FXI Options History — June 2016

In June 2016, FXI traded between $32.36 and $34.72. ATM implied volatility averaged 25.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.1% (HV 20d: 23.1%). Max pain ranged from $33.50 to $34.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.73.

Notable Days

2016-06-30: Highest Volume — 336,753 contracts
2016-06-24: Largest IV spike — 17.4% change
2016-06-24: Highest IV Rank — 22.8%
2016-06-24: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.57	$32.36	$34.72	$33.44	$34.15
Max Pain	$34.09	$33.50	$34.50	$33.50	$34.00
ATM IV	25.2%	23.0%	28.7%	24.9%	23.2%
Expected Move	7.3%	6.5%	8.5%	7.2%	6.8%
HV 20d	23.1%	19.0%	30.2%	22.1%	30.2%
HV 60d	22.6%	21.1%	25.5%	22.5%	25.0%
IV Rank	10.4%	2.7%	22.8%	9.4%	3.6%
IV Percentile	21.2%	1.6%	59.9%	10.7%	2.4%
Term Structure	-0.2%	-0.7%	0.7%	-0.4%	0.1%
VWIV	26.2%	22.8%	32.4%	25.3%	23.6%
Skew 25d	4.8%	3.3%	6.4%	4.5%	3.8%
Skew 10d	9.6%	5.7%	12.3%	10.8%	7.1%
Call IV 25d	23.8%	21.4%	27.3%	23.3%	21.9%
Put IV 25d	28.6%	25.2%	33.1%	27.8%	25.7%
Bid-Ask Spread %	4.13	3.28	6.16	3.28	4.21
Gamma HHI	0.09	0.08	0.11	0.10	0.09
Net GEX	-13.5M	-50.3M	39.8M	-210.0K	-8.0M
Net DEX	1.06B	238.5M	1.82B	839.5M	836.9M
Net VEX	-12.2M	-12.8M	-11.6M	-11.7M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.51	4.57	1.76	0.94
Total Volume	155,326.5	78,270	336,753	94,387	336,753
Total OI	2,824,114.864	2,418,596	3,388,871	2,707,382	2,628,527

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
2016-06-01	$33.44	$33.50	24.9%	7.2%	22.1%	9.4%	25.3%	4.5%	-0.4%	-210.0K	839.5M	-11.7M	1.76	3.28	34,195	60,192	1,013,900	1,693,482
2016-06-02	$33.73	$34.00	24.4%	6.8%	21.7%	7.6%	25.3%	4.6%	-0.3%	11.0M	743.6M	-11.8M	1.79	3.87	34,623	61,990	1,030,407	1,721,961
2016-06-03	$33.73	$34.50	23.4%	6.7%	21.7%	4.2%	22.8%	4.9%	0.2%	11.8M	747.8M	-11.7M	1.47	3.93	60,606	89,233	1,045,471	1,737,650
2016-06-06	$34.22	$34.00	23.5%	6.8%	22.0%	4.7%	23.1%	3.9%	0.3%	29.8M	476.9M	-11.6M	0.78	3.96	90,834	70,651	1,060,050	1,721,929
2016-06-07	$34.63	$34.00	23.5%	6.9%	21.0%	4.5%	25.4%	3.5%	0.7%	39.8M	238.5M	-11.7M	1.40	4.17	133,731	187,476	1,118,413	1,763,920
2016-06-08	$34.72	$34.50	23.1%	6.6%	19.9%	3.2%	23.2%	3.5%	0.2%	17.4M	379.9M	-12.1M	4.57	3.72	29,015	132,723	1,127,856	1,906,318
2016-06-09	$34.55	$34.50	23.0%	6.5%	19.0%	2.7%	25.4%	3.3%	-0.3%	15.0M	498.6M	-12.5M	3.78	3.65	28,786	108,814	1,133,694	1,980,622
2016-06-10	$33.66	$34.50	25.8%	7.3%	21.7%	12.4%	25.2%	3.9%	-0.6%	-20.6M	1.10B	-12.5M	1.94	6.16	48,216	93,721	1,135,346	1,974,693
2016-06-13	$32.87	$34.50	27.9%	8.0%	22.5%	20.0%	28.6%	5.7%	-0.6%	-45.0M	1.63B	-12.4M	1.11	3.72	77,503	86,151	1,137,946	1,982,488
2016-06-14	$32.95	$34.00	28.3%	8.1%	21.6%	21.2%	28.3%	5.8%	-0.5%	-32.7M	1.53B	-12.4M	0.84	4.89	94,915	79,902	1,188,688	1,986,590
2016-06-15	$33.07	$34.00	27.1%	7.8%	21.5%	17.1%	28.9%	6.2%	-0.0%	-15.0M	1.44B	-12.5M	2.39	3.88	51,016	122,175	1,261,606	2,010,890
2016-06-16	$32.98	$34.00	25.6%	7.3%	21.0%	11.9%	27.4%	6.4%	0.1%	-26.7M	1.63B	-12.6M	2.83	3.76	55,443	156,757	1,273,707	2,082,308
2016-06-17	$32.82	$34.00	25.0%	7.2%	21.0%	9.9%	26.6%	6.0%	0.3%	-38.1M	1.82B	-12.4M	1.13	4.26	47,691	54,118	1,291,926	2,096,945
2016-06-20	$33.37	$34.00	24.0%	6.9%	21.1%	6.2%	24.4%	4.0%	-0.2%	-35.9M	1.17B	-12.2M	0.74	4.05	99,641	73,524	853,975	1,564,621
2016-06-21	$33.48	$34.00	25.0%	7.3%	21.0%	9.7%	26.6%	5.2%	-0.6%	-29.4M	1.09B	-12.4M	0.97	3.62	42,974	41,485	842,478	1,587,644
2016-06-22	$33.79	$34.00	26.0%	7.9%	20.3%	13.3%	27.8%	5.5%	-0.5%	-25.2M	952.1M	-12.6M	1.01	3.63	68,849	69,701	846,034	1,605,452
2016-06-23	$34.56	$34.00	24.5%	7.2%	20.8%	7.9%	26.0%	4.1%	-0.7%	-4.8M	567.5M	-12.8M	0.51	5.54	51,803	26,467	896,145	1,641,058
2016-06-24	$32.66	$34.00	28.7%	8.5%	29.6%	22.8%	32.4%	5.5%	-0.5%	-38.4M	1.64B	-12.4M	1.78	4.29	67,408	119,788	903,381	1,654,180
2016-06-27	$32.36	$34.00	28.1%	8.2%	29.7%	20.7%	30.4%	6.2%	-0.2%	-50.3M	1.71B	-12.0M	2.30	3.97	35,905	82,502	884,558	1,619,911
2016-06-28	$33.15	$34.00	25.4%	7.2%	29.5%	11.3%	26.2%	4.6%	-0.1%	-34.8M	1.34B	-12.3M	1.89	3.92	28,808	54,337	894,822	1,657,853
2016-06-29	$33.74	$34.00	23.8%	6.9%	30.0%	5.6%	24.1%	4.0%	0.2%	-17.7M	1.03B	-12.3M	2.18	4.46	39,878	86,883	905,392	1,665,690
2016-06-30	$34.15	$34.00	23.2%	6.8%	30.2%	3.6%	23.6%	3.8%	0.1%	-8.0M	836.9M	-12.3M	0.94	4.21	173,584	163,169	910,610	1,717,917