FXI Options History — November 2007

In November 2007, FXI traded between $54.50 and $69.44. ATM implied volatility averaged 59.3%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 11.0% (HV 20d: 70.3%). Max pain ranged from $61.67 to $71.67. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2007-11-08: Highest Volume — 145,668 contracts
2007-11-12: Largest IV spike — 25.2% change
2007-11-12: Highest IV Rank — 100.0%
2007-11-19: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.04	$54.50	$69.44	$69.44	$62.49
Max Pain	$65.30	$61.67	$71.67	$63.33	$61.67
ATM IV	59.3%	51.1%	71.4%	61.4%	53.5%
Expected Move	16.5%	15.3%	18.2%	17.6%	15.3%
HV 20d	70.3%	56.7%	80.8%	59.5%	78.4%
HV 60d	58.0%	51.7%	60.8%	52.5%	60.5%
IV Rank	75.3%	58.4%	100.0%	80.1%	63.4%
IV Percentile	93.0%	83.5%	100.0%	98.1%	83.5%
Term Structure	-1.6%	-4.1%	-0.0%	-2.4%	-1.8%
VWIV	58.0%	54.0%	64.6%	62.6%	54.7%
Skew 25d	5.4%	3.3%	7.5%	3.7%	6.7%
Skew 10d	8.3%	2.8%	14.7%	6.2%	12.4%
Call IV 25d	55.4%	50.0%	60.4%	60.4%	50.0%
Put IV 25d	60.8%	56.7%	67.2%	64.1%	56.7%
Bid-Ask Spread %	15.30	6.64	32.77	32.77	12.84
Gamma HHI	0.06	0.05	0.19	0.06	0.06
Net GEX	-15.5M	-37.4M	1.6M	-2.9M	1.6M
Net DEX	-350.4M	-1.51B	569.9M	-1.51B	-663.0M
Net VEX	-8.9M	-9.6M	-8.3M	-8.3M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.48	1.88	1.29	1.83
Total Volume	82,025	30,213	145,668	107,433	59,625
Total OI	1,228,247.714	949,926	1,515,264	1,220,184	1,106,094

Daily Data (21 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
2007-11-01	$69.44	$63.33	61.4%	17.6%	59.5%	80.1%	62.6%	3.7%	-2.4%	-2.9M	-1.51B	-8.3M	1.29	32.77	46,947	60,486	476,853	743,331
2007-11-02	$69.36	$63.33	56.6%	16.2%	56.7%	70.2%	57.3%	4.1%	-0.0%	-3.8M	-1.51B	-8.8M	1.23	29.96	33,267	40,872	493,563	773,625
2007-11-05	$63.27	$71.67	66.1%	17.4%	65.6%	89.7%	60.5%	4.0%	-2.2%	-18.3M	-642.1M	-8.8M	1.40	6.64	58,797	82,335	502,653	771,993
2007-11-06	$66.08	$70.00	57.4%	15.7%	66.9%	71.7%	54.7%	3.8%	-0.4%	-13.6M	-963.4M	-8.5M	0.92	7.90	42,003	38,778	497,067	795,933
2007-11-07	$62.93	$70.00	65.2%	16.4%	69.2%	87.9%	57.5%	3.3%	-1.7%	-22.6M	-463.7M	-8.7M	1.31	7.43	48,816	63,822	507,078	809,067
2007-11-08	$61.48	$70.00	59.8%	16.8%	69.7%	76.6%	59.5%	5.3%	-2.0%	-29.7M	-208.9M	-8.8M	1.88	10.71	50,634	95,034	526,593	827,025
2007-11-09	$60.67	$69.67	57.0%	15.8%	66.7%	70.9%	54.1%	4.3%	-2.4%	-32.3M	-64.5M	-8.7M	0.80	14.46	57,906	46,257	537,441	846,849
2007-11-12	$56.50	$70.00	71.4%	17.3%	70.6%	100.0%	60.6%	4.9%	-3.9%	-33.8M	569.9M	-8.6M	1.69	16.54	43,275	73,098	564,489	859,980
2007-11-13	$60.70	$66.67	64.4%	16.4%	76.0%	85.6%	56.7%	4.7%	-1.9%	-31.7M	-173.2M	-9.1M	1.04	11.25	51,339	53,139	578,763	875,052
2007-11-14	$62.56	$65.00	51.1%	15.8%	68.2%	58.4%	55.7%	4.4%	-0.7%	-26.7M	-571.6M	-9.1M	1.18	7.97	39,459	46,434	596,136	878,733
2007-11-15	$60.47	$65.00	57.5%	16.5%	68.4%	71.4%	57.2%	5.3%	-0.1%	-37.4M	-199.6M	-9.0M	1.55	12.15	26,040	40,407	606,240	892,362
2007-11-16	$59.46	$65.00	57.2%	16.4%	65.3%	70.9%	57.8%	5.5%	-1.7%	-18.1M	137.8M	-8.9M	1.68	13.88	33,390	55,947	616,629	898,635
2007-11-19	$56.52	$63.33	63.6%	18.2%	66.8%	84.0%	64.6%	6.9%	-4.1%	-8.4M	31.7M	-8.8M	1.36	17.16	29,130	39,624	402,030	547,896
2007-11-20	$59.13	$63.33	57.7%	16.6%	67.2%	72.0%	58.1%	6.5%	-1.2%	-7.6M	-223.1M	-9.1M	1.50	17.05	22,299	33,456	416,205	574,029
2007-11-21	$54.50	$63.33	60.9%	17.5%	72.1%	78.5%	61.1%	7.1%	-0.4%	-10.3M	149.3M	-8.7M	1.44	20.32	26,595	38,214	421,167	575,250
2007-11-23	$57.43	$63.33	60.1%	17.2%	75.4%	76.9%	59.8%	5.0%	-2.0%	-10.0M	35.0M	-8.9M	0.48	15.72	20,358	9,855	434,163	584,016
2007-11-26	$55.93	$61.67	59.4%	17.0%	75.3%	75.3%	59.5%	5.9%	-1.3%	-9.6M	139.1M	-8.7M	0.86	19.32	27,474	23,622	449,247	586,374
2007-11-27	$58.82	$61.67	56.3%	16.1%	77.2%	69.1%	56.7%	6.8%	-1.0%	-7.5M	-152.1M	-9.0M	1.16	19.72	26,058	30,237	450,780	597,120
2007-11-28	$62.33	$61.67	54.6%	15.6%	80.8%	65.5%	54.0%	7.5%	-1.4%	-3.2M	-524.4M	-9.5M	0.64	12.15	42,345	27,000	465,924	610,317
2007-11-29	$61.67	$61.67	53.9%	15.4%	79.5%	64.0%	54.5%	7.3%	-0.1%	-528.2K	-550.2M	-9.6M	0.66	15.41	22,983	15,168	483,528	612,972
2007-11-30	$62.49	$61.67	53.5%	15.3%	78.4%	63.4%	54.7%	6.7%	-1.8%	1.6M	-663.0M	-9.6M	1.83	12.84	21,099	38,526	491,289	614,805