FXI Options History — May 2009

In May 2009, FXI traded between $32.27 and $37.37. ATM implied volatility averaged 45.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 6.4% (HV 20d: 52.2%). Max pain ranged from $29.00 to $34.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.96.

Notable Days

2009-05-21: Highest Volume — 136,039 contracts
2009-05-11: Largest IV spike — 19.5% change
2009-05-11: Highest IV Rank — 18.2%
2009-05-11: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.87	$32.27	$37.37	$32.27	$37.37
Max Pain	$32.70	$29.00	$34.00	$29.00	$34.00
ATM IV	45.8%	40.8%	54.0%	47.0%	41.0%
Expected Move	13.2%	11.7%	14.8%	13.5%	11.8%
HV 20d	52.2%	39.2%	56.2%	39.2%	50.1%
HV 60d	57.5%	52.3%	59.6%	57.0%	52.3%
IV Rank	11.0%	6.6%	18.2%	12.0%	6.8%
IV Percentile	32.3%	20.2%	46.0%	36.9%	20.6%
Term Structure	-0.7%	-3.0%	0.6%	0.3%	-0.5%
VWIV	47.0%	42.2%	53.8%	48.8%	42.5%
Skew 25d	7.7%	6.3%	9.6%	8.6%	7.6%
Skew 10d	14.7%	10.7%	19.2%	19.2%	13.7%
Call IV 25d	42.2%	37.3%	47.9%	42.6%	37.5%
Put IV 25d	49.9%	44.8%	55.4%	51.2%	45.1%
Bid-Ask Spread %	11.59	8.55	14.32	8.55	11.63
Gamma HHI	0.12	0.10	0.14	0.10	0.11
Net GEX	3.6M	-10.0M	15.5M	6.3M	788.7K
Net DEX	-907.8M	-1.58B	-325.0M	-813.2M	-837.7M
Net VEX	-6.9M	-7.4M	-6.4M	-7.0M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.54	7.80	1.21	1.62
Total Volume	56,781.65	13,116	136,039	13,116	93,681
Total OI	1,472,815.85	1,130,423	1,846,702	1,537,621	1,331,182

Daily Data (20 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
2009-05-01	$32.27	$29.00	47.0%	13.5%	39.2%	12.0%	48.8%	8.6%	0.3%	6.3M	-813.2M	-7.0M	1.21	8.55	5,930	7,186	727,780	809,841
2009-05-04	$35.16	$31.00	48.6%	13.8%	49.1%	13.5%	48.7%	8.9%	-0.5%	10.7M	-1.44B	-6.4M	0.58	14.27	58,131	33,452	723,857	805,987
2009-05-05	$34.30	$32.00	48.8%	13.8%	50.3%	13.7%	46.7%	8.1%	-0.4%	11.4M	-1.26B	-6.7M	0.57	12.00	47,240	26,794	744,972	834,118
2009-05-06	$35.43	$32.00	48.9%	13.6%	50.3%	13.7%	49.2%	8.5%	-0.8%	15.5M	-1.50B	-6.7M	1.46	13.61	29,040	42,408	776,208	849,325
2009-05-07	$34.35	$32.00	49.7%	14.5%	52.1%	14.4%	50.6%	9.6%	-2.3%	11.4M	-1.21B	-7.1M	0.91	12.59	14,160	12,871	776,404	875,535
2009-05-08	$35.91	$32.00	45.2%	13.8%	52.3%	10.5%	48.6%	7.8%	-1.7%	15.5M	-1.58B	-6.8M	0.54	12.53	27,161	14,759	780,835	866,619
2009-05-11	$34.36	$32.00	54.0%	14.8%	55.2%	18.2%	53.7%	8.2%	-3.0%	14.1M	-1.26B	-6.8M	4.67	14.32	8,692	40,586	793,429	875,527
2009-05-12	$34.37	$32.00	50.6%	14.5%	55.1%	15.2%	49.9%	8.4%	-2.2%	12.3M	-1.23B	-6.9M	0.81	11.24	22,714	18,377	788,793	907,119
2009-05-13	$33.58	$33.00	47.5%	14.6%	54.9%	12.5%	53.8%	7.5%	-2.0%	10.1M	-1.04B	-6.9M	7.80	10.61	10,109	78,882	805,161	916,055
2009-05-14	$33.77	$33.00	47.8%	13.7%	54.9%	12.8%	49.2%	6.9%	-0.6%	5.7M	-1.06B	-7.0M	1.57	13.66	35,950	56,278	806,254	979,846
2009-05-15	$33.68	$33.00	44.9%	12.9%	54.5%	10.2%	46.6%	7.2%	0.0%	-129.4K	-1.05B	-7.0M	3.04	11.35	16,173	49,170	824,888	1,021,814
2009-05-18	$35.66	$33.00	41.9%	12.0%	56.2%	7.6%	42.2%	6.4%	0.5%	-3.8M	-533.1M	-6.8M	0.93	9.94	28,513	26,544	488,097	642,326
2009-05-19	$35.80	$33.00	42.6%	12.2%	55.7%	8.2%	45.0%	6.8%	0.0%	-2.3M	-574.4M	-6.9M	1.63	12.77	15,749	25,626	502,412	654,574
2009-05-20	$35.38	$33.00	43.0%	12.3%	54.1%	8.5%	43.0%	6.3%	0.6%	-3.2M	-515.5M	-6.9M	2.31	8.68	10,374	23,923	508,815	657,593
2009-05-21	$34.73	$34.00	45.3%	13.0%	54.6%	10.5%	48.4%	7.8%	-0.4%	-5.8M	-372.2M	-7.0M	3.39	11.99	30,995	105,044	516,728	672,062
2009-05-22	$34.69	$34.00	42.8%	12.3%	54.4%	8.4%	44.5%	6.6%	-0.0%	-10.0M	-325.0M	-7.4M	1.85	10.50	7,061	13,066	538,729	753,347
2009-05-26	$35.12	$34.00	42.6%	12.2%	51.3%	8.2%	42.7%	8.1%	-0.4%	-7.7M	-426.3M	-7.2M	1.21	10.89	8,954	10,826	541,345	749,622
2009-05-27	$35.36	$34.00	43.3%	12.4%	50.8%	8.8%	43.5%	7.4%	-0.2%	-6.3M	-479.0M	-7.2M	1.10	10.99	16,155	17,803	545,985	752,842
2009-05-28	$36.16	$34.00	40.8%	11.7%	49.2%	6.6%	43.1%	7.5%	0.6%	-3.2M	-636.7M	-7.0M	1.92	9.78	15,485	29,771	549,053	761,238
2009-05-29	$37.37	$34.00	41.0%	11.8%	50.1%	6.8%	42.5%	7.6%	-0.5%	788.7K	-837.7M	-6.9M	1.62	11.63	35,771	57,910	550,789	780,393