FXI Options History — October 2008

In October 2008, FXI traded between $19.42 and $34.25. ATM implied volatility averaged 105.6%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 28.5% (HV 20d: 134.1%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2008-10-24: Highest Volume — 113,427 contracts
2008-10-13: Largest IV drop — 29.6% change
2008-10-06: Highest IV Rank — 100.0%
2008-10-24: Largest Expected Move — 32.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.34	$19.42	$34.25	$34.25	$25.16
Max Pain	$33.52	$30.00	$38.00	$36.00	$30.00
ATM IV	105.6%	84.4%	147.5%	85.9%	104.0%
Expected Move	27.9%	24.0%	32.7%	24.6%	29.8%
HV 20d	134.1%	114.8%	159.8%	115.7%	159.8%
HV 60d	91.6%	73.9%	114.6%	73.9%	114.2%
IV Rank	73.9%	45.8%	100.0%	84.5%	61.9%
IV Percentile	98.0%	94.0%	100.0%	99.2%	95.2%
Term Structure	-13.4%	-24.3%	-4.8%	-9.4%	-8.2%
VWIV	96.1%	84.4%	112.3%	86.8%	100.4%
Skew 25d	13.1%	5.9%	25.8%	10.9%	25.8%
Skew 10d	22.1%	10.4%	47.3%	18.3%	47.3%
Call IV 25d	90.3%	76.2%	108.3%	80.1%	89.9%
Put IV 25d	103.4%	87.5%	117.6%	91.0%	115.6%
Bid-Ask Spread %	23.03	10.50	58.90	23.33	10.84
Gamma HHI	0.12	0.10	0.17	0.11	0.10
Net GEX	4.0M	54.4K	11.6M	11.6M	3.2M
Net DEX	256.6M	-119.1M	452.7M	-119.1M	265.4M
Net VEX	-3.1M	-4.4M	-1.4M	-4.4M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.17	2.13	0.71	0.75
Total Volume	42,908.435	15,042	113,427	15,042	20,059
Total OI	903,487.391	751,076	1,012,902	817,516	908,569

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
2008-10-01	$34.25	$36.00	85.9%	24.6%	115.7%	84.5%	86.8%	10.9%	-9.4%	11.6M	-119.1M	-4.4M	0.71	23.33	8,785	6,257	543,218	274,298
2008-10-02	$32.71	$36.00	86.5%	24.8%	115.4%	85.4%	86.5%	8.7%	-9.2%	9.1M	26.3M	-4.0M	0.75	21.50	30,717	22,893	544,348	278,937
2008-10-03	$32.32	$36.00	84.4%	24.2%	114.8%	82.1%	84.9%	10.1%	-10.3%	8.5M	97.3M	-4.0M	0.48	26.64	32,882	15,693	566,092	299,316
2008-10-06	$30.10	$38.00	101.8%	24.8%	116.5%	100.0%	85.6%	17.3%	-15.4%	5.6M	234.9M	-3.6M	0.77	37.17	32,504	24,956	593,940	312,685
2008-10-07	$28.38	$36.00	108.1%	24.0%	116.7%	100.0%	86.3%	10.5%	-13.5%	3.5M	380.1M	-3.1M	2.13	30.45	9,971	21,266	614,199	328,358
2008-10-08	$28.09	$36.00	111.4%	26.3%	116.3%	100.0%	87.7%	10.9%	-18.4%	3.2M	352.7M	-3.2M	0.51	36.48	18,582	9,426	616,423	343,475
2008-10-09	$26.00	$35.00	121.4%	26.8%	118.3%	100.0%	92.8%	11.1%	-21.3%	1.9M	441.7M	-2.7M	0.44	58.90	14,407	6,339	627,994	347,244
2008-10-10	$27.43	$34.00	147.5%	32.3%	120.9%	100.0%	109.3%	16.1%	-24.3%	3.9M	278.4M	-3.4M	1.05	45.77	16,544	17,421	636,438	347,003
2008-10-13	$32.99	$34.00	103.8%	25.8%	138.1%	61.8%	90.7%	14.2%	-18.6%	9.1M	-48.4M	-4.4M	0.37	27.00	17,380	6,348	645,824	354,390
2008-10-14	$31.39	$34.00	109.7%	25.1%	138.9%	66.9%	86.9%	9.8%	-16.1%	6.2M	132.0M	-3.9M	0.37	24.34	24,502	9,060	644,956	353,977
2008-10-15	$26.73	$34.00	127.6%	27.0%	142.1%	82.5%	95.7%	10.4%	-19.0%	2.0M	426.3M	-2.8M	0.84	34.89	18,227	15,272	654,847	352,785
2008-10-16	$29.07	$34.00	95.8%	27.5%	137.4%	54.8%	97.4%	17.1%	-18.2%	3.3M	238.3M	-3.5M	0.59	16.95	13,939	8,213	664,508	338,874
2008-10-17	$27.37	$34.00	105.3%	30.2%	131.2%	63.0%	103.3%	12.4%	-22.0%	2.1M	304.5M	-3.2M	0.28	16.19	25,299	7,021	672,250	340,652
2008-10-20	$29.67	$33.00	93.1%	26.7%	134.4%	52.4%	94.0%	11.5%	-13.1%	4.3M	130.1M	-3.5M	0.29	19.85	58,142	16,609	459,814	291,262
2008-10-21	$26.78	$33.00	85.5%	24.5%	138.3%	45.8%	84.4%	7.5%	-4.8%	3.3M	293.4M	-2.9M	0.38	11.17	22,875	8,656	492,802	303,854
2008-10-22	$23.91	$32.00	102.7%	29.4%	142.2%	60.8%	101.1%	10.4%	-12.4%	1.9M	359.1M	-2.2M	1.19	12.45	29,003	34,426	485,990	298,505
2008-10-23	$24.05	$31.00	106.9%	30.6%	141.5%	64.4%	104.4%	15.8%	-13.7%	1.9M	358.4M	-2.3M	0.84	12.13	26,919	22,526	505,985	322,855
2008-10-24	$21.65	$31.00	113.9%	32.7%	144.6%	70.6%	112.3%	9.3%	-8.4%	945.0K	396.0M	-2.0M	1.02	12.56	56,258	57,169	518,877	337,547
2008-10-27	$19.42	$31.00	110.1%	31.6%	139.6%	67.3%	107.2%	5.9%	-6.9%	54.4K	452.7M	-1.4M	0.54	10.50	29,398	15,842	526,363	338,181
2008-10-28	$23.31	$31.00	108.7%	31.2%	150.7%	66.0%	100.1%	19.1%	-8.7%	1.8M	336.4M	-2.2M	0.48	12.06	33,347	16,092	538,667	332,127
2008-10-29	$22.49	$31.00	112.0%	32.1%	150.7%	68.9%	110.6%	14.7%	-8.8%	1.9M	336.6M	-2.3M	1.02	16.45	21,373	21,750	563,732	344,072
2008-10-30	$25.65	$31.00	103.0%	29.5%	159.7%	61.0%	102.4%	22.7%	-8.3%	3.6M	229.1M	-2.8M	0.17	11.99	53,632	8,914	570,635	343,342
2008-10-31	$25.16	$30.00	104.0%	29.8%	159.8%	61.9%	100.4%	25.8%	-8.2%	3.2M	265.4M	-2.5M	0.75	10.84	11,484	8,575	566,464	342,105