FXI Options History — July 2017

In July 2017, FXI traded between $39.48 and $42.56. ATM implied volatility averaged 14.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.0% (HV 20d: 14.8%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.20.

Notable Days

2017-07-11: Highest Volume — 146,764 contracts
2017-07-26: Largest IV drop — 4.8% change
2017-07-12: Highest IV Rank — 19.8%
2017-07-12: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.34	$39.48	$42.56	$40.12	$42.56
Max Pain	$39.77	$39.00	$40.00	$40.00	$40.00
ATM IV	14.8%	13.5%	15.8%	15.2%	13.9%
Expected Move	4.2%	3.7%	4.6%	4.2%	3.8%
HV 20d	14.8%	13.3%	16.6%	14.0%	13.3%
HV 60d	13.8%	13.1%	14.4%	13.1%	13.5%
IV Rank	11.9%	1.5%	19.8%	14.6%	4.2%
IV Percentile	11.2%	0.4%	23.8%	12.7%	2.4%
Term Structure	0.2%	-0.2%	0.5%	0.3%	-0.0%
VWIV	15.3%	13.5%	18.1%	16.1%	13.6%
Skew 25d	1.5%	0.9%	2.3%	1.8%	1.7%
Skew 10d	3.4%	2.4%	4.9%	3.9%	4.2%
Call IV 25d	14.7%	13.5%	15.7%	14.8%	13.7%
Put IV 25d	16.1%	14.9%	17.5%	16.6%	15.4%
Bid-Ask Spread %	2.47	1.67	5.61	5.61	1.82
Gamma HHI	0.08	0.07	0.11	0.07	0.08
Net GEX	12.7M	-45.6M	43.3M	-11.5M	39.3M
Net DEX	-491.8M	-1.08B	632.6M	177.4M	-1.01B
Net VEX	-10.7M	-12.1M	-9.8M	-11.8M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	1.18	3.36	1.18	3.36
Total Volume	97,049.55	53,873	146,764	95,670	69,430
Total OI	2,235,452.95	1,983,416	2,440,255	2,186,908	2,134,452

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
2017-07-03	$40.12	$40.00	15.2%	4.2%	14.0%	14.6%	16.1%	1.8%	0.3%	-11.5M	177.4M	-11.8M	1.18	5.61	43,978	51,692	702,720	1,484,188
2017-07-05	$39.95	$40.00	15.2%	4.3%	13.9%	15.3%	18.1%	1.8%	0.2%	-16.8M	290.5M	-11.9M	1.50	5.26	35,783	53,779	708,461	1,484,804
2017-07-06	$39.48	$39.00	15.8%	4.5%	14.4%	19.7%	15.6%	2.3%	0.4%	-45.6M	632.6M	-12.0M	1.68	2.27	43,739	73,421	716,718	1,490,488
2017-07-07	$39.51	$39.00	15.7%	4.6%	14.3%	18.8%	16.9%	2.0%	0.1%	-42.3M	624.4M	-12.1M	1.76	2.02	28,340	49,749	715,818	1,510,695
2017-07-10	$39.57	$39.00	15.3%	4.4%	14.0%	15.8%	15.4%	2.0%	0.0%	-38.2M	571.1M	-11.7M	1.34	1.96	37,525	50,337	713,285	1,509,455
2017-07-11	$40.32	$39.50	15.3%	4.4%	15.1%	16.2%	15.4%	1.8%	0.0%	1.2M	7.8M	-11.3M	1.85	1.94	51,582	95,182	717,297	1,518,375
2017-07-12	$41.19	$39.50	15.8%	4.6%	16.6%	19.8%	16.5%	1.2%	0.2%	24.7M	-572.2M	-10.7M	1.65	2.03	50,603	83,260	743,639	1,567,061
2017-07-13	$41.25	$39.50	15.4%	4.4%	16.4%	16.7%	15.5%	1.3%	-0.2%	32.1M	-642.0M	-10.7M	3.07	2.84	25,863	79,331	762,571	1,577,987
2017-07-14	$41.88	$40.00	14.9%	4.3%	16.4%	12.7%	15.5%	1.0%	0.3%	27.7M	-922.6M	-10.2M	3.22	2.05	21,814	70,312	765,651	1,598,270
2017-07-17	$41.71	$40.00	15.2%	4.4%	16.6%	14.7%	16.9%	1.1%	0.1%	24.4M	-820.4M	-10.6M	3.25	2.04	20,628	67,066	758,302	1,609,494
2017-07-18	$41.63	$40.00	14.9%	4.3%	15.9%	13.0%	15.6%	1.2%	0.1%	25.4M	-785.8M	-10.5M	2.01	1.94	34,975	70,356	758,808	1,613,859
2017-07-19	$42.13	$40.00	14.8%	4.2%	14.7%	11.5%	15.5%	1.0%	0.4%	22.6M	-1.08B	-9.8M	2.38	1.70	20,903	49,723	770,538	1,619,017
2017-07-20	$42.07	$40.00	14.5%	4.1%	14.7%	9.7%	14.6%	1.0%	0.5%	25.3M	-1.06B	-9.8M	1.48	1.81	39,624	58,576	774,092	1,623,157
2017-07-21	$41.99	$40.00	14.3%	4.0%	14.7%	7.4%	14.3%	0.9%	0.4%	43.3M	-989.8M	-10.3M	2.45	1.82	15,613	38,260	790,859	1,649,396
2017-07-24	$42.19	$40.00	14.1%	4.0%	14.6%	6.4%	14.2%	1.3%	0.2%	22.9M	-803.7M	-9.8M	2.02	2.40	28,525	57,593	605,479	1,377,937
2017-07-25	$42.12	$40.00	14.2%	4.0%	14.4%	7.0%	13.8%	1.4%	0.1%	21.8M	-753.3M	-10.1M	1.45	1.67	39,318	56,852	624,318	1,404,359
2017-07-26	$42.50	$40.00	13.5%	3.7%	14.0%	1.5%	13.5%	1.4%	0.3%	33.6M	-948.0M	-9.9M	2.47	3.05	30,240	74,770	651,900	1,422,629
2017-07-27	$42.32	$40.00	14.0%	4.0%	14.2%	5.3%	14.0%	1.7%	0.3%	29.2M	-829.1M	-10.6M	2.67	2.80	31,485	84,117	673,345	1,449,830
2017-07-28	$42.40	$40.00	14.2%	4.0%	13.4%	7.1%	14.3%	1.8%	0.2%	35.4M	-922.4M	-10.1M	3.26	2.37	25,031	81,616	681,986	1,427,819
2017-07-31	$42.56	$40.00	13.9%	3.8%	13.3%	4.2%	13.6%	1.7%	-0.0%	39.3M	-1.01B	-9.9M	3.36	1.82	15,912	53,518	691,000	1,443,452