FXI Options History — March 2016

In March 2016, FXI traded between $31.31 and $33.84. ATM implied volatility averaged 27.0%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.2% (HV 20d: 27.2%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2016-03-04: Highest Volume — 296,034 contracts
2016-03-11: Largest IV drop — 6.2% change
2016-03-01: Highest IV Rank — 36.8%
2016-03-01: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.82	$31.31	$33.84	$31.31	$33.76
Max Pain	$31.43	$30.00	$32.50	$32.00	$32.50
ATM IV	27.0%	24.6%	30.0%	30.0%	24.6%
Expected Move	7.8%	7.2%	9.1%	9.1%	7.4%
HV 20d	27.2%	22.5%	30.5%	29.4%	22.5%
HV 60d	29.7%	28.9%	30.4%	28.9%	28.9%
IV Rank	26.9%	13.7%	36.8%	36.8%	13.8%
IV Percentile	30.6%	7.5%	59.9%	59.9%	7.5%
Term Structure	0.2%	-0.4%	0.7%	-0.1%	0.1%
VWIV	27.6%	24.5%	34.6%	34.6%	26.0%
Skew 25d	4.1%	2.5%	6.2%	6.2%	3.5%
Skew 10d	8.6%	5.6%	14.7%	14.7%	6.5%
Call IV 25d	25.8%	24.0%	28.0%	27.9%	24.1%
Put IV 25d	29.9%	27.1%	34.1%	34.1%	27.6%
Bid-Ask Spread %	4.04	3.10	5.45	4.31	3.60
Gamma HHI	0.09	0.07	0.11	0.07	0.10
Net GEX	13.2M	-1.2M	30.5M	1.3M	28.4M
Net DEX	784.5M	288.4M	1.27B	1.26B	588.7M
Net VEX	-11.1M	-12.1M	-10.4M	-10.4M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.24	1.32	0.66	1.32
Total Volume	179,051.5	114,164	296,034	174,591	188,595
Total OI	2,439,169.909	2,120,940	2,631,664	2,241,449	2,529,357

Daily Data (22 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
2016-03-01	$31.31	$32.00	30.0%	9.1%	29.4%	36.8%	34.6%	6.2%	-0.1%	1.3M	1.26B	-10.4M	0.66	4.31	105,330	69,261	928,891	1,312,558
2016-03-02	$32.03	$32.00	28.6%	8.5%	28.3%	32.4%	29.2%	5.8%	-0.0%	6.9M	982.3M	-10.8M	0.56	4.61	108,885	60,504	961,946	1,351,023
2016-03-03	$32.08	$30.00	28.2%	8.2%	27.9%	31.4%	29.3%	5.6%	0.2%	9.7M	960.9M	-10.9M	0.59	4.89	121,939	72,175	980,448	1,375,258
2016-03-04	$33.00	$30.00	28.5%	8.2%	28.9%	32.2%	27.8%	4.7%	0.2%	8.6M	539.3M	-11.3M	0.28	5.20	230,533	65,501	991,259	1,394,997
2016-03-07	$32.60	$30.00	29.1%	8.3%	29.1%	33.9%	29.2%	4.9%	-0.0%	22.4M	751.8M	-11.4M	0.65	5.06	103,837	67,297	1,092,802	1,401,030
2016-03-08	$31.87	$30.00	29.5%	8.4%	29.7%	35.3%	30.1%	4.9%	-0.4%	8.1M	1.11B	-11.0M	0.70	3.48	98,143	68,294	1,096,927	1,421,117
2016-03-09	$31.95	$31.00	29.4%	8.4%	29.4%	34.8%	28.9%	5.3%	-0.0%	5.5M	1.12B	-11.1M	0.64	3.49	85,871	55,077	1,107,079	1,453,101
2016-03-10	$31.71	$31.00	29.1%	8.3%	29.7%	34.0%	30.3%	5.1%	-0.2%	-1.2M	1.27B	-10.6M	0.61	3.47	104,571	63,597	1,101,636	1,447,710
2016-03-11	$32.86	$31.00	27.3%	7.9%	30.5%	28.5%	28.1%	3.8%	0.6%	13.5M	676.1M	-11.2M	0.69	3.98	128,136	88,425	1,103,296	1,473,390
2016-03-14	$32.99	$31.00	27.3%	7.9%	30.2%	28.5%	28.9%	3.4%	-0.1%	18.4M	612.4M	-11.0M	0.74	3.31	78,966	58,193	1,097,476	1,495,530
2016-03-15	$32.73	$31.50	27.2%	7.8%	27.9%	28.2%	28.4%	3.5%	-0.0%	9.0M	823.8M	-10.9M	0.71	3.81	79,894	56,348	1,097,756	1,513,733
2016-03-16	$33.10	$31.50	26.4%	7.6%	27.5%	25.8%	26.4%	2.5%	0.3%	21.0M	618.5M	-10.8M	0.24	5.45	144,020	34,761	1,093,898	1,510,453
2016-03-17	$33.30	$31.50	25.3%	7.2%	26.9%	22.5%	25.3%	3.6%	0.7%	24.7M	501.2M	-10.8M	0.60	5.44	91,016	54,835	1,093,754	1,515,334
2016-03-18	$33.65	$31.50	25.1%	7.2%	27.0%	21.9%	24.5%	2.8%	0.2%	7.4M	288.4M	-10.9M	0.48	4.93	151,407	73,287	1,108,753	1,522,911
2016-03-21	$33.77	$31.50	25.0%	7.2%	25.6%	21.6%	25.3%	3.4%	0.1%	16.9M	468.9M	-11.0M	0.35	3.12	98,848	35,032	888,560	1,232,380
2016-03-22	$33.47	$32.00	25.1%	7.2%	23.9%	21.7%	25.1%	3.1%	0.1%	17.3M	582.5M	-11.1M	0.80	3.10	97,576	78,024	919,600	1,248,233
2016-03-23	$32.98	$32.00	25.4%	7.3%	24.7%	22.9%	25.0%	3.6%	0.5%	10.6M	882.0M	-11.0M	0.57	3.24	146,116	82,752	958,712	1,298,832
2016-03-24	$32.70	$32.00	26.2%	7.4%	24.9%	25.0%	26.6%	3.7%	-0.1%	4.6M	984.1M	-11.2M	0.67	3.35	120,691	80,425	999,252	1,315,595
2016-03-28	$32.97	$32.50	26.2%	7.5%	25.0%	25.0%	26.9%	4.0%	0.3%	8.4M	929.0M	-11.1M	0.46	3.25	146,284	67,794	1,006,907	1,347,343
2016-03-29	$33.30	$32.50	25.6%	7.4%	25.0%	21.3%	26.4%	3.9%	0.3%	17.8M	771.7M	-11.5M	0.38	4.42	82,982	31,182	1,054,853	1,368,677
2016-03-30	$33.84	$32.50	24.6%	7.2%	23.5%	13.7%	25.9%	3.6%	0.7%	30.5M	539.6M	-11.7M	0.52	3.36	107,048	55,681	1,069,974	1,379,397
2016-03-31	$33.76	$32.50	24.6%	7.4%	22.5%	13.8%	26.0%	3.5%	0.1%	28.4M	588.7M	-12.1M	1.32	3.60	81,393	107,202	1,099,933	1,429,424