FXI Options History — April 2016

In April 2016, FXI traded between $32.35 and $35.10. ATM implied volatility averaged 25.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.5% (HV 20d: 23.4%). Max pain ranged from $32.50 to $37.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2016-04-13: Highest Volume — 322,822 contracts
2016-04-06: Largest IV drop — 5.8% change
2016-04-05: Highest IV Rank — 20.6%
2016-04-07: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.90	$32.35	$35.10	$33.62	$33.62
Max Pain	$35.93	$32.50	$37.00	$32.50	$36.00
ATM IV	25.9%	24.6%	28.1%	26.8%	26.0%
Expected Move	7.4%	7.1%	7.9%	7.8%	7.6%
HV 20d	23.4%	20.2%	24.7%	22.6%	24.5%
HV 60d	27.0%	24.7%	28.9%	28.9%	24.8%
IV Rank	13.2%	8.4%	20.6%	19.1%	13.4%
IV Percentile	18.5%	5.6%	41.3%	29.0%	23.4%
Term Structure	-0.1%	-0.5%	0.2%	-0.2%	-0.3%
VWIV	25.8%	23.7%	28.6%	27.1%	26.4%
Skew 25d	3.1%	2.3%	4.3%	3.6%	3.1%
Skew 10d	6.0%	4.4%	8.2%	7.7%	6.3%
Call IV 25d	25.0%	23.7%	26.8%	25.7%	25.1%
Put IV 25d	28.1%	26.2%	31.1%	29.3%	28.2%
Bid-Ask Spread %	3.39	2.93	4.42	3.64	2.93
Gamma HHI	0.11	0.08	0.26	0.10	0.08
Net GEX	12.6M	-32.5M	104.0M	19.7M	-32.5M
Net DEX	764.3M	-184.8M	1.40B	690.2M	1.20B
Net VEX	-12.2M	-12.7M	-11.5M	-12.3M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.31	1.59	0.81	1.33
Total Volume	217,635.429	151,045	322,822	272,675	232,413
Total OI	2,667,777.476	2,393,330	2,905,235	2,565,691	2,757,273

Daily Data (21 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
2016-04-01	$33.62	$32.50	26.8%	7.8%	22.6%	19.1%	27.1%	3.6%	-0.2%	19.7M	690.2M	-12.3M	0.81	3.64	150,353	122,322	1,106,745	1,458,946
2016-04-04	$33.16	$37.00	27.0%	7.6%	21.1%	19.7%	26.4%	3.4%	-0.2%	22.8M	917.8M	-11.8M	1.35	3.19	91,599	123,363	1,149,229	1,468,113
2016-04-05	$32.38	$37.00	28.1%	7.8%	22.4%	20.6%	27.2%	3.9%	-0.5%	-8.0M	1.33B	-11.5M	0.60	3.12	119,002	71,530	1,151,676	1,517,884
2016-04-06	$33.02	$36.00	26.5%	7.6%	21.8%	14.9%	25.5%	4.1%	0.1%	28.6M	980.9M	-11.8M	0.81	3.27	103,237	83,961	1,198,093	1,525,905
2016-04-07	$32.35	$36.00	27.9%	7.9%	23.2%	19.9%	28.6%	4.3%	-0.1%	-2.8M	1.40B	-11.8M	1.06	3.12	97,455	103,041	1,212,880	1,557,971
2016-04-08	$32.77	$36.00	26.3%	7.5%	23.4%	14.3%	25.0%	3.8%	0.0%	-4.5M	1.22B	-12.1M	0.57	3.25	115,076	65,491	1,228,513	1,584,315
2016-04-11	$33.22	$36.00	26.5%	7.5%	20.2%	15.2%	26.8%	3.8%	-0.3%	13.9M	984.6M	-11.9M	0.71	2.95	88,443	62,602	1,163,591	1,565,738
2016-04-12	$33.65	$36.00	25.4%	7.2%	20.7%	11.0%	26.0%	3.5%	-0.2%	39.6M	729.5M	-12.0M	0.42	3.06	125,330	52,218	1,175,472	1,579,192
2016-04-13	$34.92	$36.00	26.0%	7.5%	24.0%	13.4%	25.8%	2.9%	0.2%	88.3M	-119.0M	-12.4M	0.31	3.28	247,175	75,647	1,191,421	1,601,555
2016-04-14	$34.96	$36.00	25.7%	7.4%	23.8%	12.3%	25.9%	2.3%	-0.2%	104.0M	-184.8M	-12.4M	0.53	3.25	163,188	86,915	1,226,455	1,620,881
2016-04-15	$34.47	$36.00	24.8%	7.1%	24.5%	9.2%	25.1%	2.6%	-0.0%	37.0M	237.9M	-12.3M	0.65	3.54	142,648	92,976	1,260,025	1,645,210
2016-04-18	$34.73	$36.00	24.9%	7.2%	24.4%	9.5%	26.3%	2.5%	-0.4%	6.8M	561.8M	-12.3M	1.03	4.42	122,027	125,188	947,664	1,445,666
2016-04-19	$35.10	$36.00	24.6%	7.1%	24.6%	8.4%	24.7%	2.6%	-0.1%	16.6M	364.1M	-12.2M	0.69	3.58	103,211	71,289	982,284	1,500,813
2016-04-20	$34.73	$36.00	25.8%	7.4%	24.7%	12.6%	24.4%	2.6%	-0.1%	10.1M	577.6M	-12.5M	0.69	3.82	133,046	92,426	987,304	1,512,210
2016-04-21	$34.48	$36.00	25.7%	7.4%	24.2%	12.2%	23.7%	2.4%	0.2%	4.5M	695.1M	-12.7M	0.97	3.90	118,178	114,506	1,016,709	1,534,839
2016-04-22	$34.32	$36.00	25.1%	7.2%	24.0%	10.2%	26.9%	2.3%	-0.1%	-11.4M	794.5M	-12.7M	1.39	3.21	110,045	152,817	1,036,112	1,546,825
2016-04-25	$33.92	$36.00	25.7%	7.4%	24.4%	12.3%	24.0%	3.0%	-0.2%	-21.8M	985.0M	-12.5M	0.94	3.41	104,356	97,643	1,014,824	1,565,889
2016-04-26	$34.10	$36.00	25.1%	7.3%	24.2%	10.0%	28.0%	2.7%	-0.2%	-18.4M	922.1M	-12.4M	1.59	3.62	87,600	138,965	1,021,891	1,580,928
2016-04-27	$34.41	$36.00	24.6%	7.1%	23.8%	8.5%	24.1%	2.7%	-0.1%	-10.7M	797.9M	-12.6M	0.57	2.99	117,290	66,630	1,031,504	1,644,773
2016-04-28	$34.05	$36.00	25.1%	7.2%	24.1%	10.1%	23.8%	2.8%	-0.3%	-18.4M	965.8M	-12.5M	0.72	3.68	115,946	83,196	1,063,209	1,642,800
2016-04-29	$33.62	$36.00	26.0%	7.6%	24.5%	13.4%	26.4%	3.1%	-0.3%	-32.5M	1.20B	-12.6M	1.33	2.93	99,763	132,650	1,095,199	1,662,074