FXI Options History — February 2017

In February 2017, FXI traded between $36.60 and $38.99. ATM implied volatility averaged 16.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.0% (HV 20d: 9.5%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.56.

Notable Days

2017-02-13: Highest Volume — 453,420 contracts
2017-02-15: Largest IV spike — 6.3% change
2017-02-15: Highest IV Rank — 19.0%
2017-02-15: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.94	$36.60	$38.99	$36.69	$38.20
Max Pain	$37.95	$37.00	$39.00	$37.00	$39.00
ATM IV	16.6%	15.4%	18.4%	16.1%	16.9%
Expected Move	4.8%	4.4%	5.3%	4.6%	4.8%
HV 20d	9.5%	7.8%	11.7%	10.0%	11.7%
HV 60d	15.5%	14.8%	17.8%	17.8%	15.0%
IV Rank	8.6%	2.7%	19.0%	5.2%	12.2%
IV Percentile	5.5%	1.2%	13.5%	2.0%	9.5%
Term Structure	0.4%	-0.5%	0.8%	0.5%	0.4%
VWIV	17.1%	15.1%	19.4%	16.2%	16.6%
Skew 25d	1.0%	0.1%	1.9%	1.7%	1.0%
Skew 10d	2.5%	0.3%	3.9%	3.9%	3.0%
Call IV 25d	16.7%	15.3%	18.8%	15.7%	17.2%
Put IV 25d	17.6%	16.8%	18.8%	17.4%	18.2%
Bid-Ask Spread %	14.23	4.49	28.98	21.78	9.34
Gamma HHI	0.11	0.08	0.17	0.12	0.08
Net GEX	29.8M	-59.6M	97.6M	-29.4M	33.5M
Net DEX	-372.7M	-1.31B	388.3M	345.6M	2.0M
Net VEX	-12.9M	-14.2M	-11.7M	-12.2M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.71	3.06	0.75	1.61
Total Volume	173,023.526	80,246	453,420	80,246	87,658
Total OI	2,648,576.263	2,298,560	3,213,909	2,298,560	2,756,764

Daily Data (19 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
2017-02-01	$36.69	$37.00	16.1%	4.6%	10.0%	5.2%	16.2%	1.7%	0.5%	-29.4M	345.6M	-12.2M	0.75	21.78	45,932	34,314	762,926	1,535,634
2017-02-02	$36.69	$37.00	15.7%	4.8%	9.6%	3.7%	17.1%	1.9%	0.3%	-29.3M	356.1M	-12.2M	1.46	4.49	35,325	51,626	778,390	1,540,702
2017-02-03	$36.60	$37.00	15.4%	4.6%	8.2%	2.7%	16.8%	1.6%	0.6%	-59.6M	388.3M	-12.1M	2.04	15.46	37,789	77,071	784,010	1,566,803
2017-02-06	$36.77	$37.00	15.7%	4.6%	7.8%	3.9%	16.8%	1.3%	0.2%	-3.2M	254.2M	-11.8M	3.06	28.98	40,374	123,497	783,436	1,543,358
2017-02-07	$36.72	$37.00	16.0%	4.7%	7.9%	4.9%	15.1%	1.4%	0.3%	-25.1M	363.4M	-11.9M	1.76	11.38	62,918	110,911	786,791	1,602,972
2017-02-08	$37.34	$37.00	16.3%	4.8%	8.4%	6.2%	16.4%	1.3%	0.5%	12.6M	-146.3M	-12.1M	0.92	27.07	82,282	75,919	807,132	1,674,560
2017-02-09	$37.78	$37.00	16.5%	5.0%	9.1%	6.8%	17.9%	0.9%	0.8%	34.6M	-472.6M	-11.7M	1.23	5.85	109,846	134,745	830,195	1,668,831
2017-02-10	$37.98	$37.50	16.9%	5.0%	9.0%	8.1%	19.4%	1.1%	0.6%	97.6M	-619.4M	-11.8M	1.93	11.56	89,428	172,166	895,281	1,725,942
2017-02-13	$38.30	$37.50	17.4%	5.0%	9.3%	10.8%	17.7%	0.4%	0.3%	42.5M	-772.1M	-12.0M	0.73	17.41	261,618	191,802	925,040	1,780,647
2017-02-14	$38.24	$37.50	17.4%	5.0%	8.7%	12.5%	18.0%	0.2%	-0.1%	45.8M	-818.0M	-13.1M	0.71	14.78	170,331	120,877	1,079,043	1,831,694
2017-02-15	$38.79	$38.00	18.4%	5.3%	9.6%	19.0%	18.8%	0.1%	-0.5%	59.9M	-1.31B	-13.5M	1.57	23.68	101,419	159,305	1,185,582	1,860,997
2017-02-16	$38.71	$38.50	17.6%	5.0%	9.3%	14.5%	17.7%	0.3%	0.4%	58.4M	-1.19B	-14.1M	1.35	6.67	78,126	105,099	1,231,364	1,927,911
2017-02-17	$38.45	$39.00	16.6%	4.7%	9.7%	9.8%	17.2%	0.6%	0.7%	35.0M	-959.3M	-14.2M	1.59	10.76	64,380	102,377	1,262,746	1,951,163
2017-02-21	$38.81	$39.00	16.4%	4.6%	10.0%	8.7%	16.5%	0.8%	0.3%	67.9M	-663.6M	-13.5M	1.88	10.69	50,510	94,837	1,007,805	1,569,726
2017-02-22	$38.99	$39.00	16.5%	4.7%	10.0%	9.0%	16.7%	0.9%	0.4%	69.1M	-759.0M	-13.5M	2.28	15.53	29,622	67,515	1,016,352	1,598,489
2017-02-23	$38.99	$39.00	15.8%	4.4%	10.0%	5.7%	15.8%	0.8%	0.3%	74.5M	-730.6M	-13.5M	1.21	5.92	61,115	74,062	1,025,934	1,613,246
2017-02-24	$38.54	$39.00	16.3%	4.6%	11.3%	7.9%	16.5%	1.3%	0.4%	48.9M	-324.5M	-13.7M	1.96	14.21	30,493	59,633	1,047,451	1,640,022
2017-02-27	$38.24	$39.00	16.9%	4.8%	11.7%	12.1%	16.8%	0.9%	0.3%	32.6M	-17.2M	-13.7M	1.61	14.78	35,411	57,114	1,064,642	1,659,368
2017-02-28	$38.20	$39.00	16.9%	4.8%	11.7%	12.2%	16.6%	1.0%	0.4%	33.5M	2.0M	-13.7M	1.61	9.34	33,530	54,128	1,078,909	1,677,855