FXI Options History — September 2015

In September 2015, FXI traded between $33.67 and $37.56. ATM implied volatility averaged 37.7%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.2% (HV 20d: 43.0%). Max pain ranged from $39.50 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.44.

Notable Days

2015-09-04: Highest Volume — 446,071 contracts
2015-09-08: Largest IV drop — 19.4% change
2015-09-04: Highest IV Rank — 92.7%
2015-09-01: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.66	$33.67	$37.56	$34.26	$35.49
Max Pain	$40.81	$39.50	$42.00	$40.00	$39.50
ATM IV	37.7%	31.4%	48.4%	47.7%	34.4%
Expected Move	10.9%	8.9%	14.8%	14.8%	10.0%
HV 20d	43.0%	35.2%	48.1%	38.2%	35.2%
HV 60d	39.1%	36.5%	40.3%	36.5%	38.1%
IV Rank	60.3%	40.8%	92.7%	90.9%	50.0%
IV Percentile	93.4%	85.7%	99.6%	99.6%	89.3%
Term Structure	-0.5%	-2.6%	0.9%	-1.7%	-0.4%
VWIV	39.8%	33.2%	55.1%	55.1%	43.2%
Skew 25d	9.2%	4.4%	15.8%	10.6%	8.9%
Skew 10d	19.6%	11.3%	31.7%	24.2%	17.6%
Call IV 25d	34.6%	29.8%	44.1%	44.1%	31.1%
Put IV 25d	43.8%	36.7%	59.4%	54.7%	39.9%
Bid-Ask Spread %	7.46	3.12	16.05	5.21	3.81
Gamma HHI	0.07	0.06	0.08	0.08	0.08
Net GEX	-87.6M	-106.4M	-67.6M	-80.8M	-85.8M
Net DEX	3.90B	3.09B	4.68B	4.40B	3.89B
Net VEX	-17.4M	-19.0M	-15.3M	-15.3M	-16.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.82	2.25	1.80	1.17
Total Volume	229,426.143	57,689	446,071	342,244	192,168
Total OI	4,212,190.238	3,801,949	4,655,752	3,801,949	4,118,970

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
2015-09-01	$34.26	$40.00	47.7%	14.8%	38.2%	90.9%	55.1%	10.6%	-1.7%	-80.8M	4.40B	-15.3M	1.80	5.21	122,274	219,970	1,633,649	2,168,300
2015-09-02	$34.58	$40.00	43.1%	13.1%	38.3%	77.0%	47.3%	12.2%	-1.0%	-88.7M	4.37B	-15.7M	1.53	3.12	112,222	171,536	1,674,086	2,245,160
2015-09-03	$34.92	$42.00	41.2%	11.5%	38.8%	71.3%	43.1%	10.8%	-0.8%	-90.2M	4.24B	-16.8M	1.23	9.82	133,773	164,309	1,710,309	2,318,515
2015-09-04	$33.67	$42.00	48.4%	12.9%	39.8%	92.7%	48.9%	15.8%	-2.6%	-81.7M	4.68B	-15.6M	1.17	10.68	205,912	240,159	1,756,911	2,367,587
2015-09-08	$35.97	$42.00	39.0%	10.9%	46.8%	64.6%	39.4%	13.9%	-0.8%	-87.5M	3.86B	-18.0M	1.94	16.05	62,343	121,203	1,827,203	2,408,765
2015-09-09	$36.00	$42.00	39.1%	10.9%	46.9%	64.1%	40.6%	8.4%	-1.2%	-94.8M	3.74B	-18.5M	2.25	14.62	109,434	245,689	1,857,255	2,451,845
2015-09-10	$36.10	$42.00	40.8%	11.5%	46.6%	69.4%	40.0%	8.8%	-0.8%	-106.4M	3.79B	-19.0M	1.25	14.73	92,902	116,305	1,893,381	2,559,172
2015-09-11	$36.27	$41.50	38.4%	11.0%	46.5%	62.2%	39.6%	11.5%	-0.2%	-92.5M	3.86B	-18.9M	1.83	12.06	99,666	182,433	1,906,659	2,593,077
2015-09-14	$35.94	$41.00	38.5%	10.9%	46.5%	62.4%	38.3%	8.9%	-0.4%	-99.7M	4.01B	-18.3M	1.13	4.78	100,270	113,268	1,902,426	2,533,462
2015-09-15	$36.45	$41.00	37.4%	10.7%	47.0%	59.0%	36.7%	8.1%	-0.6%	-97.9M	3.74B	-18.3M	1.30	5.28	25,096	32,593	1,919,107	2,564,410
2015-09-16	$37.56	$40.50	33.9%	9.7%	48.1%	48.5%	35.0%	6.3%	-0.6%	-86.0M	3.09B	-18.9M	1.54	5.70	103,593	159,145	1,932,232	2,578,915
2015-09-17	$37.12	$40.50	32.9%	9.4%	47.7%	45.5%	33.2%	4.4%	0.9%	-92.0M	3.34B	-18.6M	1.13	12.80	114,197	129,522	1,964,992	2,644,438
2015-09-18	$36.32	$40.50	34.2%	9.8%	47.5%	49.4%	33.5%	7.6%	-0.2%	-67.6M	3.88B	-17.8M	0.93	5.00	136,237	127,036	1,990,063	2,665,689
2015-09-21	$36.76	$40.50	31.4%	8.9%	46.9%	40.8%	36.0%	7.2%	0.2%	-70.5M	3.18B	-18.0M	1.48	4.70	91,874	135,893	1,694,502	2,220,772
2015-09-22	$36.01	$40.50	33.6%	9.7%	42.6%	47.6%	35.0%	6.5%	0.0%	-82.1M	3.62B	-17.6M	1.25	8.22	70,109	87,443	1,719,597	2,296,143
2015-09-23	$35.65	$40.50	34.6%	10.1%	42.2%	50.6%	39.9%	8.2%	-0.2%	-82.3M	3.75B	-17.4M	1.67	3.46	66,621	111,464	1,739,855	2,303,165
2015-09-24	$35.37	$40.50	34.8%	10.1%	42.0%	51.2%	37.0%	7.9%	0.2%	-87.2M	3.95B	-17.1M	1.09	3.72	74,063	81,013	1,752,439	2,324,636
2015-09-25	$35.25	$40.50	34.8%	10.1%	38.9%	51.1%	35.5%	8.3%	-0.1%	-84.6M	4.02B	-16.7M	1.79	3.45	63,005	113,027	1,765,620	2,341,564
2015-09-28	$34.67	$40.00	37.3%	11.0%	38.3%	59.0%	39.5%	9.3%	-0.6%	-87.5M	4.16B	-16.4M	1.86	5.93	49,681	92,652	1,727,296	2,304,055
2015-09-29	$34.58	$40.00	37.2%	11.0%	38.1%	58.7%	38.1%	9.4%	-0.5%	-93.5M	4.31B	-16.2M	0.82	3.56	81,335	66,514	1,733,769	2,346,004
2015-09-30	$35.49	$39.50	34.4%	10.0%	35.2%	50.0%	43.2%	8.9%	-0.4%	-85.8M	3.89B	-16.9M	1.17	3.81	88,370	103,798	1,771,401	2,347,569