FXI Options History — March 2009

In March 2009, FXI traded between $22.80 and $30.16. ATM implied volatility averaged 61.0%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 5.3% (HV 20d: 66.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2009-03-19: Highest Volume — 312,724 contracts
2009-03-30: Largest IV spike — 15.3% change
2009-03-02: Highest IV Rank — 32.8%
2009-03-02: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.58	$22.80	$30.16	$22.80	$28.53
Max Pain	$25.32	$25.00	$27.00	$27.00	$25.00
ATM IV	61.0%	52.8%	70.7%	70.7%	56.3%
Expected Move	17.2%	15.1%	20.3%	20.3%	16.1%
HV 20d	66.3%	54.9%	71.8%	54.9%	70.4%
HV 60d	62.5%	59.9%	65.5%	63.9%	63.5%
IV Rank	24.3%	17.2%	32.8%	32.8%	20.2%
IV Percentile	58.6%	46.0%	75.0%	75.0%	49.2%
Term Structure	-0.9%	-5.5%	1.9%	-5.5%	1.9%
VWIV	59.8%	52.9%	69.5%	69.5%	59.0%
Skew 25d	11.6%	9.7%	14.1%	14.1%	9.8%
Skew 10d	22.8%	19.5%	30.9%	30.9%	20.9%
Call IV 25d	54.6%	48.5%	65.6%	65.6%	53.5%
Put IV 25d	66.1%	58.9%	79.6%	79.6%	63.4%
Bid-Ask Spread %	13.05	9.79	16.75	12.39	10.95
Gamma HHI	0.17	0.10	0.24	0.10	0.19
Net GEX	12.9M	-1.0M	33.8M	-1.0M	19.0M
Net DEX	-341.1M	-1.05B	355.1M	355.1M	-712.5M
Net VEX	-5.6M	-6.8M	-4.3M	-4.3M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.06	1.50	0.62	0.35
Total Volume	82,094.364	23,795	312,724	98,821	23,795
Total OI	1,364,824.091	1,143,150	1,809,218	1,143,150	1,379,383

Daily Data (22 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
2009-03-02	$22.80	$27.00	70.7%	20.3%	54.9%	32.8%	69.5%	14.1%	-5.5%	-1.0M	355.1M	-4.3M	0.62	12.39	61,101	37,720	603,331	539,819
2009-03-03	$23.30	$27.00	67.5%	19.3%	55.7%	30.0%	61.3%	13.8%	-4.1%	-786.4K	331.4M	-4.6M	0.43	13.84	45,774	19,821	621,511	560,522
2009-03-04	$25.46	$27.00	65.1%	18.7%	64.2%	27.9%	62.6%	11.8%	-3.7%	4.8M	-486.4K	-5.3M	0.62	11.98	59,397	36,688	648,590	569,771
2009-03-05	$23.99	$26.00	68.6%	19.7%	66.6%	31.0%	69.3%	14.1%	-2.9%	1.7M	211.4M	-4.9M	0.63	13.12	71,871	45,564	661,982	588,680
2009-03-06	$24.00	$25.00	67.0%	18.3%	64.9%	29.6%	64.3%	13.7%	-1.3%	1.4M	238.9M	-5.0M	0.80	14.85	31,728	25,469	696,010	623,089
2009-03-09	$23.68	$25.00	70.0%	18.4%	61.9%	32.2%	63.7%	13.8%	-1.1%	429.5K	296.5M	-4.9M	0.69	15.59	15,216	10,452	706,367	633,156
2009-03-10	$25.61	$25.00	64.9%	16.9%	69.3%	27.7%	60.3%	12.6%	0.0%	5.8M	-34.5M	-5.4M	0.51	16.75	27,196	13,784	708,640	636,680
2009-03-11	$25.10	$25.00	67.8%	17.9%	67.4%	30.3%	65.4%	12.3%	-2.0%	4.9M	36.7M	-5.2M	1.12	13.92	13,682	15,317	718,954	643,462
2009-03-12	$25.97	$25.00	58.8%	16.9%	68.7%	22.4%	56.3%	10.8%	-0.2%	8.0M	-123.0M	-5.4M	0.14	14.49	69,708	9,601	720,512	647,851
2009-03-13	$26.44	$25.00	58.4%	16.8%	68.7%	22.1%	58.7%	10.9%	-0.5%	13.5M	-275.6M	-5.6M	0.33	10.92	101,634	33,058	778,391	650,094
2009-03-16	$27.09	$25.00	59.4%	17.0%	69.1%	22.9%	60.5%	11.5%	-0.3%	19.8M	-523.6M	-5.7M	0.50	12.11	43,146	21,411	830,899	653,431
2009-03-17	$27.49	$25.00	58.1%	16.6%	63.4%	21.7%	59.4%	11.2%	-0.3%	22.3M	-635.1M	-5.7M	0.60	11.61	31,455	18,751	835,256	655,908
2009-03-18	$27.70	$25.00	57.0%	16.3%	62.9%	20.8%	54.8%	10.3%	-0.4%	23.8M	-721.1M	-5.7M	0.06	13.10	105,243	6,666	848,894	665,371
2009-03-19	$27.21	$25.00	59.6%	17.1%	63.4%	23.1%	57.2%	10.9%	-0.9%	33.8M	-699.6M	-5.6M	0.99	12.08	157,394	155,330	925,233	663,122
2009-03-20	$26.42	$25.00	59.2%	17.0%	64.0%	22.7%	57.5%	11.3%	-1.6%	16.4M	-396.6M	-6.8M	0.91	11.82	75,536	68,993	1,030,803	778,415
2009-03-23	$29.09	$25.00	54.1%	15.5%	71.8%	18.3%	54.0%	10.4%	0.0%	17.4M	-823.7M	-6.1M	0.65	13.24	48,423	31,625	736,534	521,997
2009-03-24	$28.49	$25.00	58.1%	16.7%	70.4%	21.8%	56.8%	10.5%	-0.6%	17.9M	-727.6M	-6.1M	0.95	12.91	14,252	13,576	756,187	520,135
2009-03-25	$28.64	$25.00	53.6%	15.4%	69.6%	17.9%	52.9%	9.7%	0.6%	19.0M	-752.2M	-6.1M	0.27	15.04	53,503	14,367	758,334	525,461
2009-03-26	$30.16	$25.00	53.5%	15.3%	70.2%	17.7%	55.1%	10.5%	1.1%	20.3M	-1.05B	-6.1M	1.14	13.39	30,367	34,536	771,757	535,489
2009-03-27	$29.70	$25.00	52.8%	15.1%	69.9%	17.2%	53.6%	10.1%	1.6%	19.5M	-950.5M	-6.2M	1.50	13.11	21,325	31,895	772,447	557,073
2009-03-30	$27.79	$25.00	60.9%	17.5%	70.3%	24.3%	62.6%	10.4%	-0.6%	16.7M	-553.3M	-6.1M	1.21	9.79	27,071	32,635	778,389	568,200
2009-03-31	$28.53	$25.00	56.3%	16.1%	70.4%	20.2%	59.0%	9.8%	1.9%	19.0M	-712.5M	-6.2M	0.35	10.95	17,675	6,120	795,715	583,668