FXI Options History — February 2016

In February 2016, FXI traded between $28.51 and $31.33. ATM implied volatility averaged 34.8%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.6% (HV 20d: 31.2%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2016-02-10: Highest Volume — 372,963 contracts
2016-02-02: Largest IV spike — 9.0% change
2016-02-11: Highest IV Rank — 70.6%
2016-02-11: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.00	$28.51	$31.33	$30.54	$30.38
Max Pain	$32.73	$32.00	$35.00	$35.00	$32.00
ATM IV	34.8%	30.3%	41.2%	31.4%	32.9%
Expected Move	10.0%	8.8%	11.6%	8.9%	10.0%
HV 20d	31.2%	27.6%	34.3%	34.2%	27.6%
HV 60d	27.1%	25.6%	28.8%	25.6%	28.1%
IV Rank	51.3%	37.4%	70.6%	41.0%	45.5%
IV Percentile	81.8%	63.5%	96.8%	75.8%	73.4%
Term Structure	-0.4%	-0.7%	0.1%	-0.0%	-0.2%
VWIV	35.6%	31.7%	42.8%	33.2%	33.0%
Skew 25d	7.8%	6.5%	10.6%	6.7%	6.8%
Skew 10d	16.9%	13.3%	21.3%	15.8%	13.3%
Call IV 25d	31.8%	27.9%	37.0%	29.0%	30.4%
Put IV 25d	39.7%	34.5%	47.5%	35.7%	37.2%
Bid-Ask Spread %	3.92	2.61	5.44	2.68	4.37
Gamma HHI	0.10	0.07	0.15	0.09	0.07
Net GEX	-37.1M	-69.2M	-873.1K	-42.0M	-11.1M
Net DEX	2.05B	1.31B	2.72B	2.02B	1.56B
Net VEX	-10.2M	-10.5M	-9.7M	-10.3M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.34	4.45	3.12	0.47
Total Volume	193,752	116,426	372,963	236,817	128,041
Total OI	2,569,227.5	2,133,764	2,960,840	2,358,530	2,218,840

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
2016-02-01	$30.54	$35.00	31.4%	8.9%	34.2%	41.0%	33.2%	6.7%	-0.0%	-42.0M	2.02B	-10.3M	3.12	2.68	57,513	179,304	893,377	1,465,153
2016-02-02	$29.72	$34.00	34.3%	9.9%	33.3%	49.6%	39.4%	7.7%	-0.4%	-49.5M	2.31B	-9.9M	4.45	3.06	52,383	232,955	911,512	1,530,893
2016-02-03	$30.19	$34.00	33.5%	9.7%	34.3%	47.2%	35.3%	6.9%	0.1%	-59.1M	2.25B	-10.4M	1.47	2.61	74,619	109,630	922,314	1,666,037
2016-02-04	$29.91	$32.50	33.3%	9.5%	33.7%	46.8%	35.8%	7.7%	-0.0%	-62.0M	2.35B	-10.4M	1.37	3.11	92,655	127,091	946,552	1,693,418
2016-02-05	$29.65	$32.50	35.3%	10.0%	31.8%	52.7%	35.6%	8.2%	-0.3%	-63.2M	2.44B	-10.4M	1.36	3.81	99,316	135,053	969,707	1,725,326
2016-02-08	$29.15	$32.50	38.4%	10.8%	32.0%	62.1%	37.5%	9.3%	-0.6%	-69.0M	2.58B	-9.9M	1.42	3.52	57,017	81,032	981,775	1,746,631
2016-02-09	$28.93	$32.00	40.2%	11.3%	32.0%	67.6%	40.1%	9.4%	-0.6%	-69.2M	2.62B	-10.0M	0.58	3.51	122,655	70,547	996,732	1,752,422
2016-02-10	$29.03	$32.00	38.2%	10.8%	32.1%	61.6%	35.5%	8.7%	-0.4%	-60.6M	2.52B	-9.9M	1.45	3.07	152,474	220,489	1,077,233	1,749,073
2016-02-11	$28.51	$32.00	41.2%	11.6%	31.9%	70.6%	42.8%	10.6%	-0.7%	-63.5M	2.72B	-9.7M	2.28	3.33	50,014	113,949	1,099,955	1,737,516
2016-02-12	$29.05	$32.00	39.3%	11.2%	32.4%	64.8%	42.3%	9.5%	-0.4%	-64.7M	2.49B	-9.9M	1.20	4.47	64,456	77,551	1,112,276	1,746,311
2016-02-16	$30.21	$32.00	36.0%	10.3%	32.3%	54.9%	35.2%	8.0%	-0.6%	-24.2M	1.93B	-10.2M	0.69	4.28	68,760	47,666	1,060,774	1,689,228
2016-02-17	$30.78	$32.00	33.4%	9.6%	32.0%	47.1%	31.7%	7.5%	-0.6%	-6.1M	1.65B	-10.4M	1.17	4.90	105,397	123,316	1,081,877	1,693,603
2016-02-18	$30.41	$33.50	33.7%	9.7%	29.6%	47.8%	33.4%	7.3%	-0.4%	-873.1K	1.88B	-10.1M	0.40	4.98	144,063	57,390	1,121,658	1,760,194
2016-02-19	$30.48	$34.00	32.4%	9.3%	29.5%	44.1%	31.7%	6.5%	-0.1%	-21.5M	2.12B	-10.3M	0.63	3.80	132,067	82,694	1,194,486	1,766,354
2016-02-22	$31.33	$33.00	30.3%	8.8%	28.9%	37.4%	32.4%	6.6%	-0.6%	-11.5M	1.31B	-10.5M	0.73	4.63	100,474	73,133	825,290	1,308,474
2016-02-23	$30.57	$32.50	32.4%	9.4%	29.3%	43.9%	33.2%	6.9%	-0.7%	-12.4M	1.50B	-10.1M	0.80	3.92	71,176	56,920	869,121	1,316,524
2016-02-24	$30.46	$32.50	33.4%	9.8%	29.3%	46.9%	33.1%	7.5%	-0.6%	-14.8M	1.56B	-10.2M	0.42	4.25	127,469	53,899	874,450	1,324,120
2016-02-25	$30.34	$32.50	34.4%	10.2%	29.2%	50.0%	37.7%	7.2%	-0.6%	-12.9M	1.56B	-10.3M	0.47	5.44	114,771	54,107	928,525	1,337,478
2016-02-26	$30.42	$32.00	32.9%	9.7%	28.9%	45.4%	32.3%	7.4%	-0.6%	-24.0M	1.56B	-10.2M	0.34	4.59	121,706	41,288	930,495	1,358,846
2016-02-29	$30.38	$32.00	32.9%	10.0%	27.6%	45.5%	33.0%	6.8%	-0.2%	-11.1M	1.56B	-10.1M	0.47	4.37	87,355	40,686	911,624	1,307,216