FXI Options History — March 2017

In March 2017, FXI traded between $37.49 and $39.66. ATM implied volatility averaged 16.5%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.2%). Max pain ranged from $37.00 to $39.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.37.

Notable Days

2017-03-16: Highest Volume — 180,137 contracts
2017-03-21: Largest IV spike — 8.7% change
2017-03-27: Highest IV Rank — 27.8%
2017-03-21: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.62	$37.49	$39.66	$38.63	$38.53
Max Pain	$38.02	$37.00	$39.50	$39.50	$39.00
ATM IV	16.5%	15.2%	18.6%	16.3%	15.6%
Expected Move	4.7%	4.1%	5.2%	4.7%	4.2%
HV 20d	15.2%	12.1%	16.8%	12.1%	14.1%
HV 60d	14.3%	12.8%	15.8%	15.2%	12.8%
IV Rank	12.7%	3.1%	27.8%	10.6%	6.3%
IV Percentile	9.2%	0.4%	24.6%	4.8%	2.8%
Term Structure	0.3%	-0.6%	1.6%	0.6%	0.4%
VWIV	17.1%	14.4%	19.9%	19.9%	15.4%
Skew 25d	1.0%	0.4%	1.5%	0.7%	1.4%
Skew 10d	2.1%	-0.0%	3.3%	2.1%	2.0%
Call IV 25d	16.6%	15.0%	18.5%	16.6%	15.4%
Put IV 25d	17.5%	16.2%	19.1%	17.3%	16.8%
Bid-Ask Spread %	7.98	3.52	19.56	7.61	5.07
Gamma HHI	0.09	0.07	0.12	0.10	0.07
Net GEX	41.1M	-12.6M	97.4M	57.1M	16.7M
Net DEX	-173.3M	-922.5M	714.8M	-311.3M	93.8M
Net VEX	-12.8M	-13.6M	-11.8M	-13.4M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.40	2.15	0.99	1.56
Total Volume	122,736.348	74,289	180,137	103,486	135,205
Total OI	2,640,300.696	2,117,730	2,934,343	2,766,022	2,585,754

Daily Data (23 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
2017-03-01	$38.63	$39.50	16.3%	4.7%	12.1%	10.6%	19.9%	0.7%	0.6%	57.1M	-311.3M	-13.4M	0.99	7.61	52,041	51,445	1,080,717	1,685,305
2017-03-02	$37.82	$39.50	16.5%	4.8%	14.7%	12.0%	18.2%	1.1%	0.2%	10.5M	351.5M	-13.6M	1.00	3.60	51,914	52,014	1,102,432	1,697,355
2017-03-03	$37.88	$39.00	16.2%	4.6%	14.7%	10.0%	17.4%	0.9%	0.3%	25.8M	279.5M	-13.3M	1.13	8.31	39,552	44,565	1,106,156	1,703,551
2017-03-06	$37.84	$37.00	15.8%	4.5%	14.7%	7.1%	16.0%	1.0%	0.1%	16.8M	350.5M	-12.8M	1.68	13.32	27,722	46,567	1,082,953	1,699,980
2017-03-07	$37.91	$37.00	15.2%	4.4%	14.6%	3.1%	15.7%	0.9%	0.2%	18.4M	313.0M	-12.4M	1.25	5.69	45,183	56,325	1,075,721	1,707,337
2017-03-08	$37.93	$37.00	15.2%	4.4%	14.6%	3.1%	15.6%	1.2%	-0.1%	12.1M	374.1M	-12.6M	1.64	5.95	47,092	77,327	1,092,859	1,735,316
2017-03-09	$37.49	$37.00	16.2%	4.6%	14.2%	10.2%	16.6%	1.2%	0.1%	-12.6M	714.8M	-13.1M	2.12	6.37	40,749	86,220	1,093,524	1,758,273
2017-03-10	$37.63	$37.00	15.6%	4.6%	13.6%	6.1%	18.3%	1.5%	0.0%	-3.1M	606.1M	-13.0M	1.86	3.57	28,619	53,185	1,105,409	1,777,158
2017-03-13	$38.32	$37.00	16.2%	4.7%	15.0%	10.9%	18.6%	1.2%	0.3%	35.7M	84.0M	-12.7M	1.85	5.64	34,128	63,111	1,097,211	1,782,161
2017-03-14	$38.11	$37.00	16.6%	4.8%	14.8%	13.2%	17.1%	1.2%	0.0%	24.0M	237.5M	-12.7M	2.15	5.42	37,774	81,359	1,091,203	1,793,125
2017-03-15	$38.83	$37.00	16.5%	4.7%	16.2%	13.1%	17.4%	1.0%	-0.3%	71.7M	-386.6M	-12.6M	1.33	18.67	58,400	77,838	1,095,258	1,804,262
2017-03-16	$39.31	$37.00	16.7%	4.8%	16.0%	13.9%	16.6%	0.6%	-0.0%	97.4M	-785.1M	-12.1M	1.59	7.15	69,684	110,453	1,110,509	1,798,100
2017-03-17	$39.16	$37.50	16.1%	4.5%	16.1%	9.6%	16.1%	0.7%	-0.5%	79.3M	-619.1M	-12.4M	2.02	12.24	45,052	90,898	1,099,956	1,834,387
2017-03-20	$39.66	$38.00	16.6%	4.8%	16.4%	13.4%	17.0%	0.9%	0.7%	59.4M	-922.5M	-11.8M	1.36	3.52	63,047	85,591	835,627	1,282,103
2017-03-21	$39.17	$38.00	18.0%	5.2%	16.8%	23.7%	18.4%	0.7%	1.6%	39.0M	-529.6M	-12.8M	0.77	15.05	76,612	58,943	868,037	1,316,355
2017-03-22	$39.32	$38.00	17.5%	5.0%	16.8%	19.9%	17.7%	0.9%	0.8%	48.0M	-642.7M	-12.9M	0.40	8.63	128,477	50,793	916,326	1,340,266
2017-03-23	$39.24	$38.50	17.7%	5.0%	16.8%	21.4%	18.0%	0.7%	1.1%	66.9M	-691.6M	-13.4M	1.03	6.17	53,397	55,094	1,047,168	1,352,795
2017-03-24	$39.24	$38.50	17.6%	5.0%	16.2%	20.9%	17.0%	1.1%	0.8%	53.5M	-609.2M	-12.8M	0.43	6.59	114,742	49,570	953,471	1,371,304
2017-03-27	$39.09	$39.00	18.6%	5.1%	16.0%	27.8%	18.9%	0.4%	-0.6%	58.4M	-541.4M	-13.1M	1.50	4.71	38,414	57,712	1,029,361	1,375,986
2017-03-28	$39.24	$39.00	17.1%	4.7%	16.0%	17.0%	16.9%	0.9%	0.3%	68.5M	-619.8M	-12.9M	1.86	6.74	39,784	74,051	1,038,699	1,398,348
2017-03-29	$39.12	$39.00	16.2%	4.3%	15.7%	10.9%	15.6%	1.2%	0.2%	60.9M	-508.8M	-12.9M	0.92	19.56	64,625	59,411	1,051,149	1,425,110
2017-03-30	$38.82	$39.00	15.7%	4.1%	13.8%	6.9%	14.4%	0.9%	0.2%	40.7M	-223.4M	-12.7M	1.16	4.00	68,529	79,722	1,072,458	1,456,381
2017-03-31	$38.53	$39.00	15.6%	4.2%	14.1%	6.3%	15.4%	1.4%	0.4%	16.7M	93.8M	-13.0M	1.56	5.07	52,806	82,399	1,089,319	1,496,435