FXI Options History — November 2008

In November 2008, FXI traded between $21.16 and $27.66. ATM implied volatility averaged 98.2%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 50.5% (HV 20d: 148.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2008-11-25: Highest Volume — 56,408 contracts
2008-11-04: Largest IV drop — 16.6% change
2008-11-20: Highest IV Rank — 70.7%
2008-11-20: Largest Expected Move — 32.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.98	$21.16	$27.66	$25.45	$26.59
Max Pain	$25.89	$25.00	$30.00	$30.00	$25.00
ATM IV	98.2%	81.2%	114.0%	97.3%	88.5%
Expected Move	27.6%	23.3%	32.7%	27.9%	25.4%
HV 20d	148.7%	124.3%	168.3%	158.4%	124.3%
HV 60d	124.2%	114.0%	132.8%	114.0%	132.6%
IV Rank	56.8%	42.0%	70.7%	56.1%	48.4%
IV Percentile	92.0%	85.3%	98.8%	93.3%	85.3%
Term Structure	-6.5%	-11.4%	0.2%	-5.9%	-0.3%
VWIV	95.7%	83.6%	108.4%	95.0%	92.9%
Skew 25d	19.2%	15.6%	22.6%	22.6%	17.3%
Skew 10d	37.5%	29.5%	41.7%	40.5%	38.1%
Call IV 25d	85.8%	72.5%	102.9%	83.3%	80.8%
Put IV 25d	105.0%	90.2%	121.5%	105.9%	98.1%
Bid-Ask Spread %	14.64	9.31	21.34	10.52	14.13
Gamma HHI	0.09	0.07	0.13	0.10	0.11
Net GEX	1.9M	-2.6M	5.4M	3.1M	3.1M
Net DEX	272.5M	62.5M	499.8M	300.3M	100.1M
Net VEX	-2.2M	-2.7M	-1.6M	-2.3M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.13	1.80	1.51	0.53
Total Volume	32,441.211	14,041	56,408	28,213	20,132
Total OI	925,140.158	668,080	1,076,687	913,375	761,181

Daily Data (19 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
2008-11-03	$25.45	$30.00	97.3%	27.9%	158.4%	56.1%	95.0%	22.6%	-5.9%	3.1M	300.3M	-2.3M	1.51	10.52	11,253	16,960	568,135	345,240
2008-11-04	$27.21	$30.00	81.2%	23.3%	159.4%	42.0%	83.6%	17.7%	-3.5%	4.5M	234.0M	-2.5M	0.73	11.65	8,118	5,923	573,991	358,419
2008-11-05	$24.65	$29.00	89.2%	25.6%	163.0%	49.0%	87.0%	18.8%	-4.9%	1.8M	323.1M	-2.2M	1.38	10.70	11,059	15,264	575,840	342,746
2008-11-06	$22.69	$28.00	100.6%	28.9%	163.4%	59.0%	101.0%	20.1%	-10.3%	39.4K	419.6M	-1.8M	1.80	9.31	10,753	19,388	578,194	352,115
2008-11-07	$25.60	$25.00	90.8%	24.4%	168.3%	50.4%	83.8%	19.9%	-6.0%	2.3M	282.7M	-2.3M	0.47	13.30	14,536	6,800	581,534	360,928
2008-11-10	$26.61	$25.00	101.6%	25.5%	154.1%	59.8%	89.3%	19.4%	-6.8%	3.8M	184.2M	-2.5M	0.68	14.94	18,911	12,846	588,204	362,662
2008-11-11	$25.05	$25.00	106.1%	27.8%	154.5%	63.7%	94.3%	18.7%	-8.0%	2.1M	276.4M	-2.3M	0.98	21.34	10,686	10,498	597,000	367,335
2008-11-12	$24.08	$25.00	107.9%	28.1%	144.6%	65.3%	99.0%	20.9%	-10.4%	856.8K	341.9M	-2.1M	0.32	19.59	18,645	6,003	600,191	369,023
2008-11-13	$27.66	$25.00	93.5%	26.8%	150.3%	52.8%	101.7%	21.1%	-7.1%	5.4M	98.3M	-2.7M	1.13	13.07	21,293	24,047	599,484	369,958
2008-11-14	$25.15	$25.00	96.6%	27.7%	152.5%	55.5%	91.8%	19.9%	-8.5%	2.0M	259.1M	-2.3M	0.54	17.71	16,309	8,820	611,092	385,068
2008-11-17	$25.10	$25.00	100.6%	28.8%	149.2%	58.9%	98.8%	18.5%	-11.4%	1.6M	281.0M	-2.2M	0.30	17.30	27,415	8,108	616,968	390,110
2008-11-18	$24.28	$25.00	108.1%	31.0%	145.4%	65.5%	106.5%	21.8%	-11.3%	371.0K	326.1M	-2.1M	0.57	14.24	16,002	9,144	637,059	393,845
2008-11-19	$22.28	$25.00	110.5%	31.7%	143.0%	67.6%	104.4%	20.6%	-9.7%	-1.7M	453.1M	-1.8M	0.96	14.25	19,125	18,270	641,981	394,239
2008-11-20	$21.16	$25.00	114.0%	32.7%	144.0%	70.7%	108.4%	18.6%	-11.2%	-2.6M	499.8M	-1.6M	0.53	16.80	19,082	10,198	655,617	405,032
2008-11-21	$24.46	$25.00	99.5%	28.5%	148.5%	58.0%	104.5%	16.2%	-6.7%	2.6M	360.0M	-2.1M	0.77	13.50	31,361	24,016	666,038	410,649
2008-11-24	$24.93	$25.00	91.9%	26.3%	142.2%	51.3%	89.3%	16.9%	-2.0%	1.3M	187.9M	-2.1M	0.13	16.30	41,632	5,460	386,761	281,319
2008-11-25	$24.41	$25.00	97.9%	28.1%	127.5%	56.5%	96.5%	15.6%	0.2%	1.8M	186.3M	-2.1M	0.58	16.26	35,634	20,774	418,597	283,433
2008-11-26	$27.23	$25.00	89.3%	25.6%	132.1%	49.0%	91.6%	19.7%	-0.3%	3.5M	62.5M	-2.7M	0.74	13.30	24,100	17,818	450,100	297,575
2008-11-28	$26.59	$25.00	88.5%	25.4%	124.3%	48.4%	92.9%	17.3%	-0.3%	3.1M	100.1M	-2.6M	0.53	14.13	13,117	7,015	455,914	305,267