FXI Options History — July 2009

In July 2009, FXI traded between $36.51 and $42.87. ATM implied volatility averaged 38.2%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.9% (HV 20d: 34.3%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.38.

Notable Days

2009-07-23: Highest Volume — 165,974 contracts
2009-07-23: Largest IV spike — 7.5% change
2009-07-30: Highest IV Rank — 6.4%
2009-07-07: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.54	$36.51	$42.87	$38.72	$41.86
Max Pain	$37.14	$36.00	$38.00	$38.00	$38.00
ATM IV	38.2%	34.0%	43.2%	37.1%	40.1%
Expected Move	11.1%	9.7%	12.4%	10.7%	11.5%
HV 20d	34.3%	31.5%	37.3%	31.5%	34.7%
HV 60d	41.7%	37.4%	43.1%	42.5%	37.4%
IV Rank	2.7%	0.0%	6.4%	0.8%	5.4%
IV Percentile	7.3%	0.0%	21.8%	1.6%	14.7%
Term Structure	1.6%	-0.4%	3.6%	1.8%	1.5%
VWIV	39.6%	34.0%	44.0%	38.1%	40.8%
Skew 25d	6.2%	4.5%	7.8%	6.7%	4.5%
Skew 10d	12.7%	10.5%	15.4%	12.9%	11.4%
Call IV 25d	36.0%	31.4%	39.9%	34.9%	38.2%
Put IV 25d	42.3%	36.9%	47.6%	41.6%	42.7%
Bid-Ask Spread %	9.06	6.16	11.03	10.26	9.42
Gamma HHI	0.11	0.07	0.20	0.09	0.08
Net GEX	10.6M	-17.9M	44.0M	2.1M	17.9M
Net DEX	-964.1M	-1.78B	-147.6M	-742.9M	-1.44B
Net VEX	-8.8M	-9.9M	-8.0M	-9.2M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.15	7.13	0.60	1.24
Total Volume	76,092.182	18,939	165,974	67,181	55,901
Total OI	1,690,226.818	1,451,466	1,889,585	1,633,515	1,819,659

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
2009-07-01	$38.72	$38.00	37.1%	10.7%	31.5%	0.8%	38.1%	6.7%	1.8%	2.1M	-742.9M	-9.2M	0.60	10.26	42,066	25,115	736,093	897,422
2009-07-02	$37.44	$38.00	39.4%	11.3%	33.0%	2.8%	40.4%	5.5%	1.6%	-5.4M	-423.3M	-9.4M	1.76	11.03	6,859	12,080	772,258	913,432
2009-07-06	$38.17	$36.00	41.2%	11.9%	33.6%	4.4%	42.5%	7.5%	1.3%	296.9K	-603.1M	-9.0M	1.00	9.05	16,683	16,628	768,206	909,942
2009-07-07	$36.80	$37.00	43.2%	12.4%	35.7%	6.2%	44.0%	7.8%	1.0%	-11.7M	-227.4M	-9.0M	1.26	10.17	23,778	30,017	773,354	918,718
2009-07-08	$36.51	$37.00	41.2%	12.3%	35.6%	4.4%	43.8%	7.6%	1.4%	-14.9M	-147.6M	-9.0M	1.07	8.71	25,769	27,673	784,708	931,544
2009-07-09	$37.15	$37.00	39.1%	11.8%	34.5%	2.5%	42.4%	7.7%	1.8%	-7.8M	-320.0M	-9.0M	7.13	6.16	10,982	78,289	797,324	949,230
2009-07-10	$36.87	$37.00	38.8%	11.7%	33.1%	2.2%	41.4%	6.7%	2.0%	-13.0M	-226.6M	-8.9M	1.76	10.59	23,477	41,410	793,457	957,127
2009-07-13	$36.71	$37.00	39.8%	11.9%	32.9%	3.1%	42.7%	7.0%	1.5%	-17.9M	-180.7M	-8.8M	2.70	9.91	20,166	54,514	806,684	973,631
2009-07-14	$37.42	$37.00	37.2%	11.2%	31.8%	0.8%	39.3%	7.0%	2.6%	-3.7M	-397.1M	-8.7M	0.15	10.58	116,927	17,543	808,384	974,497
2009-07-15	$39.02	$37.00	38.9%	11.0%	33.7%	2.3%	39.9%	6.4%	2.7%	41.1M	-1.17B	-8.8M	0.35	8.05	98,046	34,712	894,700	981,535
2009-07-16	$38.73	$37.00	37.1%	10.6%	33.9%	0.7%	35.8%	6.6%	3.4%	44.0M	-1.03B	-8.8M	0.38	6.43	54,421	20,422	896,407	993,178
2009-07-17	$39.34	$37.00	36.1%	10.3%	34.1%	0.0%	36.8%	5.7%	3.6%	32.8M	-1.27B	-8.7M	0.71	8.31	44,287	31,499	900,333	987,688
2009-07-20	$40.92	$37.00	34.0%	9.7%	36.5%	0.0%	34.0%	5.5%	1.6%	15.8M	-1.27B	-8.2M	0.76	9.68	16,159	12,328	685,544	765,951
2009-07-21	$40.72	$37.00	34.3%	9.8%	34.0%	0.2%	35.7%	5.7%	1.1%	15.8M	-1.21B	-8.2M	1.64	8.63	23,507	38,457	686,225	765,241
2009-07-22	$40.42	$37.00	34.1%	9.8%	34.0%	0.1%	35.8%	6.1%	2.2%	14.8M	-1.16B	-8.3M	2.45	10.20	9,350	22,912	696,699	781,883
2009-07-23	$42.06	$37.00	36.6%	10.5%	35.1%	2.3%	36.9%	5.2%	0.7%	16.5M	-1.49B	-8.0M	0.63	8.55	101,810	64,164	702,223	792,694
2009-07-24	$42.26	$37.00	36.6%	10.5%	34.1%	2.3%	40.0%	4.6%	1.3%	20.8M	-1.59B	-8.6M	0.44	8.78	42,269	18,651	775,026	825,540
2009-07-27	$42.67	$37.00	37.1%	10.6%	34.1%	2.7%	38.5%	5.7%	0.6%	23.5M	-1.71B	-8.5M	0.64	8.14	25,539	16,357	794,457	828,526
2009-07-28	$42.87	$37.00	37.5%	10.8%	34.0%	3.1%	39.6%	5.1%	0.7%	25.9M	-1.78B	-8.6M	0.83	7.50	67,087	55,575	820,779	830,953
2009-07-29	$41.26	$37.00	40.3%	11.6%	37.0%	5.6%	42.1%	6.4%	0.6%	19.6M	-1.34B	-9.2M	2.25	8.40	50,710	114,024	843,756	865,564
2009-07-30	$42.00	$38.00	41.3%	11.8%	37.3%	6.4%	40.5%	5.7%	-0.4%	16.5M	-1.47B	-9.7M	0.65	10.89	39,897	25,968	849,344	935,074
2009-07-31	$41.86	$38.00	40.1%	11.5%	34.7%	5.4%	40.8%	4.5%	1.5%	17.9M	-1.44B	-9.9M	1.24	9.42	24,973	30,928	871,991	947,668