FXI Options History — September 2008

In September 2008, FXI traded between $30.88 and $41.33. ATM implied volatility averaged 57.4%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 9.7% (HV 20d: 67.0%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2008-09-22: Highest Volume — 91,950 contracts
2008-09-29: Largest IV spike — 48.5% change
2008-09-29: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.74	$30.88	$41.33	$41.33	$34.47
Max Pain	$38.24	$36.00	$42.00	$42.00	$36.00
ATM IV	57.4%	39.0%	95.6%	39.0%	87.0%
Expected Move	16.5%	11.2%	27.4%	11.2%	24.9%
HV 20d	67.0%	40.2%	115.9%	41.1%	115.9%
HV 60d	51.7%	39.4%	74.1%	40.8%	74.1%
IV Rank	57.7%	15.1%	100.0%	15.1%	86.2%
IV Percentile	68.1%	18.7%	100.0%	18.7%	99.6%
Term Structure	-4.5%	-18.2%	0.9%	0.4%	-13.4%
VWIV	57.0%	38.2%	94.9%	38.2%	87.5%
Skew 25d	7.4%	2.7%	15.6%	4.0%	12.4%
Skew 10d	12.9%	5.0%	25.6%	7.9%	19.8%
Call IV 25d	54.1%	37.4%	88.8%	37.4%	79.9%
Put IV 25d	61.4%	41.4%	104.3%	41.4%	92.3%
Bid-Ask Spread %	19.65	9.79	52.12	12.92	26.40
Gamma HHI	0.12	0.10	0.13	0.11	0.12
Net GEX	4.3M	-5.3M	17.1M	7.2M	11.4M
Net DEX	74.8M	-312.1M	532.8M	-116.3M	-97.5M
Net VEX	-3.3M	-4.4M	-2.1M	-2.9M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.08	1.77	1.77	0.64
Total Volume	46,637.333	16,336	91,950	37,060	32,870
Total OI	649,489.429	462,014	816,864	462,014	796,929

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
2008-09-02	$41.33	$42.00	39.0%	11.2%	41.1%	15.1%	38.2%	4.0%	0.4%	7.2M	-116.3M	-2.9M	1.77	12.92	13,383	23,677	269,157	192,857
2008-09-03	$40.19	$42.00	39.4%	11.3%	41.1%	16.2%	39.0%	4.7%	0.1%	1.6M	37.3M	-2.9M	1.10	9.79	11,467	12,634	271,882	217,848
2008-09-04	$38.20	$42.00	41.4%	11.9%	43.8%	21.6%	41.4%	4.0%	0.9%	-3.5M	226.3M	-2.7M	0.82	10.91	16,352	13,441	279,890	227,891
2008-09-05	$39.17	$40.00	40.3%	11.9%	41.2%	18.5%	41.6%	6.8%	0.6%	-2.2M	159.1M	-2.9M	0.76	14.46	18,701	14,132	288,962	237,094
2008-09-08	$39.64	$40.00	41.8%	12.0%	40.2%	22.5%	42.2%	6.3%	-0.8%	135.4K	82.6M	-3.2M	0.26	13.88	12,997	3,339	306,043	248,982
2008-09-09	$37.56	$40.00	46.3%	12.9%	43.6%	34.4%	43.4%	5.3%	-0.5%	-5.3M	287.5M	-2.8M	0.36	17.22	15,794	5,747	300,339	249,465
2008-09-10	$38.10	$40.00	45.7%	13.1%	42.9%	32.7%	44.3%	4.9%	-1.5%	-4.4M	238.8M	-2.9M	0.08	16.34	68,548	5,336	308,182	251,965
2008-09-11	$37.31	$38.00	47.4%	13.6%	43.2%	37.2%	47.7%	6.3%	-1.8%	-933.1K	258.6M	-3.0M	0.42	15.43	34,896	14,653	366,749	256,160
2008-09-12	$37.43	$38.00	46.1%	13.2%	43.3%	33.7%	45.7%	6.7%	-1.4%	669.1K	227.8M	-3.0M	0.46	12.10	30,347	13,854	392,311	268,367
2008-09-15	$34.84	$38.00	54.0%	15.5%	49.3%	54.5%	54.5%	2.7%	-3.1%	-1.1M	413.2M	-2.7M	0.62	11.26	30,521	18,833	413,492	278,676
2008-09-16	$35.40	$38.00	54.6%	15.7%	49.6%	56.2%	53.2%	6.5%	-3.4%	-994.7K	394.6M	-2.7M	0.33	18.01	46,426	15,124	427,498	282,632
2008-09-17	$30.88	$38.00	70.3%	20.1%	67.9%	97.1%	69.3%	3.1%	-9.2%	810.6K	532.8M	-2.1M	0.24	22.37	58,167	13,808	450,632	284,426
2008-09-18	$35.08	$37.00	69.7%	20.0%	81.2%	95.5%	68.6%	13.9%	-9.0%	3.0M	223.9M	-3.2M	0.46	48.05	48,428	22,290	490,213	289,269
2008-09-19	$39.06	$36.00	61.3%	17.6%	90.9%	73.7%	61.3%	8.1%	-5.8%	8.8M	-310.8M	-3.9M	0.30	29.60	54,495	16,183	520,406	296,458
2008-09-22	$36.62	$36.00	68.5%	19.7%	93.3%	92.6%	66.3%	8.7%	-9.3%	10.4M	-207.6M	-3.5M	0.35	18.90	68,308	23,642	385,747	190,874
2008-09-23	$35.75	$37.00	68.4%	19.6%	93.5%	92.2%	68.0%	9.1%	-6.0%	12.7M	-168.9M	-3.8M	0.40	17.25	35,019	14,026	453,947	210,798
2008-09-24	$36.20	$37.00	65.0%	18.6%	93.1%	83.2%	64.2%	9.6%	-6.2%	14.2M	-213.3M	-3.9M	0.69	18.35	21,373	14,661	472,795	219,790
2008-09-25	$37.18	$36.00	58.9%	16.9%	92.7%	67.3%	60.4%	7.2%	-1.8%	17.1M	-312.1M	-4.3M	0.72	15.32	28,021	20,282	488,520	230,129
2008-09-26	$36.15	$36.00	64.3%	18.4%	92.9%	81.6%	65.5%	8.8%	-4.9%	14.8M	-211.2M	-4.4M	0.89	11.86	11,785	10,460	507,207	248,242
2008-09-29	$30.88	$36.00	95.6%	27.4%	107.0%	100.0%	94.9%	15.6%	-18.2%	6.6M	126.3M	-3.5M	0.41	52.12	32,180	13,184	509,388	257,066
2008-09-30	$34.47	$36.00	87.0%	24.9%	115.9%	86.2%	87.5%	12.4%	-13.4%	11.4M	-97.5M	-4.3M	0.64	26.40	20,047	12,823	531,710	265,219