FXI Options History — August 2017

In August 2017, FXI traded between $41.71 and $44.28. ATM implied volatility averaged 16.4%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.1%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.72.

Notable Days

2017-08-11: Highest Volume — 133,734 contracts
2017-08-10: Largest IV spike — 23.3% change
2017-08-10: Highest IV Rank — 51.2%
2017-08-10: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.01	$41.71	$44.28	$43.06	$44.26
Max Pain	$42.41	$40.00	$43.00	$40.00	$43.00
ATM IV	16.4%	14.6%	19.7%	14.6%	17.4%
Expected Move	4.7%	4.1%	5.6%	4.1%	4.7%
HV 20d	15.1%	9.8%	18.0%	13.6%	17.5%
HV 60d	14.3%	12.9%	15.2%	13.7%	15.1%
IV Rank	24.9%	10.0%	51.2%	10.0%	32.7%
IV Percentile	37.5%	10.3%	66.3%	10.3%	54.8%
Term Structure	0.1%	-0.7%	0.8%	-0.1%	-0.5%
VWIV	17.2%	14.6%	23.4%	14.6%	16.7%
Skew 25d	2.4%	1.2%	3.8%	1.7%	2.4%
Skew 10d	5.6%	3.0%	9.1%	3.3%	6.2%
Call IV 25d	16.1%	14.3%	18.6%	14.3%	17.3%
Put IV 25d	18.4%	16.0%	22.3%	16.0%	19.6%
Bid-Ask Spread %	2.62	1.93	3.60	1.93	3.60
Gamma HHI	0.11	0.07	0.16	0.09	0.13
Net GEX	34.4M	-51.7M	77.8M	41.3M	40.0M
Net DEX	-1.04B	-1.48B	-377.1M	-1.31B	-1.44B
Net VEX	-10.3M	-11.7M	-9.1M	-9.1M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.77	3.09	1.49	2.42
Total Volume	87,095.696	52,847	133,734	66,292	72,710
Total OI	2,262,195.435	2,079,716	2,493,181	2,155,209	2,263,841

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
2017-08-01	$43.06	$40.00	14.6%	4.1%	13.6%	10.0%	14.6%	1.7%	-0.1%	41.3M	-1.31B	-9.1M	1.49	1.93	26,668	39,624	700,993	1,454,216
2017-08-02	$42.90	$40.00	15.4%	4.4%	13.6%	16.8%	15.6%	1.3%	-0.1%	38.9M	-1.17B	-10.0M	2.00	2.81	27,953	55,768	718,292	1,464,911
2017-08-03	$42.84	$42.50	15.0%	4.5%	12.5%	13.3%	19.3%	1.2%	-0.2%	39.6M	-1.13B	-10.0M	3.09	2.66	18,599	57,403	732,644	1,485,991
2017-08-04	$42.82	$42.50	15.1%	4.4%	12.5%	13.8%	16.0%	1.7%	-0.0%	37.1M	-1.16B	-10.0M	2.66	2.08	14,948	39,709	744,830	1,495,339
2017-08-07	$42.97	$42.50	14.7%	4.3%	12.5%	10.7%	16.6%	1.3%	0.3%	47.4M	-1.25B	-9.6M	2.95	2.26	13,384	39,463	749,632	1,494,386
2017-08-08	$43.29	$42.50	14.8%	4.4%	11.3%	11.8%	17.3%	1.2%	0.3%	46.1M	-1.45B	-9.5M	1.64	2.55	28,868	47,244	750,993	1,501,778
2017-08-09	$42.98	$42.50	16.0%	4.7%	9.8%	21.1%	21.5%	1.9%	0.2%	42.3M	-1.24B	-10.2M	1.42	2.63	25,927	36,882	765,239	1,515,358
2017-08-10	$41.71	$42.50	19.7%	5.6%	15.0%	51.2%	19.8%	3.7%	-0.1%	12.9M	-377.1M	-11.7M	0.77	3.21	57,738	44,356	777,634	1,515,781
2017-08-11	$41.84	$42.50	19.4%	5.5%	14.1%	48.6%	23.4%	3.8%	-0.2%	29.9M	-507.9M	-11.4M	2.21	2.50	41,673	92,061	819,121	1,524,643
2017-08-14	$42.22	$42.50	16.8%	4.8%	14.3%	27.8%	17.2%	3.3%	0.8%	39.2M	-735.5M	-11.4M	1.36	2.23	56,044	76,210	827,365	1,569,179
2017-08-15	$42.08	$42.50	16.4%	4.7%	14.4%	24.4%	16.5%	3.4%	0.8%	39.3M	-683.8M	-10.9M	1.85	2.25	28,893	53,403	849,113	1,611,179
2017-08-16	$42.70	$42.50	15.3%	4.4%	14.7%	16.0%	14.9%	2.7%	0.8%	77.8M	-1.20B	-10.2M	1.78	2.17	36,789	65,360	856,353	1,603,748
2017-08-17	$41.93	$42.50	17.6%	5.0%	16.1%	34.7%	18.7%	3.5%	0.5%	24.0M	-553.4M	-11.2M	1.21	2.63	35,350	42,719	863,077	1,630,104
2017-08-18	$42.04	$42.50	17.4%	4.9%	16.2%	33.0%	17.8%	3.0%	0.6%	-51.7M	-664.9M	-11.3M	1.76	2.47	35,580	62,723	866,654	1,615,842
2017-08-21	$42.50	$42.50	15.9%	4.4%	16.5%	20.7%	15.2%	2.6%	0.3%	14.9M	-467.1M	-10.7M	0.80	2.49	62,825	50,162	706,152	1,373,564
2017-08-22	$43.18	$42.50	15.4%	4.3%	17.4%	16.9%	15.2%	2.4%	0.4%	36.9M	-869.2M	-10.4M	1.19	2.39	55,494	65,945	718,839	1,389,871
2017-08-23	$43.35	$42.50	15.2%	4.1%	17.2%	15.3%	14.8%	2.4%	0.2%	35.0M	-950.7M	-10.2M	1.36	2.23	42,769	58,125	719,880	1,396,841
2017-08-24	$43.52	$43.00	15.4%	4.3%	17.1%	17.0%	15.2%	2.6%	0.5%	37.6M	-1.01B	-10.1M	1.30	2.84	32,445	42,071	730,488	1,411,758
2017-08-25	$44.28	$43.00	16.4%	4.6%	18.0%	25.1%	16.5%	1.9%	0.1%	42.8M	-1.48B	-9.2M	0.78	3.25	56,040	43,777	738,398	1,417,706
2017-08-28	$44.25	$43.00	17.8%	5.0%	18.0%	36.2%	17.4%	2.3%	-0.3%	39.8M	-1.40B	-9.7M	2.04	2.73	25,417	51,882	754,568	1,432,350
2017-08-29	$44.27	$43.00	18.4%	5.1%	17.7%	40.7%	18.7%	2.2%	-0.7%	38.7M	-1.42B	-9.7M	1.08	3.08	36,017	38,962	762,341	1,457,995
2017-08-30	$44.27	$43.00	17.8%	5.0%	17.6%	35.7%	17.9%	2.1%	-0.4%	42.4M	-1.43B	-10.0M	2.43	3.34	19,575	47,646	783,983	1,467,525
2017-08-31	$44.26	$43.00	17.4%	4.7%	17.5%	32.7%	16.7%	2.4%	-0.5%	40.0M	-1.44B	-9.9M	2.42	3.60	21,242	51,468	787,096	1,476,745