FXI Options History — October 2015

In October 2015, FXI traded between $35.53 and $40.42. ATM implied volatility averaged 29.0%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.8% (HV 20d: 29.8%). Max pain ranged from $39.00 to $42.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2015-10-23: Highest Volume — 317,419 contracts
2015-10-30: Largest IV drop — 7.0% change
2015-10-01: Highest IV Rank — 48.5%
2015-10-01: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.62	$35.53	$40.42	$35.53	$38.30
Max Pain	$41.59	$39.00	$42.50	$39.50	$41.50
ATM IV	29.0%	25.4%	33.9%	33.9%	25.4%
Expected Move	8.3%	7.3%	9.7%	9.7%	7.3%
HV 20d	29.8%	25.8%	37.8%	35.1%	25.8%
HV 60d	34.7%	34.1%	35.4%	35.4%	34.8%
IV Rank	33.5%	22.6%	48.5%	48.5%	22.6%
IV Percentile	65.4%	38.5%	88.1%	88.1%	38.5%
Term Structure	-0.2%	-0.9%	0.3%	-0.3%	0.3%
VWIV	29.2%	26.3%	36.2%	36.2%	26.3%
Skew 25d	4.5%	2.8%	8.7%	8.7%	2.8%
Skew 10d	9.4%	5.7%	17.0%	17.0%	5.7%
Call IV 25d	27.5%	25.0%	30.7%	30.7%	25.0%
Put IV 25d	32.0%	27.9%	39.5%	39.5%	27.9%
Bid-Ask Spread %	5.85	3.57	7.64	3.57	4.85
Gamma HHI	0.07	0.06	0.08	0.08	0.07
Net GEX	-49.3M	-85.0M	3.6M	-85.0M	-81.0M
Net DEX	2.13B	792.5M	3.96B	3.96B	2.66B
Net VEX	-18.7M	-19.7M	-16.8M	-16.8M	-18.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.38	1.96	1.96	0.38
Total Volume	189,964.409	80,967	317,419	154,397	171,484
Total OI	4,285,595.136	3,955,964	4,595,849	4,193,636	4,334,167

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
2015-10-01	$35.53	$39.50	33.9%	9.7%	35.1%	48.5%	36.2%	8.7%	-0.3%	-85.0M	3.96B	-16.8M	1.96	3.57	52,132	102,265	1,809,863	2,383,773
2015-10-02	$37.03	$39.00	31.8%	9.2%	37.8%	42.2%	33.3%	7.0%	-0.2%	-72.8M	3.11B	-18.2M	0.96	4.51	149,961	144,061	1,820,465	2,411,615
2015-10-05	$37.67	$42.50	31.4%	9.0%	35.1%	40.9%	28.6%	6.3%	-0.2%	-57.3M	2.70B	-18.5M	0.58	6.51	98,117	56,928	1,876,230	2,417,510
2015-10-06	$37.16	$42.00	30.9%	8.8%	27.4%	39.3%	30.3%	6.5%	-0.2%	-74.4M	3.02B	-18.2M	0.45	5.56	154,476	68,786	1,912,517	2,444,995
2015-10-07	$38.57	$42.00	31.4%	8.9%	30.2%	41.0%	30.8%	5.1%	-0.2%	-44.0M	2.06B	-19.7M	1.04	7.64	132,095	137,039	1,898,057	2,469,019
2015-10-08	$38.77	$42.00	30.0%	8.5%	30.2%	36.7%	30.0%	4.4%	-0.2%	-42.4M	1.94B	-19.7M	1.53	7.57	82,293	126,281	1,928,036	2,535,001
2015-10-09	$38.56	$42.00	30.2%	8.6%	30.3%	37.3%	28.9%	4.7%	-0.2%	-51.9M	2.10B	-19.7M	1.49	6.50	62,296	93,022	1,934,348	2,559,962
2015-10-12	$38.66	$42.00	29.5%	8.4%	30.0%	35.3%	29.2%	4.1%	0.1%	-53.4M	2.12B	-19.3M	1.09	4.49	66,879	73,156	1,934,359	2,527,779
2015-10-13	$38.24	$42.00	29.8%	8.4%	30.2%	36.1%	28.8%	4.1%	-0.5%	-69.2M	2.43B	-18.7M	1.35	4.85	80,904	109,459	1,946,593	2,528,865
2015-10-14	$38.31	$42.00	29.3%	8.4%	28.3%	34.7%	29.4%	4.0%	0.1%	-70.2M	2.38B	-18.9M	1.39	6.45	89,344	124,258	1,954,287	2,553,579
2015-10-15	$39.60	$42.00	29.3%	8.4%	30.1%	34.4%	27.9%	4.4%	-0.1%	-29.4M	1.49B	-19.1M	0.95	7.62	110,887	105,624	1,958,785	2,590,620
2015-10-16	$39.72	$42.00	29.3%	8.4%	28.6%	34.5%	28.9%	4.2%	-0.0%	-29.4M	1.30B	-19.4M	0.54	5.61	150,870	80,910	1,995,709	2,600,140
2015-10-19	$39.37	$42.00	27.7%	7.9%	28.8%	29.6%	27.4%	4.2%	-0.7%	-28.4M	1.57B	-18.6M	1.08	5.75	74,990	80,642	1,796,801	2,159,163
2015-10-20	$39.34	$42.00	27.8%	7.9%	27.5%	29.9%	27.0%	3.4%	-0.7%	-26.5M	1.57B	-18.8M	1.16	6.14	61,468	71,156	1,802,538	2,175,768
2015-10-21	$38.79	$41.50	27.8%	8.0%	27.8%	30.0%	28.1%	3.2%	-0.5%	-44.1M	1.92B	-18.4M	0.46	4.87	55,635	25,332	1,817,244	2,206,551
2015-10-22	$39.71	$41.50	26.9%	7.8%	28.2%	27.4%	29.0%	4.0%	-0.9%	-16.7M	1.33B	-18.3M	0.69	6.78	71,772	49,580	1,826,465	2,229,082
2015-10-23	$40.42	$41.50	26.6%	7.7%	28.3%	26.2%	29.8%	2.9%	-0.8%	3.6M	792.5M	-18.8M	1.64	5.82	120,018	197,401	1,835,581	2,233,014
2015-10-26	$39.58	$41.50	26.8%	7.9%	28.8%	26.9%	27.9%	3.1%	0.0%	-39.6M	1.61B	-18.7M	0.54	6.06	118,825	63,689	1,844,710	2,314,729
2015-10-27	$39.22	$41.50	27.0%	8.0%	29.2%	27.5%	27.1%	3.4%	0.0%	-45.7M	1.86B	-18.4M	1.37	5.77	86,012	118,075	1,867,897	2,309,522
2015-10-28	$38.81	$41.50	27.1%	8.1%	28.8%	28.0%	28.8%	4.1%	-0.1%	-56.8M	2.25B	-18.7M	0.47	7.20	116,182	55,133	1,884,059	2,364,444
2015-10-29	$38.38	$41.50	27.3%	8.0%	29.3%	28.4%	28.6%	3.5%	0.2%	-70.6M	2.55B	-18.5M	0.86	4.58	102,267	87,513	1,905,618	2,383,633
2015-10-30	$38.30	$41.50	25.4%	7.3%	25.8%	22.6%	26.3%	2.8%	0.3%	-81.0M	2.66B	-18.2M	0.38	4.85	124,664	46,820	1,913,017	2,421,150