FXI Options History — April 2008

In April 2008, FXI traded between $46.81 and $53.45. ATM implied volatility averaged 45.2%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 10.5% (HV 20d: 55.7%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.16.

Notable Days

2008-04-22: Highest Volume — 181,356 contracts
2008-04-16: Largest IV drop — 9.5% change
2008-04-02: Highest IV Rank — 58.7%
2008-04-08: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.67	$46.81	$53.45	$48.40	$52.93
Max Pain	$49.59	$45.00	$51.00	$45.00	$50.33
ATM IV	45.2%	38.2%	51.3%	51.0%	38.2%
Expected Move	13.1%	10.9%	14.8%	14.6%	10.9%
HV 20d	55.7%	39.2%	70.7%	70.7%	39.2%
HV 60d	57.7%	53.8%	61.8%	61.5%	53.8%
IV Rank	43.6%	27.1%	58.7%	58.1%	27.1%
IV Percentile	44.1%	25.0%	65.1%	64.3%	25.0%
Term Structure	0.4%	-2.6%	2.7%	0.3%	-0.2%
VWIV	45.8%	37.7%	53.5%	53.5%	37.7%
Skew 25d	7.5%	5.3%	10.0%	10.0%	6.0%
Skew 10d	13.6%	9.1%	17.1%	16.6%	11.3%
Call IV 25d	42.1%	35.3%	47.1%	46.8%	35.3%
Put IV 25d	49.6%	41.3%	56.8%	56.8%	41.3%
Bid-Ask Spread %	9.71	6.81	16.38	13.66	9.37
Gamma HHI	0.07	0.04	0.19	0.06	0.05
Net GEX	11.3M	3.0M	32.9M	7.9M	8.4M
Net DEX	-101.6M	-402.6M	311.3M	-62.3M	-268.2M
Net VEX	-8.4M	-10.2M	-7.5M	-7.7M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.54	7.76	1.27	0.77
Total Volume	66,624.545	28,986	181,356	121,317	75,264
Total OI	1,288,916.318	1,007,142	1,458,561	1,165,407	1,357,407

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
2008-04-01	$48.40	$45.00	51.0%	14.6%	70.7%	58.1%	53.5%	10.0%	0.3%	7.9M	-62.3M	-7.7M	1.27	13.66	53,523	67,794	562,845	602,562
2008-04-02	$47.38	$45.00	51.3%	14.7%	69.4%	58.7%	51.9%	9.9%	0.2%	6.4M	108.9M	-7.7M	1.00	14.93	17,403	17,460	582,531	627,738
2008-04-03	$49.35	$45.00	48.8%	14.0%	70.6%	53.5%	49.9%	7.3%	1.7%	11.3M	-243.1M	-7.9M	0.93	13.09	44,133	41,262	586,671	636,681
2008-04-04	$48.87	$51.00	47.8%	14.2%	68.4%	51.5%	50.1%	7.8%	-1.6%	10.9M	-170.2M	-7.7M	0.84	9.69	27,669	23,265	596,772	654,513
2008-04-07	$50.00	$51.00	46.3%	14.0%	68.7%	48.4%	48.4%	8.5%	-0.7%	15.7M	-402.6M	-8.0M	0.58	8.44	29,796	17,316	613,755	663,888
2008-04-08	$48.68	$51.00	46.9%	14.8%	69.1%	49.8%	52.0%	8.7%	-2.6%	13.9M	-169.3M	-8.0M	2.16	7.83	16,818	36,270	625,410	667,674
2008-04-09	$46.97	$51.00	47.3%	14.6%	62.0%	50.4%	49.0%	8.1%	-1.6%	6.8M	212.3M	-7.7M	0.62	6.89	35,964	22,413	633,339	689,307
2008-04-10	$48.55	$50.00	48.2%	13.8%	61.1%	52.5%	47.1%	9.4%	-0.1%	14.3M	-102.6M	-8.2M	0.87	6.89	28,413	24,837	656,421	707,682
2008-04-11	$47.63	$50.00	48.5%	13.9%	60.8%	49.8%	49.0%	7.7%	-0.1%	12.0M	105.1M	-8.1M	0.73	8.67	24,354	17,799	666,915	717,429
2008-04-14	$46.81	$50.00	50.3%	14.4%	56.9%	53.7%	49.9%	7.9%	-1.6%	9.1M	311.3M	-7.6M	0.79	6.85	17,223	13,617	672,579	724,446
2008-04-15	$47.53	$50.00	47.7%	13.7%	56.4%	48.1%	45.6%	8.4%	-0.2%	14.9M	153.7M	-7.7M	0.54	7.86	24,081	12,972	681,156	729,405
2008-04-16	$49.19	$50.00	43.2%	12.4%	55.1%	38.1%	43.5%	7.1%	2.6%	28.5M	-312.8M	-7.8M	1.01	10.66	43,689	44,166	692,697	728,703
2008-04-17	$48.33	$50.00	43.9%	12.6%	47.8%	39.7%	43.8%	7.3%	2.2%	32.9M	-73.3M	-7.6M	0.92	9.99	33,519	30,810	701,904	742,947
2008-04-18	$49.12	$50.00	42.6%	12.2%	47.4%	36.8%	42.0%	7.1%	2.7%	14.7M	-360.3M	-7.6M	0.54	11.01	35,424	19,044	717,570	740,991
2008-04-21	$49.80	$50.00	39.6%	11.4%	47.4%	30.3%	40.9%	6.4%	1.4%	6.2M	79.7M	-7.6M	0.79	16.38	18,357	14,445	511,464	495,678
2008-04-22	$49.57	$50.00	42.3%	12.1%	45.1%	36.1%	42.4%	6.9%	1.5%	5.7M	103.4M	-7.5M	7.76	12.95	20,703	160,653	511,470	495,678
2008-04-23	$52.54	$50.33	45.5%	13.1%	47.3%	43.2%	44.9%	7.9%	1.1%	3.0M	-274.6M	-9.6M	0.55	6.81	87,303	47,937	528,675	651,639
2008-04-24	$53.45	$50.33	43.2%	12.4%	47.4%	38.0%	43.7%	5.7%	1.0%	6.1M	-325.2M	-10.1M	0.55	7.16	56,646	31,200	576,090	683,325
2008-04-25	$52.74	$50.33	41.2%	11.8%	47.3%	33.6%	41.3%	5.3%	1.5%	6.0M	-214.0M	-10.2M	0.71	7.47	16,953	12,033	598,467	698,178
2008-04-28	$52.45	$50.33	40.7%	11.7%	46.9%	32.6%	41.3%	5.5%	1.0%	6.4M	-173.6M	-10.0M	0.83	7.40	16,167	13,488	606,207	703,524
2008-04-29	$52.49	$50.33	39.1%	11.2%	40.3%	29.0%	39.4%	5.3%	0.2%	6.9M	-158.7M	-9.8M	0.86	9.63	39,648	33,909	607,437	706,389
2008-04-30	$52.93	$50.33	38.2%	10.9%	39.2%	27.1%	37.7%	6.0%	-0.2%	8.4M	-268.2M	-10.0M	0.77	9.37	42,579	32,685	631,683	725,724