FXI Options History — April 2017

In April 2017, FXI traded between $37.53 and $38.91. ATM implied volatility averaged 16.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.0% (HV 20d: 11.1%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.91.

Notable Days

2017-04-18: Highest Volume — 234,840 contracts
2017-04-24: Largest IV drop — 9.7% change
2017-04-18: Highest IV Rank — 23.4%
2017-04-18: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.41	$37.53	$38.91	$38.75	$38.49
Max Pain	$38.79	$38.00	$39.00	$39.00	$39.00
ATM IV	16.1%	13.4%	18.0%	15.4%	13.4%
Expected Move	4.5%	3.5%	5.2%	4.2%	3.5%
HV 20d	11.1%	7.7%	14.2%	14.2%	10.6%
HV 60d	12.5%	12.0%	13.0%	12.5%	13.0%
IV Rank	11.2%	0.0%	23.4%	4.9%	0.0%
IV Percentile	11.6%	0.0%	26.2%	2.0%	0.0%
Term Structure	0.2%	-0.2%	0.6%	0.0%	0.3%
VWIV	16.4%	12.4%	19.9%	14.4%	12.4%
Skew 25d	2.0%	0.8%	3.2%	0.8%	1.7%
Skew 10d	4.2%	1.4%	6.9%	1.4%	3.5%
Call IV 25d	15.7%	13.0%	17.5%	15.6%	13.0%
Put IV 25d	17.7%	14.6%	20.0%	16.4%	14.6%
Bid-Ask Spread %	7.55	3.33	13.94	8.18	6.78
Gamma HHI	0.08	0.07	0.10	0.08	0.09
Net GEX	4.5M	-71.5M	61.9M	40.3M	41.3M
Net DEX	376.5M	-213.9M	1.19B	-98.5M	282.7M
Net VEX	-12.0M	-12.9M	-10.8M	-12.5M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.71	5.86	0.71	2.63
Total Volume	129,498.263	52,134	234,840	177,083	104,479
Total OI	2,694,611.789	2,361,739	2,997,186	2,625,354	2,562,909

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
2017-04-03	$38.75	$39.00	15.4%	4.2%	14.2%	4.9%	14.4%	0.8%	0.0%	40.3M	-98.5M	-12.5M	0.71	8.18	103,402	73,681	1,107,176	1,518,178
2017-04-04	$38.85	$39.00	16.1%	4.3%	14.2%	10.2%	15.8%	1.1%	0.4%	61.9M	-213.9M	-12.9M	1.29	7.90	39,474	50,798	1,148,701	1,536,926
2017-04-05	$38.91	$39.00	15.6%	4.1%	14.2%	6.4%	14.5%	2.4%	0.4%	45.9M	-190.5M	-12.7M	1.13	13.94	71,939	81,415	1,100,493	1,538,311
2017-04-06	$38.70	$39.00	16.4%	4.9%	13.6%	11.8%	16.9%	2.0%	0.1%	26.2M	123.4M	-12.8M	1.26	8.21	49,361	61,967	1,145,762	1,582,571
2017-04-07	$38.75	$39.00	16.5%	5.0%	13.6%	13.1%	18.2%	2.2%	0.6%	28.1M	152.1M	-12.9M	1.18	11.91	55,292	65,452	1,166,008	1,607,675
2017-04-10	$38.53	$39.00	17.0%	4.9%	12.3%	16.1%	17.2%	2.0%	-0.0%	13.2M	348.6M	-12.4M	1.11	7.24	49,670	55,013	1,154,206	1,577,334
2017-04-11	$38.29	$39.00	17.6%	5.1%	12.3%	20.9%	18.8%	2.4%	0.2%	-9.2M	569.5M	-12.6M	1.49	3.64	39,010	57,981	1,157,844	1,588,824
2017-04-12	$38.32	$39.00	16.8%	4.9%	10.2%	14.7%	19.9%	2.5%	0.3%	-14.6M	614.1M	-12.2M	2.04	3.33	21,048	42,974	1,159,221	1,597,281
2017-04-13	$38.31	$39.00	16.8%	4.9%	9.0%	15.0%	18.0%	3.2%	0.6%	-13.7M	583.2M	-12.0M	1.40	13.70	28,412	39,785	1,160,030	1,601,641
2017-04-17	$38.30	$39.00	17.6%	5.0%	9.0%	20.5%	18.6%	2.6%	0.2%	-8.2M	577.3M	-11.5M	1.61	5.37	19,971	32,163	1,156,611	1,581,144
2017-04-18	$37.82	$39.00	18.0%	5.2%	8.3%	23.4%	18.3%	2.5%	0.1%	-55.3M	968.4M	-11.2M	0.80	4.46	130,530	104,310	1,157,067	1,577,889
2017-04-19	$37.53	$38.00	17.6%	5.0%	7.7%	20.6%	19.5%	2.8%	0.2%	-71.5M	1.19B	-11.5M	5.86	4.11	26,314	154,186	1,241,086	1,639,322
2017-04-20	$38.09	$38.00	16.8%	4.8%	9.6%	14.8%	16.9%	2.3%	0.6%	-31.9M	723.6M	-11.8M	3.53	3.67	33,599	118,762	1,246,094	1,751,092
2017-04-21	$38.01	$38.00	16.7%	4.8%	9.6%	14.2%	17.6%	2.6%	0.4%	-44.7M	758.7M	-11.6M	1.19	8.12	78,481	93,014	1,255,816	1,693,438
2017-04-24	$38.20	$38.00	15.1%	4.1%	9.8%	2.6%	14.5%	1.5%	-0.0%	-8.9M	382.0M	-10.8M	2.16	12.26	60,779	131,546	957,752	1,403,987
2017-04-25	$38.67	$39.00	14.0%	3.9%	10.9%	0.0%	13.5%	0.8%	-0.1%	33.7M	47.0M	-11.1M	1.82	5.19	53,501	97,453	995,777	1,457,514
2017-04-26	$38.71	$39.00	14.6%	4.1%	10.8%	3.7%	14.4%	1.2%	-0.2%	34.0M	77.5M	-11.7M	2.99	4.64	30,655	91,688	1,025,609	1,506,270
2017-04-27	$38.51	$39.00	13.8%	3.6%	10.9%	0.0%	12.9%	1.4%	-0.0%	18.5M	262.7M	-11.5M	2.10	10.75	36,249	76,113	1,026,328	1,513,737
2017-04-28	$38.49	$39.00	13.4%	3.5%	10.6%	0.0%	12.4%	1.7%	0.3%	41.3M	282.7M	-11.4M	2.63	6.78	28,750	75,729	1,036,050	1,526,859