FXI Options History — August 2015

In August 2015, FXI traded between $34.56 and $41.38. ATM implied volatility averaged 32.6%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.9% (HV 20d: 28.7%). Max pain ranged from $40.50 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2015-08-20: Highest Volume — 399,416 contracts
2015-08-24: Largest IV spike — 39.4% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.63	$34.56	$41.38	$39.89	$35.95
Max Pain	$42.29	$40.50	$47.00	$47.00	$40.50
ATM IV	32.6%	26.3%	50.9%	28.8%	40.4%
Expected Move	9.5%	7.5%	15.1%	8.3%	12.2%
HV 20d	28.7%	22.3%	43.6%	43.6%	35.4%
HV 60d	33.0%	31.8%	35.6%	32.8%	35.6%
IV Rank	53.2%	35.9%	100.0%	44.4%	70.4%
IV Percentile	84.4%	67.1%	100.0%	81.0%	98.4%
Term Structure	-0.7%	-2.3%	0.1%	-0.7%	-1.1%
VWIV	34.2%	26.3%	52.2%	30.4%	43.4%
Skew 25d	4.5%	1.1%	11.0%	2.6%	8.8%
Skew 10d	9.0%	2.7%	22.4%	6.3%	17.3%
Call IV 25d	31.4%	25.9%	46.4%	28.2%	36.8%
Put IV 25d	35.8%	27.8%	57.5%	30.8%	45.6%
Bid-Ask Spread %	6.32	3.60	9.06	4.45	3.60
Gamma HHI	0.10	0.07	0.15	0.11	0.08
Net GEX	-100.2M	-154.6M	-68.7M	-108.8M	-90.0M
Net DEX	3.69B	2.54B	5.57B	3.57B	3.92B
Net VEX	-18.0M	-19.9M	-14.9M	-19.3M	-16.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.40	3.15	1.22	0.67
Total Volume	275,149.238	120,129	399,416	120,129	226,664
Total OI	4,231,188.952	3,535,353	4,852,090	4,193,105	3,784,408

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
2015-08-03	$39.89	$47.00	28.8%	8.3%	43.6%	44.4%	30.4%	2.6%	-0.7%	-108.8M	3.57B	-19.3M	1.22	4.45	54,031	66,098	1,924,640	2,268,465
2015-08-04	$40.15	$47.00	27.0%	7.9%	41.2%	38.2%	27.5%	2.5%	-0.2%	-109.2M	3.41B	-19.3M	0.82	3.71	139,632	114,069	1,942,290	2,278,976
2015-08-05	$40.41	$47.00	26.6%	7.5%	32.2%	37.1%	27.3%	2.1%	0.1%	-106.5M	3.24B	-19.5M	1.09	3.60	112,140	121,943	1,940,102	2,289,564
2015-08-06	$40.19	$42.50	26.5%	7.5%	27.6%	36.7%	27.8%	2.7%	-0.3%	-109.9M	3.39B	-19.2M	1.16	7.69	122,484	142,236	1,944,455	2,301,092
2015-08-07	$40.48	$42.50	26.6%	7.5%	22.3%	37.0%	26.3%	1.7%	-0.6%	-114.2M	3.21B	-19.2M	0.87	7.07	139,276	121,195	1,940,229	2,347,366
2015-08-10	$41.38	$42.00	26.3%	7.5%	23.9%	35.9%	26.5%	1.9%	0.1%	-69.2M	2.54B	-19.8M	1.05	6.88	102,607	107,350	1,930,402	2,310,026
2015-08-11	$40.89	$42.00	29.2%	8.3%	24.2%	45.6%	28.9%	2.6%	-0.0%	-79.8M	2.89B	-19.9M	1.99	8.80	55,153	109,863	1,946,677	2,317,484
2015-08-12	$40.01	$42.00	30.6%	8.7%	23.9%	50.4%	30.5%	2.9%	-0.0%	-116.2M	3.51B	-19.4M	0.73	8.45	184,798	135,741	1,970,599	2,390,783
2015-08-13	$40.32	$42.00	28.4%	8.2%	23.0%	43.0%	28.9%	1.1%	0.0%	-92.3M	3.21B	-19.7M	0.65	7.99	172,366	111,194	2,061,555	2,400,692
2015-08-14	$40.39	$42.00	26.9%	7.7%	22.8%	37.9%	27.7%	2.1%	-0.3%	-70.1M	3.08B	-19.5M	1.07	7.23	127,083	136,056	2,119,972	2,412,696
2015-08-17	$40.19	$42.00	27.3%	7.9%	22.8%	39.5%	27.4%	1.9%	-0.5%	-74.0M	3.33B	-18.7M	0.40	7.44	195,525	78,733	2,107,491	2,386,097
2015-08-18	$39.33	$42.00	28.1%	8.1%	23.6%	42.2%	29.0%	1.1%	-0.1%	-111.0M	3.91B	-17.9M	1.10	6.13	120,808	132,654	2,191,000	2,378,314
2015-08-19	$38.45	$42.00	29.6%	8.5%	24.4%	47.2%	29.9%	2.2%	-0.3%	-152.1M	4.50B	-17.4M	3.15	6.35	67,936	214,326	2,244,425	2,384,332
2015-08-20	$37.51	$41.50	33.1%	9.5%	25.4%	58.7%	35.5%	4.0%	-0.6%	-154.6M	5.15B	-16.4M	2.07	6.24	130,042	269,374	2,275,309	2,452,524
2015-08-21	$36.59	$41.00	36.5%	10.6%	26.1%	70.2%	39.5%	5.9%	-1.1%	-137.5M	5.57B	-16.3M	1.21	7.47	132,544	160,753	2,300,938	2,551,152
2015-08-24	$34.56	$41.00	50.9%	15.1%	29.4%	100.0%	52.2%	11.0%	-2.3%	-68.7M	4.00B	-14.9M	1.19	9.06	169,747	201,561	1,593,691	1,941,662
2015-08-25	$35.26	$40.50	44.3%	13.2%	29.9%	81.4%	49.6%	10.0%	-1.7%	-78.1M	3.91B	-15.4M	1.04	6.53	178,884	185,223	1,642,579	1,997,164
2015-08-26	$35.74	$40.50	41.3%	12.3%	30.0%	73.0%	42.5%	10.0%	-1.4%	-92.4M	3.91B	-16.0M	0.76	5.07	202,110	152,994	1,673,032	2,087,336
2015-08-27	$37.28	$40.50	36.4%	10.7%	34.6%	59.1%	40.4%	7.9%	-1.0%	-85.6M	3.39B	-17.7M	0.74	4.63	154,546	114,112	1,748,506	2,146,029
2015-08-28	$36.32	$40.50	39.9%	11.9%	35.4%	69.1%	46.4%	8.5%	-2.0%	-83.8M	3.88B	-16.6M	1.18	4.32	144,332	169,951	1,768,855	2,162,059
2015-08-31	$35.95	$40.50	40.4%	12.2%	35.4%	70.4%	43.4%	8.8%	-1.1%	-90.0M	3.92B	-16.7M	0.67	3.60	135,443	91,221	1,620,626	2,163,782