FXI Options History — January 2016

In January 2016, FXI traded between $29.51 and $34.12. ATM implied volatility averaged 34.7%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.4% (HV 20d: 28.3%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.26.

Notable Days

2016-01-07: Highest Volume — 520,552 contracts
2016-01-07: Largest IV spike — 32.9% change
2016-01-07: Highest IV Rank — 65.5%
2016-01-21: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.13	$29.51	$34.12	$34.12	$30.90
Max Pain	$35.89	$35.00	$37.00	$37.00	$35.00
ATM IV	34.7%	27.3%	39.5%	28.0%	31.5%
Expected Move	9.8%	7.6%	11.3%	7.7%	8.7%
HV 20d	28.3%	24.1%	34.3%	24.5%	34.3%
HV 60d	23.4%	21.4%	25.7%	21.4%	25.7%
IV Rank	50.9%	28.4%	65.5%	30.5%	41.3%
IV Percentile	84.6%	53.2%	95.2%	59.1%	77.0%
Term Structure	-0.4%	-2.0%	0.5%	-0.5%	0.0%
VWIV	35.3%	26.5%	42.0%	26.5%	31.0%
Skew 25d	8.4%	4.8%	10.5%	4.8%	6.6%
Skew 10d	17.3%	9.7%	21.2%	9.7%	12.8%
Call IV 25d	31.4%	25.4%	36.4%	26.0%	29.0%
Put IV 25d	39.7%	30.8%	46.2%	30.8%	35.6%
Bid-Ask Spread %	3.42	2.49	6.43	3.52	3.63
Gamma HHI	0.11	0.08	0.18	0.10	0.08
Net GEX	-58.8M	-91.7M	-31.8M	-81.7M	-31.8M
Net DEX	3.22B	1.81B	5.00B	3.67B	1.81B
Net VEX	-9.2M	-10.6M	-8.0M	-9.6M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.48	2.63	1.13	2.25
Total Volume	236,279.632	150,773	520,552	197,111	196,922
Total OI	3,014,332.947	1,867,969	4,099,170	3,503,223	2,370,050

Daily Data (19 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
2016-01-04	$34.12	$37.00	28.0%	7.7%	24.5%	30.5%	26.5%	4.8%	-0.5%	-81.7M	3.67B	-9.6M	1.13	3.52	92,496	104,615	1,565,188	1,938,035
2016-01-05	$34.01	$37.00	27.3%	7.6%	24.1%	28.4%	28.5%	5.6%	-0.6%	-86.7M	3.75B	-9.5M	0.48	2.74	196,395	93,487	1,569,809	1,946,854
2016-01-06	$33.24	$37.00	29.7%	8.0%	24.7%	35.8%	28.4%	6.5%	-1.2%	-88.7M	4.06B	-9.0M	1.02	3.63	103,709	105,820	1,654,228	1,975,781
2016-01-07	$32.08	$37.00	39.5%	10.5%	26.8%	65.5%	36.6%	9.8%	-1.4%	-79.1M	4.25B	-8.9M	0.76	6.43	294,987	225,565	1,560,472	1,982,978
2016-01-08	$31.64	$36.00	38.6%	10.3%	26.9%	62.7%	37.8%	10.5%	-2.0%	-62.7M	4.42B	-9.3M	2.03	4.20	137,609	279,110	1,762,131	2,071,236
2016-01-11	$31.49	$36.00	36.2%	10.3%	26.8%	55.5%	34.9%	9.2%	0.1%	-78.0M	4.48B	-9.2M	1.08	4.22	101,152	108,838	1,778,269	2,178,440
2016-01-12	$31.44	$36.00	34.3%	9.9%	25.7%	49.6%	37.3%	8.6%	0.5%	-84.2M	4.49B	-9.1M	1.05	3.47	76,991	80,832	1,798,912	2,190,629
2016-01-13	$30.79	$36.00	35.3%	10.0%	25.5%	52.7%	33.7%	9.3%	-0.3%	-91.7M	4.67B	-8.7M	0.92	3.88	92,179	84,676	1,821,864	2,212,786
2016-01-14	$31.20	$36.00	33.3%	9.4%	24.8%	46.6%	31.7%	8.2%	-0.3%	-86.4M	4.53B	-8.9M	1.09	2.49	96,114	104,433	1,838,903	2,218,074
2016-01-15	$29.89	$36.00	37.0%	10.5%	26.1%	57.9%	39.3%	9.8%	-0.7%	-34.4M	5.00B	-8.0M	2.63	2.62	90,989	239,416	1,861,337	2,237,833
2016-01-19	$30.56	$36.00	34.5%	9.9%	28.5%	50.5%	38.8%	8.8%	-0.2%	-36.4M	1.87B	-8.9M	1.04	2.72	74,033	76,740	724,649	1,143,320
2016-01-20	$29.51	$36.00	38.8%	11.1%	29.2%	63.5%	40.7%	9.9%	-0.9%	-37.8M	2.07B	-8.3M	1.20	3.03	92,577	110,650	745,906	1,182,114
2016-01-21	$29.70	$36.00	39.3%	11.3%	29.8%	65.0%	39.2%	9.6%	-0.4%	-36.4M	2.07B	-8.9M	0.99	3.12	104,046	102,618	788,119	1,247,366
2016-01-22	$30.67	$35.00	34.9%	10.0%	33.0%	51.6%	36.1%	8.2%	0.1%	-40.4M	1.86B	-9.7M	0.92	3.01	79,440	73,230	821,343	1,291,749
2016-01-25	$30.04	$35.00	35.8%	10.3%	31.7%	54.2%	37.7%	9.2%	-0.0%	-40.1M	2.01B	-9.4M	1.35	3.06	80,851	109,104	782,667	1,289,325
2016-01-26	$30.13	$35.00	36.2%	10.4%	31.9%	55.5%	37.6%	8.4%	-0.6%	-39.7M	2.07B	-9.7M	1.21	2.66	101,827	123,254	829,710	1,339,152
2016-01-27	$29.85	$35.00	34.8%	10.1%	31.8%	51.4%	33.1%	8.2%	-0.3%	-41.2M	2.12B	-9.6M	1.14	3.53	114,635	130,783	859,033	1,363,761
2016-01-28	$30.18	$35.00	34.4%	9.9%	32.4%	50.0%	42.0%	7.7%	0.1%	-40.2M	2.07B	-10.2M	1.73	2.97	76,707	132,483	904,519	1,425,784
2016-01-29	$30.90	$35.00	31.5%	8.7%	34.3%	41.3%	31.0%	6.6%	0.0%	-31.8M	1.81B	-10.6M	2.25	3.63	60,555	136,367	918,808	1,451,242