FXI Options History — July 2016

In July 2016, FXI traded between $33.46 and $35.80. ATM implied volatility averaged 21.3%, placing in the 1.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 6.1% (HV 20d: 27.5%). Max pain ranged from $33.00 to $34.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.02.

Notable Days

2016-07-29: Highest Volume — 200,452 contracts
2016-07-29: Largest IV drop — 8.2% change
2016-07-06: Highest IV Rank — 5.2%
2016-07-06: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.02	$33.46	$35.80	$34.51	$35.42
Max Pain	$33.83	$33.00	$34.50	$34.50	$34.50
ATM IV	21.3%	18.2%	23.7%	22.4%	18.2%
Expected Move	6.1%	5.2%	6.8%	6.3%	5.2%
HV 20d	27.5%	18.1%	31.7%	30.4%	18.1%
HV 60d	24.3%	23.5%	25.0%	24.7%	23.5%
IV Rank	1.1%	0.0%	5.2%	0.5%	0.0%
IV Percentile	0.9%	0.0%	6.3%	0.4%	0.0%
Term Structure	0.2%	-0.1%	0.7%	0.1%	0.3%
VWIV	22.3%	18.4%	27.5%	23.0%	18.4%
Skew 25d	2.9%	1.9%	4.3%	3.3%	2.6%
Skew 10d	6.1%	4.5%	8.7%	7.0%	5.5%
Call IV 25d	20.5%	17.8%	22.4%	21.3%	17.8%
Put IV 25d	23.4%	20.4%	26.7%	24.5%	20.4%
Bid-Ask Spread %	3.86	3.34	4.63	3.99	3.39
Gamma HHI	0.11	0.09	0.20	0.20	0.13
Net GEX	15.2M	-48.4M	88.3M	88.3M	49.4M
Net DEX	390.2M	-160.5M	1.36B	569.8M	242.9M
Net VEX	-12.0M	-13.1M	-11.1M	-13.1M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.98	5.08	0.99	0.98
Total Volume	130,937.65	74,052	200,452	94,314	200,452
Total OI	2,584,737.15	2,287,631	2,885,678	2,818,434	2,398,166

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
2016-07-01	$34.51	$34.50	22.4%	6.3%	30.4%	0.5%	23.0%	3.3%	0.1%	88.3M	569.8M	-13.1M	0.99	3.99	47,400	46,914	1,018,573	1,799,861
2016-07-05	$33.76	$33.50	23.5%	6.7%	31.0%	4.7%	27.5%	4.3%	0.0%	-29.9M	1.14B	-12.6M	2.88	3.57	42,952	123,674	977,839	1,762,781
2016-07-06	$33.66	$33.50	23.7%	6.8%	30.7%	5.2%	26.9%	4.1%	0.1%	-39.8M	1.25B	-12.8M	2.22	3.81	32,714	72,515	978,939	1,820,656
2016-07-07	$33.46	$33.50	22.9%	6.6%	30.7%	2.4%	24.6%	3.6%	0.3%	-48.4M	1.36B	-12.4M	1.11	3.34	35,041	39,011	992,298	1,826,217
2016-07-08	$34.17	$33.50	21.7%	6.2%	31.7%	0.0%	22.8%	3.7%	0.3%	-16.5M	918.0M	-12.3M	1.52	4.43	30,391	46,053	994,873	1,827,098
2016-07-11	$34.52	$33.50	21.9%	6.4%	30.4%	0.8%	22.5%	3.5%	0.7%	2.1M	675.2M	-12.2M	1.73	3.72	40,234	69,465	983,359	1,814,825
2016-07-12	$35.12	$33.00	22.2%	6.5%	29.4%	1.7%	25.8%	2.7%	0.5%	37.8M	202.6M	-12.1M	2.63	3.81	46,016	120,853	1,007,043	1,816,128
2016-07-13	$35.01	$33.00	21.8%	6.3%	29.5%	0.4%	24.4%	3.0%	0.0%	40.9M	270.4M	-12.1M	2.16	3.81	50,987	110,254	1,008,790	1,835,559
2016-07-14	$35.56	$34.00	21.3%	6.1%	29.8%	0.0%	21.4%	2.7%	0.0%	37.8M	-115.3M	-12.0M	0.98	4.29	53,492	52,574	1,010,509	1,870,290
2016-07-15	$35.51	$34.00	20.9%	6.0%	29.8%	0.0%	20.8%	2.8%	-0.0%	6.5M	-160.5M	-12.0M	1.35	3.67	55,563	75,079	1,011,903	1,873,775
2016-07-18	$35.72	$34.00	21.5%	6.2%	29.6%	2.0%	21.0%	2.1%	-0.1%	13.3M	106.2M	-11.9M	1.37	4.02	47,938	65,715	764,613	1,523,018
2016-07-19	$35.07	$34.00	21.6%	6.2%	30.3%	2.2%	21.0%	2.3%	0.3%	5.3M	347.4M	-11.8M	1.32	3.56	39,921	52,612	791,443	1,526,852
2016-07-20	$35.50	$34.00	21.3%	6.1%	30.5%	1.3%	22.0%	2.0%	0.1%	22.6M	146.4M	-11.7M	4.20	4.63	36,625	153,714	808,818	1,533,695
2016-07-21	$35.46	$34.00	20.8%	6.0%	30.4%	0.0%	21.4%	2.5%	0.1%	19.9M	207.4M	-11.7M	5.08	3.63	26,726	135,650	799,981	1,517,149
2016-07-22	$35.65	$34.00	20.3%	5.8%	29.5%	0.0%	20.8%	1.9%	0.0%	19.3M	76.6M	-11.6M	2.15	3.93	32,350	69,529	810,399	1,528,428
2016-07-25	$35.37	$34.00	20.3%	5.8%	20.4%	0.0%	21.2%	2.7%	0.1%	13.0M	228.3M	-11.3M	1.71	4.44	34,615	59,345	808,114	1,534,400
2016-07-26	$35.80	$34.00	20.3%	5.9%	20.0%	0.0%	21.2%	2.9%	0.2%	24.6M	62.8M	-11.7M	2.30	3.95	37,216	85,645	812,584	1,542,553
2016-07-27	$35.67	$34.00	20.2%	5.8%	18.9%	0.0%	20.7%	2.2%	0.5%	31.6M	62.9M	-11.5M	1.52	3.72	77,181	116,940	830,573	1,517,592
2016-07-28	$35.48	$34.00	19.8%	5.6%	18.4%	0.0%	19.5%	3.0%	0.2%	25.8M	205.8M	-11.5M	2.21	3.56	48,437	106,960	850,813	1,564,236
2016-07-29	$35.42	$34.50	18.2%	5.2%	18.1%	0.0%	18.4%	2.6%	0.3%	49.4M	242.9M	-11.1M	0.98	3.39	101,128	99,324	853,068	1,545,098