FXI Options History — September 2016

In September 2016, FXI traded between $37.13 and $38.99. ATM implied volatility averaged 21.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.0% (HV 20d: 19.2%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.21.

Notable Days

2016-09-08: Highest Volume — 293,060 contracts
2016-09-09: Largest IV spike — 14.4% change
2016-09-13: Highest IV Rank — 29.6%
2016-09-13: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.11	$37.13	$38.99	$37.30	$38.13
Max Pain	$37.38	$36.00	$38.00	$36.00	$38.00
ATM IV	21.2%	19.4%	24.9%	20.1%	19.6%
Expected Move	6.1%	5.2%	7.0%	5.5%	5.4%
HV 20d	19.2%	15.2%	23.1%	15.2%	22.7%
HV 60d	20.0%	17.8%	22.1%	21.6%	17.8%
IV Rank	13.4%	4.4%	29.6%	6.6%	6.6%
IV Percentile	13.2%	4.0%	33.7%	6.7%	4.4%
Term Structure	0.2%	-0.2%	0.7%	0.0%	0.7%
VWIV	21.6%	18.7%	24.3%	20.4%	18.7%
Skew 25d	2.2%	1.4%	3.4%	2.4%	2.9%
Skew 10d	4.6%	2.1%	6.3%	4.4%	5.5%
Call IV 25d	20.8%	18.6%	24.1%	19.6%	18.6%
Put IV 25d	23.1%	20.8%	27.0%	22.0%	21.5%
Bid-Ask Spread %	3.53	3.00	4.31	3.68	3.36
Gamma HHI	0.12	0.06	0.22	0.11	0.07
Net GEX	52.8M	-8.7M	99.6M	41.8M	23.7M
Net DEX	-457.9M	-1.31B	146.7M	-164.7M	-181.6M
Net VEX	-11.8M	-12.5M	-10.8M	-11.1M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.35	2.48	1.85	0.66
Total Volume	163,496.429	96,089	293,060	96,089	110,765
Total OI	2,588,656.524	2,377,355	2,997,939	2,420,061	2,523,121

Daily Data (21 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
2016-09-01	$37.30	$36.00	20.1%	5.5%	15.2%	6.6%	20.4%	2.4%	0.0%	41.8M	-164.7M	-11.1M	1.85	3.68	33,658	62,431	908,057	1,512,004
2016-09-02	$38.05	$36.00	19.4%	5.2%	15.9%	4.4%	18.8%	1.4%	0.2%	66.0M	-627.5M	-10.9M	1.61	3.67	80,059	128,558	914,792	1,541,588
2016-09-06	$38.63	$36.50	19.8%	5.8%	16.4%	5.8%	20.2%	1.4%	0.1%	80.6M	-975.8M	-10.8M	0.42	3.41	192,458	80,231	960,118	1,569,165
2016-09-07	$38.67	$36.50	19.6%	5.7%	16.3%	6.8%	21.3%	1.6%	-0.0%	90.5M	-1.08B	-11.1M	0.44	3.63	157,030	68,914	1,042,375	1,579,202
2016-09-08	$38.97	$36.50	19.8%	5.9%	16.1%	7.6%	20.3%	1.5%	0.1%	95.6M	-1.31B	-10.9M	0.35	3.39	216,288	76,772	1,046,822	1,586,542
2016-09-09	$38.25	$37.50	22.7%	6.6%	16.6%	19.9%	23.7%	1.6%	-0.2%	87.3M	-811.7M	-12.0M	1.22	4.10	88,919	108,524	1,146,557	1,612,101
2016-09-12	$38.30	$37.50	22.1%	6.5%	16.6%	17.5%	22.7%	2.0%	0.6%	86.1M	-829.7M	-12.0M	0.59	3.51	96,981	57,665	1,141,237	1,649,352
2016-09-13	$37.13	$37.50	24.9%	7.0%	18.4%	29.6%	24.3%	2.9%	-0.2%	25.7M	54.4M	-12.1M	0.78	3.03	112,264	87,448	1,156,161	1,656,253
2016-09-14	$37.34	$37.50	23.8%	6.8%	18.6%	25.0%	23.7%	3.4%	0.1%	35.5M	-107.7M	-12.1M	0.80	3.10	112,947	90,562	1,197,079	1,670,091
2016-09-15	$38.00	$37.50	22.9%	6.7%	19.4%	21.0%	23.0%	2.5%	0.4%	99.6M	-721.8M	-12.5M	1.46	3.38	70,804	103,440	1,273,014	1,699,831
2016-09-16	$37.81	$37.50	22.3%	6.4%	19.3%	18.4%	23.2%	3.1%	0.2%	32.8M	-440.6M	-12.4M	1.47	3.32	51,106	74,906	1,280,632	1,717,307
2016-09-19	$37.81	$37.50	22.5%	6.5%	19.2%	19.4%	23.4%	2.6%	0.3%	33.1M	-160.9M	-12.3M	1.16	3.48	63,262	73,210	993,038	1,384,317
2016-09-20	$37.93	$37.50	22.3%	6.4%	18.9%	18.4%	22.5%	2.5%	0.1%	33.3M	-175.2M	-12.5M	0.73	3.59	82,685	60,076	987,463	1,415,383
2016-09-21	$38.84	$37.50	20.0%	5.7%	20.6%	8.6%	20.8%	2.3%	0.6%	77.7M	-697.7M	-11.9M	1.38	3.58	51,186	70,792	991,473	1,418,393
2016-09-22	$38.99	$38.00	20.0%	5.7%	20.4%	8.6%	21.1%	1.6%	0.4%	90.2M	-802.7M	-11.8M	1.29	3.00	67,043	86,413	1,001,873	1,436,527
2016-09-23	$38.37	$38.00	20.2%	5.8%	21.4%	9.3%	21.2%	1.6%	0.0%	90.0M	-335.4M	-12.1M	2.48	3.56	35,231	87,227	1,003,146	1,473,023
2016-09-26	$37.56	$38.00	22.1%	6.3%	22.9%	17.5%	21.4%	2.7%	0.2%	-8.7M	146.7M	-11.9M	1.20	4.31	61,888	74,045	950,674	1,475,776
2016-09-27	$37.95	$38.00	20.3%	5.8%	23.0%	9.8%	20.3%	2.4%	0.5%	2.6M	-42.8M	-12.0M	1.59	4.10	43,331	68,886	962,768	1,498,003
2016-09-28	$38.30	$38.00	19.6%	5.5%	23.1%	6.8%	19.8%	2.6%	0.6%	16.7M	-261.0M	-11.9M	1.85	3.92	37,661	69,787	976,921	1,502,366
2016-09-29	$38.02	$38.00	21.0%	6.0%	22.8%	12.7%	22.1%	2.3%	0.3%	8.4M	-94.3M	-12.1M	2.08	3.05	44,782	93,190	989,375	1,517,867
2016-09-30	$38.13	$38.00	19.6%	5.4%	22.7%	6.6%	18.7%	2.9%	0.7%	23.7M	-181.6M	-11.8M	0.66	3.36	66,634	44,131	998,737	1,524,384