FXI Options History — May 2017

In May 2017, FXI traded between $37.63 and $40.34. ATM implied volatility averaged 15.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.2% (HV 20d: 13.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.26.

Notable Days

2017-05-24: Highest Volume — 178,663 contracts
2017-05-17: Largest IV spike — 12.4% change
2017-05-24: Highest IV Rank — 28.0%
2017-05-17: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.07	$37.63	$40.34	$38.70	$40.13
Max Pain	$39.27	$39.00	$40.00	$39.00	$40.00
ATM IV	15.6%	13.8%	17.7%	13.8%	16.0%
Expected Move	4.3%	3.6%	4.9%	3.6%	4.3%
HV 20d	13.4%	10.4%	14.9%	10.4%	14.4%
HV 60d	13.4%	12.9%	13.8%	13.0%	13.1%
IV Rank	14.7%	2.9%	28.0%	2.9%	17.3%
IV Percentile	12.2%	0.8%	33.7%	0.8%	14.7%
Term Structure	0.1%	-2.4%	1.8%	0.6%	-0.6%
VWIV	15.6%	13.4%	17.4%	13.4%	15.6%
Skew 25d	1.5%	0.8%	2.4%	1.5%	1.6%
Skew 10d	3.1%	1.9%	4.5%	3.8%	2.4%
Call IV 25d	15.1%	13.3%	17.2%	13.3%	15.1%
Put IV 25d	16.7%	14.8%	19.2%	14.8%	16.7%
Bid-Ask Spread %	4.81	1.90	19.60	13.98	2.42
Gamma HHI	0.14	0.09	0.53	0.10	0.10
Net GEX	25.2M	-73.2M	247.9M	35.5M	-20.1M
Net DEX	159.4M	-519.5M	1.15B	96.5M	-201.5M
Net VEX	-11.5M	-12.0M	-11.0M	-11.0M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.26	1.24	19.03	4.39	4.38
Total Volume	111,304.364	64,949	178,663	72,550	118,996
Total OI	2,588,867.636	2,038,729	2,982,974	2,538,784	2,271,853

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
2017-05-01	$38.70	$39.00	13.8%	3.6%	10.4%	2.9%	13.4%	1.5%	0.6%	35.5M	96.5M	-11.0M	4.39	13.98	13,463	59,087	1,021,509	1,517,275
2017-05-02	$38.42	$39.00	13.9%	3.8%	10.5%	3.4%	13.6%	1.6%	0.4%	10.8M	364.1M	-11.3M	2.50	4.83	24,818	61,991	1,037,593	1,521,189
2017-05-03	$38.28	$39.00	13.9%	3.9%	10.5%	3.3%	13.9%	1.6%	0.5%	-10.4M	553.5M	-11.3M	2.54	19.60	22,454	57,097	1,045,921	1,541,875
2017-05-04	$37.71	$39.00	15.3%	4.5%	11.6%	12.8%	14.1%	2.0%	0.4%	-59.2M	1.00B	-11.1M	2.14	12.25	34,209	73,359	1,059,410	1,565,459
2017-05-05	$37.71	$39.00	15.8%	4.6%	11.5%	15.7%	16.6%	1.8%	0.3%	-58.6M	1.07B	-11.4M	1.52	4.71	43,872	66,699	1,076,783	1,610,370
2017-05-08	$37.63	$39.00	15.3%	4.3%	11.5%	12.9%	16.0%	1.3%	-0.5%	-73.2M	1.15B	-11.1M	1.59	1.90	33,356	53,029	1,107,684	1,641,324
2017-05-09	$38.34	$39.00	14.7%	4.4%	13.4%	9.0%	15.6%	1.4%	0.6%	2.7M	541.4M	-11.2M	2.36	4.94	42,618	100,579	1,115,241	1,640,664
2017-05-10	$38.74	$39.00	14.8%	4.3%	13.7%	9.7%	15.1%	1.3%	0.2%	59.7M	205.6M	-11.6M	3.21	2.30	18,059	58,052	1,142,099	1,702,789
2017-05-11	$38.64	$39.00	15.0%	4.3%	13.8%	11.0%	15.4%	1.1%	0.0%	45.2M	366.6M	-11.9M	6.37	2.68	8,807	56,142	1,153,109	1,723,269
2017-05-12	$39.06	$39.00	15.0%	4.4%	14.3%	10.5%	15.6%	1.1%	0.5%	152.4M	-74.6M	-11.6M	1.24	2.39	54,832	67,791	1,153,963	1,742,925
2017-05-15	$39.59	$39.00	15.1%	4.4%	14.9%	11.6%	16.7%	0.8%	1.8%	114.5M	-519.5M	-11.3M	2.29	2.00	29,073	66,513	1,131,480	1,770,413
2017-05-16	$39.49	$39.00	15.3%	4.4%	14.0%	13.0%	16.7%	0.9%	0.9%	110.3M	-347.5M	-11.7M	3.48	3.62	24,984	87,053	1,134,540	1,781,996
2017-05-17	$38.91	$39.00	17.3%	4.9%	14.9%	25.4%	17.4%	2.0%	1.1%	25.9M	320.2M	-11.9M	4.86	7.02	15,213	73,904	1,144,065	1,823,671
2017-05-18	$39.06	$39.00	16.8%	4.8%	14.1%	22.3%	17.0%	1.9%	0.6%	59.0M	200.7M	-12.0M	3.04	2.45	19,953	60,680	1,144,615	1,823,453
2017-05-19	$39.39	$39.00	15.7%	4.4%	14.3%	15.3%	16.2%	1.5%	0.7%	247.9M	-63.3M	-11.7M	4.73	2.50	15,766	74,526	1,151,288	1,831,686
2017-05-22	$39.67	$39.00	15.6%	4.2%	14.4%	14.7%	14.7%	1.7%	-0.4%	-10.1M	-93.6M	-11.4M	2.55	2.05	29,316	74,827	609,967	1,428,762
2017-05-23	$39.58	$40.00	16.4%	4.3%	13.9%	19.7%	15.6%	1.9%	-0.4%	-19.1M	-27.4M	-11.0M	3.07	2.03	34,773	106,747	607,144	1,435,790
2017-05-24	$39.61	$40.00	17.7%	4.4%	13.9%	28.0%	15.9%	2.4%	-2.4%	-20.3M	-40.8M	-11.0M	8.66	5.75	18,501	160,162	634,194	1,474,128
2017-05-25	$40.25	$40.00	16.9%	4.5%	14.6%	22.9%	15.9%	1.1%	-0.6%	-17.0M	-314.2M	-11.7M	3.81	2.22	31,927	121,717	631,966	1,555,208
2017-05-26	$40.24	$40.00	16.6%	4.3%	14.6%	21.0%	15.4%	1.2%	-0.2%	-10.1M	-331.1M	-11.8M	5.85	2.23	25,138	146,991	651,734	1,561,698
2017-05-30	$40.34	$40.00	16.6%	4.5%	14.6%	21.4%	16.2%	1.6%	-0.3%	-11.5M	-344.7M	-11.7M	19.03	1.97	8,068	153,554	650,284	1,584,702
2017-05-31	$40.13	$40.00	16.0%	4.3%	14.4%	17.3%	15.6%	1.6%	-0.6%	-20.1M	-201.5M	-11.8M	4.38	2.42	22,100	96,896	653,273	1,618,580