FXI Options History — June 2017

In June 2017, FXI traded between $39.48 and $40.59. ATM implied volatility averaged 14.6%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.7% (HV 20d: 12.9%). Max pain ranged from $39.00 to $40.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.98.

Notable Days

2017-06-19: Highest Volume — 266,908 contracts
2017-06-29: Largest IV spike — 9.1% change
2017-06-29: Highest IV Rank — 23.3%
2017-06-29: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.02	$39.48	$40.59	$40.49	$39.85
Max Pain	$39.73	$39.00	$40.50	$40.00	$40.00
ATM IV	14.6%	13.7%	16.2%	15.5%	14.8%
Expected Move	4.2%	3.9%	4.6%	4.2%	4.1%
HV 20d	12.9%	11.5%	14.4%	14.4%	13.9%
HV 60d	12.6%	11.9%	13.2%	13.2%	13.1%
IV Rank	8.5%	2.2%	23.3%	13.8%	11.8%
IV Percentile	6.0%	0.4%	25.0%	9.1%	9.5%
Term Structure	0.2%	-0.5%	0.8%	-0.5%	0.2%
VWIV	15.5%	13.7%	18.2%	15.2%	16.9%
Skew 25d	1.5%	0.5%	2.0%	1.6%	1.9%
Skew 10d	3.0%	1.2%	4.4%	2.5%	3.8%
Call IV 25d	14.3%	13.0%	16.1%	14.7%	14.4%
Put IV 25d	15.8%	14.8%	17.9%	16.3%	16.3%
Bid-Ask Spread %	3.65	2.11	8.14	3.28	2.97
Gamma HHI	0.10	0.07	0.16	0.10	0.07
Net GEX	-23.3M	-68.0M	919.7K	-11.1M	-40.2M
Net DEX	89.3M	-548.9M	618.5M	-450.5M	379.9M
Net VEX	-11.7M	-12.5M	-11.0M	-11.4M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	0.87	4.64	2.07	2.03
Total Volume	150,888.409	67,551	266,908	104,019	107,997
Total OI	2,273,595.773	1,911,549	2,543,385	2,281,590	2,208,417

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
2017-06-01	$40.49	$40.00	15.5%	4.2%	14.4%	13.8%	15.2%	1.6%	-0.5%	-11.1M	-450.5M	-11.4M	2.07	3.28	33,872	70,147	657,472	1,624,118
2017-06-02	$40.53	$40.00	15.2%	4.2%	12.8%	12.2%	16.3%	1.5%	-0.4%	-8.3M	-453.8M	-11.5M	4.64	2.52	14,411	66,904	681,202	1,641,830
2017-06-05	$40.29	$39.00	14.9%	4.3%	13.2%	10.0%	15.1%	1.3%	-0.0%	-9.7M	-336.6M	-11.3M	2.58	3.64	18,869	48,682	680,654	1,640,942
2017-06-06	$40.53	$39.00	14.7%	4.4%	13.1%	9.0%	16.1%	1.6%	0.1%	-3.6M	-504.5M	-11.2M	3.29	2.43	16,784	55,176	684,953	1,650,414
2017-06-07	$40.45	$39.00	14.1%	4.0%	12.0%	5.2%	14.4%	1.8%	0.1%	-4.7M	-419.3M	-11.4M	2.58	2.45	34,191	88,051	687,422	1,653,584
2017-06-08	$40.59	$39.00	13.7%	3.9%	11.6%	2.2%	13.8%	1.8%	-0.0%	919.7K	-548.9M	-11.0M	2.41	3.11	37,425	90,034	704,275	1,676,085
2017-06-09	$40.18	$39.00	14.3%	4.2%	12.3%	6.1%	15.3%	2.0%	0.1%	-13.1M	-205.4M	-11.8M	1.91	4.63	47,020	89,615	708,623	1,691,693
2017-06-12	$39.78	$39.50	14.7%	4.2%	12.6%	9.0%	16.3%	1.9%	0.1%	-32.3M	236.4M	-12.0M	1.88	2.37	43,104	80,940	719,181	1,712,560
2017-06-13	$40.14	$39.50	14.1%	4.3%	12.1%	5.2%	16.1%	1.9%	0.8%	-8.9M	-147.1M	-11.7M	1.55	5.38	70,725	109,691	734,143	1,734,885
2017-06-14	$39.89	$39.50	14.0%	4.2%	12.3%	4.4%	13.7%	1.7%	0.6%	-16.5M	110.7M	-11.5M	1.58	5.56	39,294	61,938	733,941	1,735,132
2017-06-15	$39.49	$40.00	14.8%	4.4%	11.6%	9.4%	15.5%	1.7%	0.5%	-54.2M	595.9M	-11.4M	1.95	4.37	57,376	111,748	738,007	1,731,011
2017-06-16	$39.57	$40.00	14.2%	4.1%	11.5%	5.6%	16.2%	1.9%	0.3%	-67.4M	566.5M	-11.2M	1.15	5.00	103,045	118,515	759,687	1,783,698
2017-06-19	$40.19	$40.00	14.4%	4.2%	12.4%	7.0%	14.6%	0.5%	-0.4%	-6.0M	-42.0M	-11.1M	0.87	4.57	142,763	124,145	557,235	1,354,314
2017-06-20	$39.51	$40.50	15.3%	4.4%	13.7%	12.6%	16.0%	1.3%	-0.0%	-36.2M	593.7M	-12.1M	0.91	3.33	136,506	124,590	645,277	1,426,673
2017-06-21	$39.48	$40.00	14.4%	4.1%	13.7%	6.7%	14.7%	1.4%	0.5%	-51.5M	618.5M	-12.1M	1.21	2.35	112,587	136,444	694,917	1,461,387
2017-06-22	$39.80	$40.00	13.9%	4.0%	14.0%	3.6%	15.0%	0.9%	0.4%	-4.8M	368.9M	-12.1M	0.91	3.34	129,821	118,424	708,094	1,483,517
2017-06-23	$39.78	$40.00	13.9%	3.9%	12.7%	3.5%	16.9%	1.2%	0.6%	-68.0M	445.7M	-12.0M	1.20	3.62	99,498	119,166	673,419	1,489,843
2017-06-26	$40.24	$40.00	14.3%	4.0%	13.4%	6.0%	14.0%	0.9%	0.2%	-7.8M	96.8M	-11.4M	1.20	2.11	51,852	61,973	653,439	1,442,400
2017-06-27	$39.91	$40.00	14.6%	4.2%	13.7%	8.8%	15.4%	1.6%	0.0%	-17.1M	316.8M	-12.2M	2.16	2.45	35,139	75,995	682,669	1,446,622
2017-06-28	$40.06	$40.00	14.9%	4.1%	13.7%	12.3%	15.6%	1.1%	-0.0%	-15.7M	195.8M	-11.9M	2.47	2.67	30,019	74,199	690,458	1,466,921
2017-06-29	$39.64	$40.00	16.2%	4.6%	13.7%	23.3%	18.2%	1.7%	0.2%	-36.5M	546.1M	-12.5M	3.04	8.14	32,399	98,471	696,504	1,471,489
2017-06-30	$39.85	$40.00	14.8%	4.1%	13.9%	11.8%	16.9%	1.9%	0.2%	-40.2M	379.9M	-12.1M	2.03	2.97	35,697	72,300	700,834	1,507,583