FXI Options History — February 2009

In February 2009, FXI traded between $24.31 and $28.47. ATM implied volatility averaged 60.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 1.5% (HV 20d: 58.6%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.24.

Notable Days

2009-02-06: Highest Volume — 182,689 contracts
2009-02-17: Largest IV spike — 19.3% change
2009-02-23: Highest IV Rank — 31.1%
2009-02-23: Largest Expected Move — 19.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.03	$24.31	$28.47	$24.99	$24.31
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	60.1%	53.3%	68.8%	63.8%	63.2%
Expected Move	17.3%	15.3%	19.7%	18.3%	18.1%
HV 20d	58.6%	51.0%	65.9%	62.2%	51.0%
HV 60d	77.3%	64.3%	91.4%	91.4%	64.3%
IV Rank	23.5%	17.6%	31.1%	26.7%	26.2%
IV Percentile	61.5%	51.6%	73.8%	65.9%	65.1%
Term Structure	-0.4%	-4.5%	4.5%	2.2%	-1.6%
VWIV	60.0%	53.6%	66.9%	62.3%	65.3%
Skew 25d	13.4%	10.3%	16.9%	13.8%	13.4%
Skew 10d	25.9%	19.8%	29.5%	25.3%	27.2%
Call IV 25d	54.4%	49.7%	60.5%	58.0%	56.1%
Put IV 25d	67.8%	60.1%	77.5%	71.8%	69.5%
Bid-Ask Spread %	11.72	6.39	16.54	6.45	12.45
Gamma HHI	0.11	0.09	0.13	0.09	0.10
Net GEX	2.4M	-3.1M	7.5M	3.0M	747.6K
Net DEX	17.2M	-321.4M	277.1M	48.9M	209.9M
Net VEX	-5.0M	-5.5M	-4.0M	-4.0M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.38	6.90	6.90	0.66
Total Volume	60,278.632	21,966	182,689	21,966	34,014
Total OI	1,197,402.053	957,554	1,451,934	957,554	1,130,287

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
2009-02-02	$24.99	$27.00	63.8%	18.3%	62.2%	26.7%	62.3%	13.8%	2.2%	3.0M	48.9M	-4.0M	6.90	6.45	2,779	19,187	562,989	394,565
2009-02-03	$25.53	$27.00	58.5%	16.8%	62.8%	22.1%	60.9%	12.1%	3.1%	3.4M	10.9M	-4.1M	0.87	6.39	33,179	28,762	562,296	406,848
2009-02-04	$26.21	$27.00	57.7%	16.5%	64.0%	21.4%	56.6%	10.3%	4.5%	4.5M	-57.8M	-4.3M	0.81	8.46	34,297	27,774	581,160	434,159
2009-02-05	$27.18	$27.00	57.3%	16.4%	61.1%	21.0%	56.3%	11.3%	3.8%	6.8M	-196.8M	-4.6M	3.03	7.72	23,056	69,807	605,623	455,558
2009-02-06	$28.47	$27.00	58.4%	17.4%	63.3%	22.0%	60.7%	15.7%	-2.9%	6.5M	-321.0M	-5.1M	0.74	14.27	104,860	77,829	621,961	519,205
2009-02-09	$28.25	$27.00	61.3%	17.5%	61.8%	24.5%	61.0%	13.8%	-3.4%	7.5M	-321.4M	-5.5M	0.91	14.32	34,547	31,413	690,974	571,892
2009-02-10	$26.86	$27.00	60.2%	17.6%	61.0%	23.6%	60.1%	12.8%	-1.1%	4.1M	-81.5M	-5.3M	1.06	12.52	23,564	25,031	689,258	575,361
2009-02-11	$26.98	$27.00	56.8%	16.5%	60.9%	20.6%	56.6%	12.7%	0.7%	3.5M	-62.8M	-5.4M	0.89	14.54	25,483	22,664	688,526	596,979
2009-02-12	$26.46	$27.00	59.2%	17.0%	60.4%	22.7%	56.8%	12.2%	-0.8%	1.5M	33.4M	-5.3M	1.01	16.54	22,244	22,516	699,362	614,096
2009-02-13	$26.81	$27.00	53.3%	15.3%	60.3%	17.6%	53.6%	10.3%	1.3%	2.6M	-23.9M	-5.3M	1.05	13.69	36,328	38,223	713,221	630,823
2009-02-17	$24.90	$27.00	63.7%	18.3%	65.9%	26.6%	63.2%	14.5%	-3.1%	-2.3M	277.1M	-4.9M	0.94	14.27	24,702	23,331	744,584	645,664
2009-02-18	$25.57	$27.00	60.6%	17.4%	58.0%	24.0%	63.4%	15.0%	-0.3%	-794.3K	169.1M	-5.1M	0.56	14.86	29,741	16,585	762,222	646,989
2009-02-19	$25.57	$27.00	58.3%	16.7%	54.6%	21.9%	54.3%	13.7%	0.0%	-803.3K	153.5M	-5.1M	0.38	12.22	56,184	21,580	771,593	647,975
2009-02-20	$25.14	$27.00	60.3%	17.3%	51.6%	23.7%	56.6%	14.5%	-0.6%	-3.1M	245.8M	-5.0M	0.38	11.61	41,848	15,726	796,197	655,737
2009-02-23	$24.80	$27.00	68.8%	19.7%	51.0%	31.1%	66.9%	16.9%	-4.5%	1.8M	106.0M	-5.0M	0.76	9.89	27,539	20,957	554,398	493,313
2009-02-24	$26.15	$27.00	62.9%	18.0%	54.3%	26.0%	64.3%	14.0%	-2.7%	3.6M	-53.7M	-5.4M	1.17	11.26	25,644	30,074	565,679	507,020
2009-02-25	$25.51	$27.00	58.9%	16.9%	55.0%	22.5%	61.7%	13.3%	0.1%	2.4M	37.7M	-5.2M	0.78	12.70	26,072	20,415	573,859	524,206
2009-02-26	$24.81	$27.00	59.6%	17.1%	54.2%	23.0%	59.2%	13.8%	-1.9%	1.4M	153.3M	-5.0M	0.63	8.53	16,764	10,575	584,192	531,868
2009-02-27	$24.31	$27.00	63.2%	18.1%	51.0%	26.2%	65.3%	13.4%	-1.6%	747.6K	209.9M	-4.9M	0.66	12.45	20,496	13,518	593,380	536,907