FXI Options History — September 2017

In September 2017, FXI traded between $43.40 and $45.06. ATM implied volatility averaged 15.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.8% (HV 20d: 14.9%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.09.

Notable Days

2017-09-13: Highest Volume — 161,559 contracts
2017-09-25: Largest IV spike — 14.4% change
2017-09-05: Highest IV Rank — 39.9%
2017-09-05: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.20	$43.40	$45.06	$44.29	$44.10
Max Pain	$43.75	$43.00	$44.00	$43.00	$44.00
ATM IV	15.7%	14.1%	18.3%	16.8%	15.8%
Expected Move	4.5%	4.1%	5.3%	4.4%	4.3%
HV 20d	14.9%	11.9%	18.4%	17.5%	16.0%
HV 60d	15.0%	14.3%	15.6%	15.1%	15.5%
IV Rank	19.3%	6.4%	39.9%	27.8%	19.9%
IV Percentile	32.0%	5.6%	65.1%	49.2%	37.3%
Term Structure	0.4%	-0.5%	0.7%	-0.5%	0.6%
VWIV	16.6%	14.1%	23.0%	15.7%	15.9%
Skew 25d	1.8%	1.3%	2.6%	1.8%	1.6%
Skew 10d	4.2%	2.8%	6.8%	4.8%	3.6%
Call IV 25d	15.4%	13.8%	17.6%	16.9%	15.4%
Put IV 25d	17.3%	15.1%	20.2%	18.7%	17.0%
Bid-Ask Spread %	3.15	1.76	15.80	2.88	2.71
Gamma HHI	0.18	0.10	0.43	0.14	0.33
Net GEX	50.9M	7.8M	135.9M	45.3M	95.3M
Net DEX	-1.11B	-1.73B	-312.4M	-1.47B	-771.5M
Net VEX	-9.2M	-10.3M	-8.6M	-9.8M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	1.12	3.76	1.12	2.40
Total Volume	90,622.7	54,219	161,559	112,596	59,645
Total OI	2,197,307.4	1,955,448	2,409,398	2,283,200	2,137,022

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
2017-09-01	$44.29	$43.00	16.8%	4.4%	17.5%	27.8%	15.7%	1.8%	-0.5%	45.3M	-1.47B	-9.8M	1.12	2.88	53,067	59,529	796,413	1,486,787
2017-09-05	$43.65	$44.00	18.3%	5.3%	18.4%	39.9%	20.2%	2.6%	0.2%	47.1M	-1.03B	-10.3M	3.29	2.74	24,176	79,541	807,672	1,474,291
2017-09-06	$43.84	$44.00	17.2%	5.1%	18.3%	31.2%	23.0%	2.4%	0.5%	45.9M	-1.14B	-10.2M	3.76	2.08	17,515	65,940	807,313	1,510,836
2017-09-07	$43.98	$44.00	16.9%	5.0%	18.1%	28.7%	18.8%	2.0%	0.5%	52.3M	-1.26B	-9.9M	2.51	2.45	26,394	66,371	809,087	1,520,836
2017-09-08	$43.77	$44.00	17.0%	5.1%	14.1%	29.5%	18.0%	2.1%	0.4%	56.3M	-1.12B	-10.2M	2.77	2.52	21,026	58,329	824,951	1,534,858
2017-09-11	$44.53	$44.00	15.6%	4.6%	15.1%	17.9%	16.4%	1.7%	0.2%	70.8M	-1.73B	-8.9M	2.00	2.20	32,663	65,225	818,628	1,514,342
2017-09-12	$44.39	$44.00	15.0%	4.5%	15.1%	13.7%	16.7%	1.7%	0.6%	82.7M	-1.67B	-8.9M	1.56	1.76	52,893	82,378	826,404	1,536,215
2017-09-13	$44.08	$44.00	14.4%	4.2%	15.3%	8.7%	15.3%	1.5%	0.2%	100.1M	-1.50B	-9.0M	1.15	1.92	75,208	86,351	844,235	1,565,163
2017-09-14	$43.99	$43.00	14.2%	4.2%	14.7%	6.9%	14.1%	1.7%	0.4%	135.9M	-1.38B	-8.8M	1.27	1.87	41,452	52,790	833,639	1,558,624
2017-09-15	$44.36	$43.00	14.1%	4.2%	12.8%	6.4%	14.2%	1.3%	0.5%	25.4M	-1.63B	-8.9M	1.67	2.12	37,863	63,077	838,918	1,564,188
2017-09-18	$44.84	$43.00	14.6%	4.2%	13.1%	10.3%	15.6%	1.6%	0.4%	33.5M	-1.09B	-8.7M	1.53	2.30	33,056	50,639	643,180	1,312,268
2017-09-19	$44.87	$43.00	14.5%	4.2%	12.9%	9.4%	14.6%	1.5%	0.7%	38.3M	-1.13B	-8.6M	1.24	2.12	54,632	67,747	654,404	1,316,937
2017-09-20	$44.99	$44.00	14.6%	4.2%	11.9%	9.9%	15.4%	1.5%	0.7%	37.8M	-1.17B	-8.8M	2.05	15.80	18,965	38,849	676,232	1,349,451
2017-09-21	$45.06	$44.00	14.5%	4.1%	11.9%	9.0%	14.5%	1.5%	0.4%	41.2M	-1.20B	-8.6M	2.27	2.50	18,919	42,985	684,948	1,355,651
2017-09-22	$44.61	$44.00	14.8%	4.2%	12.6%	11.6%	15.7%	1.5%	0.6%	29.5M	-973.9M	-8.8M	2.86	2.56	14,051	40,168	683,535	1,356,685
2017-09-25	$43.40	$44.00	16.9%	4.8%	14.8%	28.8%	16.7%	2.3%	0.1%	7.8M	-312.4M	-9.3M	1.75	3.20	36,747	64,164	682,525	1,352,816
2017-09-26	$43.78	$44.00	16.6%	4.7%	15.2%	26.6%	17.1%	2.1%	0.2%	23.0M	-523.6M	-9.2M	3.67	3.82	13,581	49,853	700,764	1,375,966
2017-09-27	$43.91	$44.00	16.2%	4.5%	15.3%	23.3%	17.1%	1.9%	0.4%	28.6M	-590.9M	-9.1M	1.25	3.25	28,870	36,034	702,098	1,387,822
2017-09-28	$43.60	$44.00	16.6%	4.7%	15.5%	26.5%	16.8%	1.7%	0.4%	21.2M	-428.9M	-9.2M	1.72	2.27	30,067	51,694	716,813	1,383,631
2017-09-29	$44.10	$44.00	15.8%	4.3%	16.0%	19.9%	15.9%	1.6%	0.6%	95.3M	-771.5M	-9.2M	2.40	2.71	17,558	42,087	735,047	1,401,975