-17.4M	-19.6M	-19.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.44	1.71	0.44	0.95
Total Volume	326,706.409	140,494	731,732	190,086	284,195
Total OI	4,062,026.909	3,498,215	4,673,368	3,498,215	4,272,458

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
2015-07-01	$45.72	$49.50	28.9%	8.6%	24.0%	62.6%	31.0%	0.3%	-0.7%	-40.8M	1.34B	-19.6M	0.44	4.95	131,646	58,440	1,764,817	1,733,398
2015-07-02	$45.82	$49.00	28.8%	8.4%	24.1%	62.2%	29.8%	-0.2%	-0.6%	-12.1M	1.25B	-19.9M	1.16	3.74	111,420	129,507	1,839,446	1,744,173
2015-07-06	$43.84	$50.00	29.5%	8.2%	28.1%	65.7%	29.3%	-0.0%	-0.5%	-53.7M	2.27B	-17.9M	1.17	4.63	121,844	142,623	1,786,326	1,725,608
2015-07-07	$41.97	$50.00	34.0%	9.1%	30.5%	86.5%	32.7%	2.5%	-1.3%	-57.1M	2.99B	-17.4M	1.42	11.31	285,057	406,016	1,823,468	1,757,510
2015-07-08	$39.09	$50.00	45.4%	11.7%	37.8%	100.0%	40.8%	4.3%	-2.8%	-66.5M	4.00B	-17.7M	1.36	11.19	309,775	421,957	2,004,238	2,001,025
2015-07-09	$40.94	$49.00	40.3%	10.6%	43.0%	82.9%	37.5%	3.2%	-2.0%	-42.0M	3.10B	-19.9M	0.90	17.23	220,484	198,603	2,154,880	2,096,285
2015-07-10	$42.77	$48.00	36.0%	10.0%	46.5%	68.7%	36.8%	4.1%	-1.7%	-21.1M	2.07B	-21.5M	0.60	12.03	209,043	124,545	2,236,794	2,187,607
2015-07-13	$42.92	$49.00	30.4%	8.7%	46.3%	49.9%	31.1%	2.2%	0.1%	-19.2M	2.06B	-20.7M	0.78	3.34	180,053	140,357	2,247,751	2,134,570
2015-07-14	$42.75	$48.00	28.8%	8.2%	45.5%	44.4%	31.6%	3.2%	-0.2%	-21.4M	2.26B	-20.4M	0.69	4.90	194,086	134,127	2,283,222	2,179,851
2015-07-15	$41.74	$48.00	28.2%	8.2%	45.9%	42.4%	29.1%	1.9%	0.0%	-29.3M	2.89B	-19.9M	0.70	3.98	219,046	153,840	2,348,205	2,218,120
2015-07-16	$42.50	$48.00	27.0%	7.7%	46.6%	38.2%	28.2%	2.9%	-0.3%	-29.2M	2.49B	-20.7M	0.53	3.07	182,737	96,403	2,330,203	2,293,726
2015-07-17	$42.81	$47.50	26.4%	7.6%	46.8%	36.5%	27.4%	1.4%	0.2%	-16.7M	2.34B	-21.1M	0.65	3.19	142,479	93,278	2,354,480	2,318,888
2015-07-20	$42.62	$47.50	25.5%	7.3%	46.8%	33.3%	26.3%	1.6%	-0.5%	-20.4M	1.68B	-20.2M	0.76	3.48	123,764	94,124	1,812,667	1,934,112
2015-07-21	$42.76	$47.50	24.4%	7.0%	46.4%	29.7%	25.5%	1.3%	-0.1%	-18.5M	1.56B	-19.9M	0.81	3.56	122,573	99,848	1,827,802	1,958,519
2015-07-22	$42.33	$47.50	24.1%	6.9%	45.3%	28.8%	25.0%	0.7%	-0.2%	-33.7M	1.86B	-20.0M	1.32	3.07	60,572	79,922	1,835,901	1,983,064
2015-07-23	$42.31	$47.50	25.6%	7.4%	45.4%	33.8%	27.7%	1.1%	-0.4%	-34.8M	1.90B	-20.2M	1.46	3.28	111,188	162,734	1,838,955	1,989,820
2015-07-24	$41.76	$47.00	27.0%	7.7%	45.3%	38.2%	28.2%	1.6%	-0.1%	-46.1M	2.27B	-20.3M	1.50	3.80	111,465	167,192	1,877,949	2,046,277
2015-07-27	$40.10	$47.50	34.9%	10.3%	46.2%	64.9%	37.2%	3.0%	-1.1%	-71.8M	3.21B	-19.8M	1.71	4.80	160,288	274,110	1,867,865	2,073,675
2015-07-28	$40.74	$47.50	30.1%	8.9%	46.3%	48.7%	33.1%	4.3%	-0.6%	-79.5M	3.00B	-20.2M	0.85	4.38	171,793	145,412	1,916,493	2,176,588
2015-07-29	$41.26	$47.00	27.6%	8.0%	45.7%	40.4%	29.9%	2.7%	-0.3%	-68.3M	2.61B	-20.3M	0.87	3.83	188,288	163,030	1,920,251	2,219,512
2015-07-30	$40.72	$47.00	28.1%	7.9%	45.8%	42.2%	29.9%	3.5%	-0.4%	-83.0M	3.05B	-20.1M	0.87	3.97	138,615	121,062	1,967,042	2,281,051
2015-07-31	$40.43	$47.00	27.7%	8.1%	45.7%	40.6%	29.0%	1.4%	0.0%	-70.9M	3.22B	-19.8M	0.95	3.55	145,795	138,400	1,975,246	2,297,212