FXI Options History — May 2008

In May 2008, FXI traded between $49.86 and $54.55. ATM implied volatility averaged 35.9%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.2% (HV 20d: 35.8%). Max pain ranged from $51.00 to $53.33. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2008-05-07: Highest Volume — 80,889 contracts
2008-05-07: Largest IV spike — 15.2% change
2008-05-12: Highest IV Rank — 31.9%
2008-05-09: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.82	$49.86	$54.55	$54.05	$50.73
Max Pain	$52.08	$51.00	$53.33	$51.00	$51.00
ATM IV	35.9%	33.2%	40.4%	36.9%	33.2%
Expected Move	10.4%	9.5%	11.5%	10.6%	9.5%
HV 20d	35.8%	32.0%	39.7%	37.5%	32.1%
HV 60d	50.9%	49.2%	52.1%	51.8%	49.2%
IV Rank	22.1%	16.1%	31.9%	24.3%	16.2%
IV Percentile	20.7%	13.5%	29.0%	23.8%	13.5%
Term Structure	0.7%	-1.4%	2.9%	0.6%	2.0%
VWIV	37.0%	32.7%	40.4%	38.0%	33.9%
Skew 25d	5.8%	4.8%	6.8%	6.4%	5.1%
Skew 10d	11.4%	8.6%	14.2%	11.4%	9.3%
Call IV 25d	33.7%	30.7%	37.1%	34.0%	31.2%
Put IV 25d	39.6%	36.2%	43.3%	40.4%	36.3%
Bid-Ask Spread %	8.79	6.17	12.69	12.11	12.47
Gamma HHI	0.06	0.04	0.11	0.04	0.05
Net GEX	-1.2M	-12.5M	23.9M	11.0M	-8.3M
Net DEX	12.6M	-603.8M	400.1M	-474.8M	241.2M
Net VEX	-9.6M	-10.2M	-9.1M	-10.2M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.39	3.07	0.57	0.86
Total Volume	43,457.143	8,583	80,889	44,256	8,583
Total OI	1,313,486.286	1,018,527	1,560,195	1,378,380	1,133,607

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
2008-05-01	$54.05	$51.00	36.9%	10.6%	37.5%	24.3%	38.0%	6.4%	0.6%	11.0M	-474.8M	-10.2M	0.57	12.11	28,128	16,128	640,047	738,333
2008-05-02	$54.55	$51.00	33.7%	9.7%	37.1%	17.3%	35.7%	6.0%	2.9%	14.7M	-600.0M	-9.9M	0.94	12.69	31,305	29,454	642,999	734,358
2008-05-05	$54.05	$53.33	33.9%	10.4%	36.8%	17.7%	38.7%	4.8%	0.8%	13.2M	-504.2M	-9.8M	1.06	6.17	31,920	33,885	657,189	750,867
2008-05-06	$54.41	$53.33	33.7%	10.2%	35.0%	17.2%	37.3%	5.3%	0.2%	12.7M	-603.8M	-10.0M	0.81	7.78	19,911	16,092	668,136	784,791
2008-05-07	$51.22	$53.33	38.8%	11.0%	39.7%	28.5%	39.6%	6.3%	-0.5%	-4.9M	213.0M	-10.0M	1.04	7.22	39,696	41,193	669,885	788,580
2008-05-08	$51.98	$53.33	36.3%	10.9%	38.4%	22.9%	38.0%	6.4%	-0.2%	-3.0M	30.9M	-10.1M	1.96	6.44	12,468	24,375	681,132	800,613
2008-05-09	$50.67	$53.33	37.8%	11.5%	39.0%	26.3%	40.2%	6.1%	-1.4%	-9.5M	345.7M	-10.0M	1.73	7.87	23,925	41,280	682,647	801,261
2008-05-12	$50.92	$53.33	40.4%	11.2%	38.2%	31.9%	40.4%	6.4%	-0.4%	-11.8M	346.5M	-9.7M	1.76	7.78	20,346	35,838	691,395	820,152
2008-05-13	$51.63	$53.00	37.8%	10.6%	38.2%	26.2%	37.9%	6.8%	0.6%	-7.7M	123.9M	-9.9M	1.17	7.30	18,441	21,582	699,603	836,007
2008-05-14	$52.01	$52.00	33.3%	10.2%	36.5%	16.3%	36.8%	5.9%	0.9%	-4.3M	-16.2M	-9.7M	1.39	8.08	17,847	24,858	706,932	843,225
2008-05-15	$52.73	$52.00	34.6%	9.9%	35.9%	19.3%	35.1%	5.3%	1.4%	12.0M	-269.8M	-9.6M	0.39	8.81	26,145	10,269	709,002	842,667
2008-05-16	$52.91	$51.67	33.5%	9.6%	35.6%	16.9%	34.5%	5.9%	1.8%	23.9M	-371.4M	-9.5M	0.54	9.28	25,395	13,608	718,938	841,257
2008-05-19	$52.98	$51.67	33.2%	9.5%	35.4%	16.1%	32.7%	5.5%	0.5%	-915.2K	-111.0M	-9.3M	0.51	10.01	36,657	18,798	445,572	572,955
2008-05-20	$50.80	$52.00	37.3%	10.7%	38.8%	25.0%	37.6%	5.3%	-0.1%	-4.3M	167.7M	-9.4M	0.69	8.70	24,882	17,247	464,343	584,181
2008-05-21	$50.71	$51.67	37.6%	10.8%	32.5%	25.8%	37.7%	5.8%	-0.1%	-3.8M	161.2M	-9.4M	2.53	7.96	10,923	27,648	472,179	589,542
2008-05-22	$51.18	$51.67	36.0%	10.3%	32.0%	22.3%	36.8%	5.5%	0.8%	-7.0M	182.9M	-9.5M	3.07	8.30	4,431	13,593	474,672	610,659
2008-05-23	$49.86	$51.67	37.1%	10.6%	32.9%	24.8%	36.6%	5.5%	1.2%	-11.9M	400.1M	-9.3M	0.68	8.50	24,789	16,923	474,141	619,263
2008-05-27	$50.06	$51.33	37.5%	10.8%	32.9%	25.6%	37.0%	6.1%	0.8%	-9.6M	340.1M	-9.2M	1.20	8.62	20,373	24,345	487,404	621,786
2008-05-28	$49.98	$51.00	35.7%	10.2%	32.9%	21.6%	35.8%	6.0%	1.9%	-12.5M	392.2M	-9.3M	1.12	8.33	12,303	13,734	496,371	640,668
2008-05-29	$50.68	$51.00	35.8%	10.3%	33.2%	21.8%	36.4%	5.7%	0.7%	-12.4M	271.1M	-9.1M	2.49	10.22	9,525	23,757	497,553	648,300
2008-05-30	$50.73	$51.00	33.2%	9.5%	32.1%	16.2%	33.9%	5.1%	2.0%	-8.3M	241.2M	-9.3M	0.86	12.47	4,620	3,963	498,900	634,707