FXI Options History — December 2015

In December 2015, FXI traded between $34.57 and $37.63. ATM implied volatility averaged 24.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.0% (HV 20d: 20.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2015-12-21: Highest Volume — 383,347 contracts
2015-12-11: Largest IV spike — 13.3% change
2015-12-11: Highest IV Rank — 35.9%
2015-12-11: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.13	$34.57	$37.63	$37.63	$35.39
Max Pain	$42.14	$40.00	$45.00	$40.00	$41.00
ATM IV	24.9%	22.2%	29.8%	26.0%	22.9%
Expected Move	7.1%	6.5%	8.3%	7.2%	6.6%
HV 20d	20.8%	18.8%	23.5%	19.0%	21.4%
HV 60d	23.6%	21.7%	27.2%	27.2%	21.7%
IV Rank	21.1%	13.0%	35.9%	24.7%	15.2%
IV Percentile	30.4%	14.3%	72.6%	40.1%	16.3%
Term Structure	-0.2%	-1.3%	0.5%	-1.2%	0.2%
VWIV	25.5%	23.1%	30.2%	25.5%	24.3%
Skew 25d	3.9%	2.1%	6.5%	4.4%	2.6%
Skew 10d	6.6%	4.2%	11.5%	7.5%	7.0%
Call IV 25d	23.6%	21.6%	27.7%	23.3%	22.4%
Put IV 25d	27.4%	24.0%	34.2%	27.7%	25.0%
Bid-Ask Spread %	3.74	2.72	5.18	4.91	3.26
Gamma HHI	0.14	0.11	0.25	0.12	0.12
Net GEX	-101.5M	-160.6M	-33.8M	-98.9M	-67.4M
Net DEX	3.39B	2.52B	4.71B	2.62B	3.10B
Net VEX	-11.6M	-13.3M	-10.5M	-13.3M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.40	2.49	2.49	0.81
Total Volume	192,836.136	66,526	383,347	77,918	146,385
Total OI	3,834,923.5	3,393,524	4,357,338	3,829,385	3,557,837

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
2015-12-01	$37.63	$40.00	26.0%	7.2%	19.0%	24.7%	25.5%	4.4%	-1.2%	-98.9M	2.62B	-13.3M	2.49	4.91	22,312	55,606	1,632,752	2,196,633
2015-12-02	$37.30	$40.00	25.5%	7.0%	19.1%	23.1%	25.0%	3.7%	-0.7%	-107.9M	2.81B	-12.9M	0.74	4.88	68,001	49,989	1,647,214	2,192,366
2015-12-03	$37.05	$42.00	25.9%	7.2%	18.9%	24.3%	26.1%	4.3%	-0.8%	-121.4M	3.03B	-12.8M	0.48	4.33	72,500	35,137	1,649,134	2,201,887
2015-12-04	$37.36	$42.00	24.0%	6.8%	18.9%	18.4%	23.5%	4.2%	-0.6%	-115.4M	2.85B	-12.6M	0.40	4.19	131,395	53,175	1,657,060	2,215,966
2015-12-07	$36.80	$42.00	24.2%	6.8%	19.3%	19.2%	23.9%	4.2%	0.1%	-132.2M	3.20B	-12.2M	1.67	5.18	24,930	41,596	1,683,723	2,203,687
2015-12-08	$36.24	$42.00	25.7%	7.2%	18.8%	23.6%	26.0%	4.6%	-0.9%	-142.0M	3.63B	-11.7M	0.63	3.61	111,475	69,855	1,677,979	2,219,272
2015-12-09	$35.89	$42.00	25.8%	7.2%	18.9%	23.9%	25.7%	4.7%	-0.4%	-142.9M	3.78B	-11.6M	1.23	4.08	78,743	97,138	1,714,931	2,214,936
2015-12-10	$35.51	$42.00	26.3%	7.2%	18.8%	25.4%	26.7%	5.1%	-1.3%	-147.1M	4.21B	-11.8M	0.98	3.53	110,286	108,213	1,719,104	2,282,142
2015-12-11	$34.57	$42.00	29.8%	8.3%	20.5%	35.9%	30.2%	6.5%	-1.0%	-130.4M	4.71B	-11.2M	1.52	4.07	79,820	121,293	1,755,551	2,308,287
2015-12-14	$34.99	$42.00	28.6%	8.1%	20.5%	32.4%	29.1%	5.5%	-0.5%	-146.0M	4.48B	-11.0M	0.81	3.30	103,674	83,526	1,764,023	2,299,641
2015-12-15	$35.66	$42.00	26.8%	7.6%	21.1%	26.9%	27.6%	5.0%	0.3%	-143.8M	4.10B	-11.3M	0.91	2.94	137,158	124,660	1,796,438	2,321,593
2015-12-16	$36.32	$43.00	25.2%	7.2%	22.3%	22.1%	25.4%	4.0%	-0.7%	-142.3M	3.80B	-11.3M	0.48	3.65	125,325	60,358	1,851,587	2,371,123
2015-12-17	$35.92	$44.00	23.5%	6.7%	22.4%	17.0%	23.8%	3.8%	0.3%	-160.6M	4.14B	-11.0M	0.83	2.72	106,553	87,960	1,906,878	2,387,852
2015-12-18	$36.25	$45.00	23.9%	6.9%	22.8%	18.1%	25.8%	3.2%	-0.1%	-84.7M	3.96B	-11.1M	0.57	3.00	221,003	126,228	1,940,264	2,417,074
2015-12-21	$35.74	$45.00	24.7%	7.2%	22.1%	20.7%	24.3%	3.1%	0.5%	-67.6M	3.27B	-11.2M	0.41	3.61	271,475	111,872	1,451,482	1,942,042
2015-12-22	$35.82	$42.00	23.6%	6.9%	22.1%	17.4%	24.5%	2.7%	0.1%	-45.4M	3.13B	-11.6M	0.80	4.32	184,086	147,083	1,560,742	1,957,261
2015-12-23	$36.52	$42.00	22.7%	6.7%	23.5%	14.7%	25.9%	2.1%	0.4%	-33.8M	2.52B	-12.0M	1.16	2.82	104,162	120,597	1,584,786	1,955,030
2015-12-24	$36.46	$42.00	22.2%	6.5%	23.5%	13.0%	23.1%	2.4%	0.3%	-33.9M	2.55B	-11.8M	1.00	3.73	88,709	88,281	1,574,082	1,952,443
2015-12-28	$35.94	$42.00	23.7%	7.0%	21.9%	17.7%	24.5%	2.7%	0.2%	-48.6M	2.88B	-11.3M	1.16	3.63	80,887	93,833	1,567,578	1,947,484
2015-12-29	$35.98	$42.00	23.3%	6.8%	21.1%	16.3%	24.7%	2.7%	0.0%	-52.1M	2.83B	-11.0M	1.04	3.06	80,061	83,192	1,575,080	1,970,796
2015-12-30	$35.42	$41.00	22.9%	6.7%	21.5%	15.3%	24.4%	3.3%	0.5%	-68.8M	3.01B	-10.8M	0.83	3.39	73,094	60,769	1,586,259	1,956,318
2015-12-31	$35.39	$41.00	22.9%	6.6%	21.4%	15.2%	24.3%	2.6%	0.2%	-67.4M	3.10B	-10.5M	0.81	3.26	80,820	65,565	1,597,618	1,960,219