FXI Options History — August 2016

In August 2016, FXI traded between $35.20 and $37.97. ATM implied volatility averaged 19.7%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 14.7%). Max pain ranged from $34.50 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.56.

Notable Days

2016-08-15: Highest Volume — 247,844 contracts
2016-08-02: Largest IV spike — 8.9% change
2016-08-24: Highest IV Rank — 9.7%
2016-08-16: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.81	$35.20	$37.97	$35.30	$37.03
Max Pain	$35.46	$34.50	$36.00	$34.50	$36.00
ATM IV	19.7%	18.0%	21.0%	18.9%	20.2%
Expected Move	5.6%	5.4%	6.0%	5.4%	5.6%
HV 20d	14.7%	13.4%	17.9%	17.9%	15.1%
HV 60d	22.3%	21.5%	23.5%	23.5%	21.5%
IV Rank	5.0%	0.0%	9.7%	2.1%	7.2%
IV Percentile	3.9%	0.0%	9.5%	0.4%	7.1%
Term Structure	0.4%	-0.2%	1.1%	0.3%	0.1%
VWIV	19.8%	15.9%	22.4%	18.8%	20.1%
Skew 25d	2.0%	0.6%	3.4%	2.3%	2.2%
Skew 10d	4.2%	1.9%	7.4%	4.4%	5.1%
Call IV 25d	19.4%	17.7%	21.2%	18.8%	19.9%
Put IV 25d	21.4%	19.9%	22.9%	21.1%	22.1%
Bid-Ask Spread %	3.95	2.97	5.93	3.63	4.12
Gamma HHI	0.12	0.10	0.16	0.10	0.11
Net GEX	48.1M	9.3M	94.5M	9.3M	35.2M
Net DEX	-364.4M	-1.35B	325.4M	291.0M	-37.1M
Net VEX	-11.0M	-11.4M	-10.3M	-10.8M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.57	3.51	1.24	2.49
Total Volume	133,977.957	35,693	247,844	164,181	116,096
Total OI	2,479,149.783	2,260,569	2,867,503	2,320,079	2,375,290

Daily Data (23 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
2016-08-01	$35.30	$34.50	18.9%	5.4%	17.9%	2.1%	18.8%	2.3%	0.3%	9.3M	291.0M	-10.8M	1.24	3.63	73,210	90,971	820,238	1,499,841
2016-08-02	$35.20	$34.50	20.6%	6.0%	15.8%	7.3%	22.4%	3.4%	0.3%	10.4M	325.4M	-11.0M	2.74	3.80	45,740	125,499	852,228	1,502,110
2016-08-03	$35.33	$34.50	19.7%	5.7%	15.7%	4.7%	20.1%	3.4%	-0.0%	13.2M	281.1M	-11.2M	2.48	3.50	46,212	114,726	873,790	1,541,236
2016-08-04	$35.41	$35.00	19.3%	5.8%	15.4%	3.4%	20.1%	2.5%	-0.1%	15.5M	260.8M	-11.4M	1.61	3.57	60,343	97,289	874,923	1,601,154
2016-08-05	$35.95	$35.00	18.3%	5.6%	14.6%	0.4%	16.9%	2.6%	0.1%	53.3M	-137.6M	-11.3M	2.85	4.00	29,754	84,839	907,848	1,612,691
2016-08-08	$36.13	$35.00	18.9%	5.6%	14.3%	2.0%	15.9%	1.8%	0.9%	57.9M	-180.3M	-11.1M	3.51	3.96	19,658	68,992	897,873	1,586,005
2016-08-09	$36.46	$35.00	18.0%	5.5%	13.4%	0.0%	19.6%	2.1%	1.0%	61.1M	-336.1M	-10.9M	1.47	3.66	48,440	71,302	891,869	1,593,544
2016-08-10	$36.28	$35.00	18.3%	5.5%	13.5%	0.8%	18.8%	2.0%	0.8%	73.9M	-278.2M	-10.9M	2.57	3.55	32,761	84,057	922,988	1,610,545
2016-08-11	$37.04	$35.00	18.7%	5.5%	14.3%	2.0%	19.4%	2.1%	0.7%	70.9M	-690.9M	-10.4M	0.96	4.42	90,210	86,318	894,946	1,616,956
2016-08-12	$37.13	$35.00	18.7%	5.5%	14.3%	2.0%	19.5%	1.7%	0.7%	67.3M	-708.6M	-10.5M	1.07	4.48	75,456	80,678	909,886	1,628,561
2016-08-15	$37.97	$35.00	20.3%	5.8%	15.9%	6.8%	20.9%	1.2%	0.6%	65.7M	-1.18B	-10.3M	0.67	5.93	148,016	99,828	944,334	1,629,237
2016-08-16	$37.81	$36.00	21.0%	6.0%	14.1%	9.1%	21.5%	1.1%	0.8%	79.6M	-1.20B	-10.8M	1.03	3.61	90,353	92,665	1,032,816	1,662,110
2016-08-17	$37.53	$36.00	20.7%	5.9%	14.3%	8.0%	20.7%	0.6%	0.8%	94.5M	-1.09B	-11.0M	0.57	5.46	61,480	35,107	1,086,220	1,689,473
2016-08-18	$37.86	$36.00	19.9%	5.7%	14.3%	5.5%	20.3%	0.9%	0.6%	91.4M	-1.35B	-10.9M	1.03	5.12	40,831	41,861	1,123,872	1,713,574
2016-08-19	$37.65	$36.00	19.3%	5.4%	14.7%	3.9%	19.1%	1.4%	1.1%	52.6M	-1.21B	-11.1M	1.71	5.04	42,924	73,601	1,136,092	1,731,411
2016-08-22	$37.34	$36.00	19.8%	5.5%	14.7%	5.5%	19.4%	2.0%	0.1%	46.4M	-252.7M	-11.1M	0.59	3.26	131,727	77,190	870,262	1,390,307
2016-08-23	$37.29	$36.00	20.0%	5.5%	14.3%	6.0%	20.1%	0.9%	0.1%	43.2M	-275.7M	-11.3M	0.96	3.14	58,726	56,579	895,977	1,416,694
2016-08-24	$37.12	$36.00	21.0%	5.8%	14.4%	9.7%	21.3%	2.3%	-0.2%	33.3M	-96.0M	-11.4M	1.31	3.85	15,472	20,221	883,774	1,427,608
2016-08-25	$37.10	$36.00	20.8%	5.8%	14.2%	9.3%	21.2%	2.2%	-0.2%	28.4M	-81.9M	-11.3M	1.16	3.27	52,089	60,435	881,611	1,441,149
2016-08-26	$36.93	$36.00	20.3%	5.5%	14.3%	7.5%	20.1%	2.4%	-0.1%	9.7M	29.1M	-11.1M	1.61	3.15	53,240	85,793	882,193	1,460,301
2016-08-29	$37.21	$36.00	20.0%	5.4%	14.3%	6.4%	19.5%	1.9%	0.2%	41.5M	-150.7M	-10.9M	0.98	3.42	45,417	44,328	888,147	1,457,202
2016-08-30	$37.47	$36.00	19.8%	5.4%	14.2%	5.9%	19.0%	2.3%	0.2%	51.6M	-308.6M	-11.0M	1.35	2.97	47,246	63,813	901,261	1,460,298
2016-08-31	$37.03	$36.00	20.2%	5.6%	15.1%	7.2%	20.1%	2.2%	0.1%	35.2M	-37.1M	-11.0M	2.49	4.12	33,258	82,838	903,619	1,471,671