FXI Options History — November 2015

In November 2015, FXI traded between $36.93 and $39.31. ATM implied volatility averaged 25.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.9% (HV 20d: 20.0%). Max pain ranged from $40.00 to $41.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2015-11-18: Highest Volume — 233,359 contracts
2015-11-09: Largest IV spike — 6.0% change
2015-11-13: Highest IV Rank — 29.2%
2015-11-13: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.08	$36.93	$39.31	$38.55	$37.45
Max Pain	$40.23	$40.00	$41.50	$41.50	$40.00
ATM IV	25.9%	24.7%	27.5%	25.2%	25.9%
Expected Move	7.3%	6.3%	7.9%	7.4%	7.2%
HV 20d	20.0%	15.8%	25.2%	25.2%	19.1%
HV 60d	32.1%	27.6%	34.8%	34.8%	28.3%
IV Rank	24.2%	20.7%	29.2%	22.2%	24.3%
IV Percentile	40.5%	30.2%	56.0%	37.7%	38.5%
Term Structure	0.2%	-1.6%	3.1%	-0.1%	-0.7%
VWIV	26.8%	23.5%	28.6%	26.8%	26.5%
Skew 25d	2.5%	1.4%	4.9%	3.2%	4.9%
Skew 10d	5.0%	1.4%	8.6%	7.0%	8.2%
Call IV 25d	25.1%	23.3%	27.0%	24.4%	23.4%
Put IV 25d	27.6%	26.2%	29.5%	27.6%	28.3%
Bid-Ask Spread %	6.18	3.33	9.33	4.80	7.34
Gamma HHI	0.10	0.07	0.17	0.07	0.12
Net GEX	-99.8M	-143.6M	-28.5M	-79.3M	-104.3M
Net DEX	2.75B	1.78B	3.77B	2.51B	2.78B
Net VEX	-15.8M	-17.9M	-13.1M	-17.7M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.45	2.90	0.45	1.13
Total Volume	160,651.1	54,155	233,359	159,864	54,155
Total OI	4,287,356.4	3,714,209	4,652,370	4,299,402	3,796,225

Daily Data (20 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
2015-11-02	$38.55	$41.50	25.2%	7.4%	25.2%	22.2%	26.8%	3.2%	-0.1%	-79.3M	2.51B	-17.7M	0.45	4.80	110,066	49,798	1,903,638	2,395,764
2015-11-03	$38.72	$41.50	24.7%	7.3%	24.6%	20.7%	26.1%	3.5%	-0.1%	-64.4M	2.36B	-17.4M	0.88	3.33	92,961	82,228	1,911,366	2,401,390
2015-11-04	$38.99	$41.50	25.5%	7.5%	20.9%	23.0%	26.2%	1.7%	-0.3%	-55.0M	2.05B	-17.9M	0.71	4.66	102,464	72,867	1,918,366	2,424,248
2015-11-05	$39.31	$40.00	26.0%	7.5%	21.0%	24.6%	26.5%	1.4%	-0.2%	-33.9M	1.78B	-17.9M	0.45	7.09	116,429	52,320	1,930,198	2,432,816
2015-11-06	$38.95	$40.00	25.2%	7.3%	21.2%	22.3%	27.4%	2.1%	0.0%	-28.5M	2.15B	-17.4M	1.12	7.83	42,461	47,560	1,952,035	2,446,206
2015-11-09	$38.17	$40.00	26.8%	7.7%	22.4%	26.8%	27.5%	2.0%	-0.1%	-92.8M	2.76B	-16.8M	2.53	7.12	35,568	90,125	1,934,111	2,430,501
2015-11-10	$37.92	$40.00	26.2%	7.5%	22.2%	25.1%	28.2%	1.8%	-0.3%	-111.9M	3.06B	-16.5M	1.03	6.51	101,144	103,928	1,958,570	2,482,802
2015-11-11	$38.16	$40.00	26.3%	7.5%	22.3%	25.6%	28.0%	2.2%	0.1%	-105.7M	2.91B	-16.5M	0.89	9.33	99,330	88,591	1,965,899	2,496,720
2015-11-12	$37.85	$40.00	26.0%	7.4%	18.7%	24.7%	27.7%	1.7%	-0.3%	-119.9M	3.08B	-16.1M	1.29	7.59	80,925	104,492	1,972,121	2,492,468
2015-11-13	$37.14	$40.00	27.5%	7.9%	19.5%	29.2%	27.9%	2.8%	-0.1%	-143.6M	3.77B	-15.8M	1.61	7.53	82,591	132,785	1,975,500	2,538,473
2015-11-16	$37.69	$40.00	26.6%	7.6%	20.4%	26.2%	28.6%	1.8%	0.6%	-139.7M	3.34B	-15.6M	1.56	6.56	29,015	45,139	1,933,360	2,548,112
2015-11-17	$37.59	$40.00	25.9%	7.4%	20.4%	24.2%	27.5%	2.6%	3.1%	-141.6M	3.42B	-15.3M	0.51	5.72	129,902	66,798	1,946,676	2,551,793
2015-11-18	$37.77	$40.00	25.2%	7.2%	20.0%	22.2%	26.7%	2.4%	3.0%	-143.3M	3.35B	-15.4M	0.74	7.22	134,182	99,177	1,990,935	2,579,389
2015-11-19	$37.84	$40.00	25.3%	7.1%	17.8%	22.4%	28.2%	2.4%	2.1%	-138.0M	3.26B	-14.7M	0.52	4.43	134,756	69,718	2,011,542	2,612,712
2015-11-20	$38.44	$40.00	25.3%	7.0%	17.5%	22.5%	25.7%	1.7%	1.8%	-143.2M	2.61B	-15.1M	0.59	4.42	134,842	79,148	2,044,675	2,607,695
2015-11-23	$38.05	$40.00	26.1%	6.9%	16.4%	24.8%	24.6%	3.0%	-1.4%	-70.5M	2.17B	-14.6M	1.91	5.82	23,684	45,182	1,589,043	2,125,166
2015-11-24	$38.06	$40.00	26.1%	6.7%	16.2%	24.8%	27.1%	2.9%	-1.2%	-73.7M	2.22B	-14.2M	2.90	5.36	24,582	71,244	1,606,174	2,158,479
2015-11-25	$37.99	$40.00	25.0%	6.3%	15.8%	21.6%	23.5%	3.3%	-1.1%	-77.9M	2.36B	-13.8M	0.57	5.25	127,728	72,961	1,623,286	2,194,530
2015-11-27	$36.93	$40.00	26.4%	7.0%	18.3%	25.8%	24.8%	3.5%	-1.6%	-128.2M	3.12B	-13.3M	0.49	5.70	121,971	60,205	1,639,675	2,224,469
2015-11-30	$37.45	$40.00	25.9%	7.2%	19.1%	24.3%	26.5%	4.9%	-0.7%	-104.3M	2.78B	-13.1M	1.13	7.34	25,470	28,685	1,616,642	2,179,583