FXI Options History — December 2016

In December 2016, FXI traded between $33.97 and $37.78. ATM implied volatility averaged 20.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 17.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.25.

Notable Days

2016-12-16: Highest Volume — 378,765 contracts
2016-12-22: Largest IV spike — 13.8% change
2016-12-30: Highest IV Rank — 15.7%
2016-12-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.96	$33.97	$37.78	$37.49	$34.74
Max Pain	$37.81	$37.00	$40.00	$37.00	$38.00
ATM IV	20.0%	17.9%	21.6%	21.4%	21.6%
Expected Move	5.7%	5.1%	6.2%	6.2%	6.2%
HV 20d	17.8%	13.0%	20.7%	20.7%	19.6%
HV 60d	19.1%	18.3%	19.9%	19.9%	19.1%
IV Rank	8.8%	0.0%	15.7%	14.6%	15.7%
IV Percentile	15.1%	0.0%	34.9%	25.0%	34.9%
Term Structure	-0.1%	-1.2%	0.8%	0.1%	-0.0%
VWIV	20.9%	17.4%	23.2%	21.7%	21.9%
Skew 25d	3.4%	1.0%	4.4%	3.7%	3.4%
Skew 10d	6.3%	1.6%	7.9%	6.0%	5.5%
Call IV 25d	18.8%	16.2%	20.4%	19.7%	20.4%
Put IV 25d	22.2%	19.4%	23.8%	23.4%	23.8%
Bid-Ask Spread %	9.14	6.50	20.28	10.08	6.50
Gamma HHI	0.13	0.09	0.22	0.09	0.15
Net GEX	-69.4M	-136.8M	20.5M	-15.7M	-115.7M
Net DEX	1.35B	128.9M	2.75B	244.2M	1.98B
Net VEX	-11.2M	-12.3M	-9.7M	-10.2M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.25	0.78	4.94	2.04	2.67
Total Volume	179,602.81	71,930	378,765	89,757	71,930
Total OI	2,691,423.19	2,403,141	2,950,341	2,403,141	2,950,341

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
2016-12-01	$37.49	$37.00	21.4%	6.2%	20.7%	14.6%	21.7%	3.7%	0.1%	-15.7M	244.2M	-10.2M	2.04	10.08	29,526	60,231	963,093	1,440,048
2016-12-02	$37.29	$37.00	21.2%	6.1%	20.7%	13.8%	22.6%	3.8%	-0.1%	-25.8M	398.5M	-10.4M	2.68	6.76	29,474	79,017	972,786	1,443,319
2016-12-05	$37.26	$37.00	19.3%	5.5%	20.5%	5.4%	21.7%	3.7%	-0.2%	-14.9M	408.7M	-9.9M	2.42	8.76	35,345	85,532	970,757	1,440,853
2016-12-06	$37.24	$37.00	19.1%	5.3%	17.3%	4.8%	21.7%	3.3%	0.4%	-9.1M	370.5M	-9.7M	3.09	8.93	41,614	128,455	984,431	1,449,523
2016-12-07	$37.78	$37.00	17.9%	5.1%	17.6%	0.0%	18.5%	3.2%	0.3%	2.2M	128.9M	-10.4M	2.48	7.58	62,264	154,121	1,002,565	1,519,447
2016-12-08	$37.69	$37.00	18.9%	5.3%	13.7%	4.3%	20.5%	3.2%	-0.3%	-2.3M	189.6M	-11.0M	1.89	6.99	57,993	109,384	1,022,905	1,533,215
2016-12-09	$37.49	$37.00	18.1%	5.3%	13.0%	0.8%	21.3%	3.6%	0.3%	20.5M	321.8M	-10.9M	2.72	6.51	42,250	114,855	1,042,561	1,546,842
2016-12-12	$36.53	$37.00	20.5%	5.6%	16.0%	11.1%	20.6%	4.2%	-1.2%	-55.8M	904.5M	-10.7M	2.03	8.30	55,705	113,134	1,051,367	1,554,392
2016-12-13	$37.03	$37.00	19.6%	5.5%	16.3%	7.2%	19.1%	3.2%	-0.8%	-29.5M	586.9M	-10.9M	1.37	7.66	79,289	108,649	1,049,603	1,574,214
2016-12-14	$36.23	$38.00	20.4%	5.6%	17.5%	10.5%	20.3%	3.2%	-1.1%	-74.4M	1.20B	-11.0M	2.33	6.83	56,550	132,005	1,089,666	1,602,501
2016-12-15	$35.97	$38.00	20.0%	5.7%	17.2%	8.7%	21.9%	3.8%	-1.0%	-90.6M	1.45B	-11.1M	2.21	7.14	59,597	131,942	1,116,255	1,656,504
2016-12-16	$35.51	$38.00	20.5%	5.9%	17.8%	11.0%	22.6%	3.3%	-0.3%	-84.3M	1.91B	-11.1M	4.94	7.48	63,783	314,982	1,139,993	1,721,420
2016-12-19	$35.34	$38.00	20.0%	5.8%	17.8%	9.0%	21.6%	3.4%	0.4%	-101.0M	1.92B	-11.9M	1.97	17.69	67,980	133,730	875,617	1,756,561
2016-12-20	$35.22	$38.00	20.1%	5.8%	17.6%	9.5%	20.0%	4.4%	0.2%	-102.4M	2.09B	-12.0M	1.73	12.69	57,251	99,309	924,406	1,822,778
2016-12-21	$35.17	$39.00	18.1%	5.2%	15.9%	0.9%	17.4%	1.0%	0.8%	-116.3M	1.99B	-10.9M	0.78	20.28	149,801	116,965	947,891	1,867,550
2016-12-22	$34.05	$40.00	20.6%	5.9%	19.1%	11.7%	21.3%	3.3%	0.2%	-117.8M	2.75B	-11.8M	2.30	7.57	90,927	209,048	956,234	1,925,942
2016-12-23	$33.97	$39.00	20.0%	5.7%	18.6%	9.1%	19.2%	3.5%	0.4%	-136.0M	2.73B	-12.0M	1.50	7.29	90,804	136,375	971,854	1,962,647
2016-12-27	$34.06	$39.00	20.4%	5.8%	18.4%	10.5%	21.4%	3.4%	0.2%	-136.8M	2.56B	-11.8M	1.59	6.84	61,570	97,783	947,270	1,942,145
2016-12-28	$34.32	$38.00	21.3%	6.2%	18.7%	14.3%	23.2%	3.3%	0.1%	-132.0M	2.26B	-12.0M	1.55	8.10	48,413	75,197	951,940	1,919,602
2016-12-29	$34.82	$38.00	20.8%	5.9%	19.6%	12.3%	21.0%	3.2%	0.5%	-119.3M	1.92B	-12.2M	2.89	11.89	30,589	88,290	980,321	1,928,528
2016-12-30	$34.74	$38.00	21.6%	6.2%	19.6%	15.7%	21.9%	3.4%	-0.0%	-115.7M	1.98B	-12.3M	2.67	6.50	19,586	52,344	999,874	1,950,467