FXI Options History — November 2016

In November 2016, FXI traded between $35.67 and $37.77. ATM implied volatility averaged 22.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.2% (HV 20d: 19.9%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2016-11-17: Highest Volume — 162,377 contracts
2016-11-07: Largest IV drop — 10.3% change
2016-11-04: Highest IV Rank — 33.1%
2016-11-02: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.63	$35.67	$37.77	$37.11	$37.59
Max Pain	$36.67	$36.00	$37.00	$37.00	$37.00
ATM IV	22.1%	19.5%	25.7%	23.9%	21.2%
Expected Move	6.2%	5.2%	7.6%	7.5%	6.0%
HV 20d	19.9%	16.6%	21.8%	18.2%	21.3%
HV 60d	19.8%	18.3%	20.6%	18.6%	19.9%
IV Rank	17.8%	6.3%	33.1%	25.6%	13.7%
IV Percentile	28.0%	4.4%	59.9%	40.9%	23.8%
Term Structure	0.2%	-0.9%	2.7%	-0.3%	-0.5%
VWIV	22.5%	18.6%	27.1%	26.6%	21.0%
Skew 25d	3.6%	3.0%	4.6%	3.5%	3.4%
Skew 10d	7.7%	6.1%	10.3%	7.6%	6.1%
Call IV 25d	20.8%	18.1%	24.2%	22.8%	19.5%
Put IV 25d	24.4%	21.1%	28.5%	26.3%	22.8%
Bid-Ask Spread %	9.48	4.41	16.76	6.07	9.44
Gamma HHI	0.13	0.08	0.50	0.09	0.09
Net GEX	-48.9M	-193.1M	-9.5M	-26.0M	-9.5M
Net DEX	818.5M	168.7M	1.41B	570.8M	168.7M
Net VEX	-10.2M	-11.0M	-9.6M	-10.9M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.79	3.98	0.93	2.83
Total Volume	109,198.333	70,912	162,377	119,138	91,406
Total OI	2,477,675.619	2,185,914	2,717,002	2,467,495	2,377,979

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
2016-11-01	$37.11	$37.00	23.9%	7.5%	18.2%	25.6%	26.6%	3.5%	-0.3%	-26.0M	570.8M	-10.9M	0.93	6.07	61,627	57,511	938,579	1,528,916
2016-11-02	$36.63	$37.00	23.7%	7.6%	16.9%	24.4%	25.9%	4.0%	-0.2%	-36.4M	853.5M	-11.0M	1.15	7.93	40,208	46,083	966,862	1,544,141
2016-11-03	$36.49	$37.00	24.8%	7.1%	16.6%	29.3%	24.4%	4.1%	-0.6%	-40.3M	942.8M	-11.0M	1.75	4.67	38,376	67,022	965,125	1,547,743
2016-11-04	$36.21	$37.00	25.7%	7.2%	16.6%	33.1%	27.1%	4.3%	-0.4%	-52.5M	1.13B	-10.9M	3.98	4.41	21,239	84,519	972,271	1,568,563
2016-11-07	$37.35	$37.00	23.1%	6.8%	19.8%	21.7%	23.9%	4.0%	0.8%	-20.0M	439.3M	-10.7M	1.71	7.98	26,196	44,716	970,414	1,571,893
2016-11-08	$37.77	$37.00	22.7%	6.4%	17.9%	20.0%	25.5%	3.8%	-0.1%	-12.2M	215.6M	-10.7M	1.83	5.82	26,830	49,231	972,947	1,586,473
2016-11-09	$36.67	$37.00	22.6%	6.3%	20.7%	19.9%	23.3%	3.8%	-0.7%	-49.4M	907.0M	-10.3M	1.65	9.18	31,251	51,677	978,689	1,598,640
2016-11-10	$36.21	$37.00	23.6%	6.7%	20.5%	24.0%	23.6%	3.8%	0.2%	-61.5M	1.19B	-10.2M	1.09	6.22	40,404	43,854	984,129	1,612,011
2016-11-11	$35.95	$37.00	23.3%	6.7%	20.1%	22.7%	24.3%	4.6%	0.1%	-72.0M	1.38B	-10.3M	1.60	8.23	40,024	63,927	987,995	1,617,418
2016-11-14	$35.67	$37.00	22.9%	6.5%	20.1%	21.2%	25.8%	3.6%	2.7%	-71.0M	1.41B	-9.7M	2.18	10.34	40,658	88,500	988,171	1,608,641
2016-11-15	$36.23	$37.00	21.5%	6.1%	20.2%	14.9%	21.7%	3.4%	1.9%	-64.2M	1.08B	-9.9M	1.23	9.28	58,695	72,067	997,869	1,621,048
2016-11-16	$35.82	$37.00	20.7%	5.9%	20.3%	11.4%	20.9%	3.7%	1.6%	-73.8M	1.34B	-9.6M	0.79	10.56	77,064	61,206	1,025,095	1,615,419
2016-11-17	$35.93	$36.00	20.2%	5.7%	20.4%	9.5%	20.6%	3.3%	1.6%	-69.4M	1.24B	-9.6M	2.13	10.29	51,798	110,579	1,048,544	1,625,850
2016-11-18	$35.96	$36.00	19.5%	5.3%	20.5%	6.3%	19.1%	3.0%	2.2%	-193.1M	1.26B	-9.8M	2.06	9.41	46,330	95,215	1,061,810	1,655,192
2016-11-21	$36.23	$36.00	20.6%	5.4%	20.5%	10.9%	18.8%	3.1%	-0.8%	-48.9M	860.7M	-9.6M	1.38	10.74	43,100	59,479	857,181	1,328,733
2016-11-22	$36.92	$36.00	20.3%	5.3%	21.8%	9.8%	18.7%	3.2%	-0.9%	-32.6M	547.7M	-9.9M	1.36	15.31	53,356	72,617	876,778	1,337,281
2016-11-23	$36.78	$36.00	21.0%	5.2%	21.6%	12.9%	18.6%	3.5%	-0.9%	-35.7M	628.9M	-9.8M	2.13	16.76	24,416	52,107	892,764	1,343,142
2016-11-25	$37.09	$36.00	20.6%	5.4%	21.6%	11.0%	18.7%	3.2%	-0.9%	-24.6M	431.9M	-9.8M	1.69	12.25	32,607	55,174	903,792	1,348,269
2016-11-28	$37.26	$36.00	21.7%	5.9%	21.3%	15.6%	20.7%	3.3%	-0.3%	-19.1M	327.8M	-9.9M	2.04	14.58	46,133	94,170	916,140	1,349,519
2016-11-29	$37.39	$37.00	21.6%	6.0%	21.3%	15.3%	22.2%	3.4%	-0.3%	-14.3M	273.7M	-10.0M	1.99	9.51	44,122	87,671	941,300	1,397,862
2016-11-30	$37.59	$37.00	21.2%	6.0%	21.3%	13.7%	21.0%	3.4%	-0.5%	-9.5M	168.7M	-10.0M	2.83	9.44	23,872	67,534	956,130	1,421,849