FXI Options History — August 2007

In August 2007, FXI traded between $39.91 and $51.02. ATM implied volatility averaged 45.1%, placing in the 87.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 0.4% (HV 20d: 44.7%). Max pain ranged from $43.33 to $46.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.81.

Notable Days

2007-08-27: Highest Volume — 153,378 contracts
2007-08-27: Largest IV spike — 28.0% change
2007-08-03: Highest IV Rank — 100.0%
2007-08-28: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.94	$39.91	$51.02	$45.73	$50.10
Max Pain	$44.57	$43.33	$46.00	$43.33	$45.67
ATM IV	45.1%	37.0%	57.2%	40.1%	49.0%
Expected Move	12.9%	10.8%	16.4%	11.5%	14.0%
HV 20d	44.7%	32.6%	63.0%	32.6%	60.6%
HV 60d	33.7%	28.2%	43.0%	29.1%	43.0%
IV Rank	87.1%	61.6%	100.0%	80.5%	76.2%
IV Percentile	96.8%	86.7%	100.0%	97.2%	97.6%
Term Structure	-1.9%	-5.2%	-0.0%	-0.5%	-0.7%
VWIV	45.1%	36.2%	57.9%	40.7%	51.4%
Skew 25d	7.0%	4.8%	9.4%	4.8%	7.2%
Skew 10d	11.9%	6.7%	18.2%	11.9%	13.9%
Call IV 25d	41.7%	35.1%	53.2%	37.9%	45.6%
Put IV 25d	48.7%	41.1%	62.4%	42.7%	52.9%
Bid-Ask Spread %	13.69	5.40	49.57	38.42	17.22
Gamma HHI	0.08	0.06	0.23	0.08	0.06
Net GEX	-17.8M	-47.8M	389.0K	-9.5M	-488.0K
Net DEX	-106.3M	-705.8M	850.0M	-357.8M	-655.4M
Net VEX	-3.9M	-4.6M	-3.5M	-3.7M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.45	2.83	2.55	1.81
Total Volume	62,578.435	30,240	153,378	47,589	77,160
Total OI	765,786.913	512,247	1,007,985	786,309	751,653

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
2007-08-01	$45.73	$43.33	40.1%	11.5%	32.6%	80.5%	40.7%	4.8%	-0.5%	-9.5M	-357.8M	-3.7M	2.55	38.42	13,410	34,179	304,431	481,878
2007-08-02	$45.40	$43.33	38.7%	11.1%	32.7%	74.3%	38.9%	5.3%	-0.1%	-12.9M	-296.9M	-3.8M	2.31	16.58	11,112	25,659	309,324	497,964
2007-08-03	$43.39	$43.33	45.1%	12.9%	35.3%	100.0%	43.9%	7.0%	-1.5%	-21.5M	40.9M	-4.0M	2.36	49.57	15,435	36,501	311,883	510,702
2007-08-06	$43.73	$46.00	45.9%	12.2%	35.0%	100.0%	42.4%	6.2%	-2.5%	-23.8M	11.6M	-3.9M	2.83	5.40	18,393	52,008	316,602	520,968
2007-08-07	$43.42	$45.33	40.5%	11.6%	34.9%	76.7%	39.4%	6.1%	-1.2%	-29.4M	55.4M	-3.8M	1.65	6.41	17,970	29,739	320,613	525,969
2007-08-08	$45.30	$45.00	37.0%	10.8%	38.3%	61.6%	36.2%	6.0%	-0.0%	-17.4M	-304.1M	-3.7M	0.45	7.30	32,223	14,538	330,576	530,280
2007-08-09	$43.59	$45.00	41.7%	11.7%	39.8%	82.1%	40.5%	6.3%	-0.9%	-26.5M	-452.5K	-3.8M	2.36	6.30	9,891	23,346	348,315	523,560
2007-08-10	$43.48	$45.00	44.7%	12.5%	39.7%	94.7%	42.6%	6.9%	-3.1%	-28.9M	36.4M	-3.8M	1.46	6.66	12,273	17,967	350,580	527,928
2007-08-13	$43.22	$45.00	38.1%	11.2%	39.6%	66.5%	37.9%	6.2%	-0.8%	-39.7M	48.3M	-3.5M	2.58	7.68	11,061	28,494	353,832	537,768
2007-08-14	$42.62	$45.00	40.4%	11.6%	39.7%	76.2%	39.2%	6.4%	-1.5%	-47.8M	243.0M	-3.5M	1.65	7.91	28,479	46,941	357,876	550,710
2007-08-15	$40.86	$45.00	43.4%	12.4%	41.7%	89.0%	42.0%	5.1%	-2.5%	-40.4M	627.4M	-3.5M	2.83	23.35	36,333	102,858	368,229	559,275
2007-08-16	$39.91	$44.00	46.1%	13.2%	41.5%	100.0%	44.8%	4.8%	-3.7%	-36.2M	850.0M	-3.6M	2.00	14.46	46,665	93,561	380,745	602,160
2007-08-17	$41.47	$44.00	45.1%	12.9%	44.5%	95.9%	45.6%	7.1%	-2.3%	-46.0M	511.6M	-3.7M	2.46	10.25	16,686	41,031	406,902	601,083
2007-08-20	$42.47	$44.00	43.8%	12.6%	43.8%	90.5%	43.3%	7.3%	-1.8%	-6.5M	-30.9M	-3.7M	1.53	7.64	12,939	19,764	221,802	290,445
2007-08-21	$43.00	$44.00	47.2%	13.5%	43.6%	100.0%	46.5%	9.1%	-2.8%	-5.0M	-72.9M	-3.8M	1.09	7.00	18,693	20,358	228,972	295,116
2007-08-22	$45.97	$44.00	44.1%	12.6%	49.8%	87.3%	46.3%	8.4%	-1.6%	-1.8M	-332.8M	-3.8M	1.10	9.38	23,040	25,242	238,104	306,774
2007-08-23	$46.00	$44.00	44.1%	12.6%	47.5%	87.6%	45.7%	7.6%	-1.9%	-2.7M	-328.8M	-3.9M	1.76	10.03	12,159	21,351	242,883	323,136
2007-08-24	$47.88	$44.00	42.3%	12.1%	49.0%	80.1%	44.9%	6.4%	-1.1%	389.0K	-510.9M	-3.7M	1.82	16.17	16,458	29,907	247,011	325,665
2007-08-27	$51.02	$44.00	54.1%	15.5%	51.9%	100.0%	56.2%	8.0%	-2.4%	231.6K	-705.8M	-3.6M	1.48	12.78	61,830	91,548	248,571	337,095
2007-08-28	$46.90	$45.00	57.2%	16.4%	60.8%	100.0%	57.9%	9.2%	-5.2%	-6.0M	-275.3M	-4.4M	1.76	12.96	41,835	73,764	274,113	399,597
2007-08-29	$49.36	$45.33	54.6%	15.6%	62.9%	92.5%	56.1%	9.4%	-3.1%	-3.1M	-533.6M	-4.5M	0.83	9.25	24,288	20,043	296,343	422,487
2007-08-30	$48.83	$45.67	54.2%	15.5%	63.0%	91.3%	54.9%	9.2%	-2.3%	-4.2M	-463.0M	-4.6M	0.86	12.07	17,250	14,922	303,048	430,131
2007-08-31	$50.10	$45.67	49.0%	14.0%	60.6%	76.2%	51.4%	7.2%	-0.7%	-488.0K	-655.4M	-4.4M	1.81	17.22	27,480	49,680	314,505	437,148