FXI Options History — September 2009

In September 2009, FXI traded between $38.41 and $43.80. ATM implied volatility averaged 33.0%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.3% (HV 20d: 27.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.76.

Notable Days

2009-09-03: Highest Volume — 211,194 contracts
2009-09-02: Largest IV drop — 12.9% change
2009-09-01: Highest IV Rank — 4.7%
2009-09-01: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.77	$38.41	$43.80	$38.41	$40.92
Max Pain	$39.95	$39.00	$42.00	$42.00	$40.00
ATM IV	33.0%	30.5%	39.2%	39.2%	31.5%
Expected Move	9.6%	8.7%	11.3%	11.3%	9.0%
HV 20d	27.7%	23.9%	31.1%	24.5%	27.0%
HV 60d	31.7%	29.6%	33.2%	32.5%	29.6%
IV Rank	1.6%	0.0%	4.7%	4.7%	0.8%
IV Percentile	2.1%	0.0%	11.1%	11.1%	1.2%
Term Structure	1.6%	0.2%	3.4%	0.7%	3.2%
VWIV	34.7%	31.7%	39.1%	39.1%	32.3%
Skew 25d	5.4%	4.3%	6.8%	5.1%	4.7%
Skew 10d	11.0%	8.5%	13.3%	9.7%	8.5%
Call IV 25d	31.1%	28.1%	36.9%	36.9%	29.7%
Put IV 25d	36.5%	33.2%	42.0%	42.0%	34.4%
Bid-Ask Spread %	10.24	7.07	13.88	9.92	9.36
Gamma HHI	0.09	0.08	0.15	0.09	0.09
Net GEX	-21.8M	-48.7M	28.6M	-44.4M	-41.6M
Net DEX	-684.8M	-1.51B	438.1M	438.1M	-356.8M
Net VEX	-10.5M	-11.9M	-9.5M	-10.8M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.76	0.59	8.41	2.93	3.25
Total Volume	73,918.714	32,322	211,194	146,262	75,464
Total OI	2,268,962.476	2,001,581	2,479,289	2,001,581	2,298,694

Daily Data (21 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
2009-09-01	$38.41	$42.00	39.2%	11.3%	24.5%	4.7%	39.1%	5.1%	0.7%	-44.4M	438.1M	-10.8M	2.93	9.92	37,226	109,036	806,838	1,194,743
2009-09-02	$38.72	$41.00	34.2%	9.8%	23.9%	0.2%	34.5%	4.7%	2.9%	-48.7M	366.1M	-11.2M	5.67	7.07	17,156	97,189	832,270	1,256,875
2009-09-03	$39.68	$41.00	33.1%	9.5%	25.8%	0.0%	34.5%	5.4%	3.4%	-48.0M	99.9M	-11.4M	8.41	8.24	22,436	188,758	838,935	1,318,455
2009-09-04	$41.13	$39.00	31.5%	10.2%	29.2%	0.0%	37.2%	6.4%	1.9%	-38.8M	-372.7M	-11.9M	1.68	9.30	24,348	40,907	851,485	1,482,790
2009-09-08	$42.36	$39.00	34.3%	10.3%	31.1%	2.4%	38.3%	6.8%	1.2%	-18.2M	-843.1M	-11.3M	2.25	13.88	26,198	59,042	864,253	1,466,483
2009-09-09	$42.17	$39.00	30.9%	9.8%	30.8%	0.0%	35.9%	6.0%	1.4%	-20.6M	-796.6M	-11.0M	3.51	11.36	13,133	46,131	856,872	1,469,499
2009-09-10	$42.58	$39.00	32.9%	9.4%	31.0%	1.7%	36.4%	5.9%	1.6%	-13.7M	-947.3M	-10.6M	3.52	11.94	12,660	44,538	861,126	1,483,825
2009-09-11	$42.39	$39.00	34.0%	9.7%	31.0%	2.6%	35.6%	5.6%	1.6%	-17.8M	-885.7M	-10.6M	3.18	12.74	11,785	37,500	864,229	1,504,017
2009-09-14	$42.41	$40.00	34.0%	9.7%	30.2%	2.6%	37.1%	4.8%	1.4%	-18.4M	-908.7M	-10.3M	2.57	11.81	20,327	52,200	868,929	1,515,284
2009-09-15	$42.29	$40.00	33.1%	9.5%	24.1%	1.8%	34.8%	5.8%	1.2%	-24.9M	-865.5M	-10.2M	0.97	10.56	20,181	19,478	873,953	1,543,290
2009-09-16	$43.80	$40.00	30.5%	8.7%	25.7%	0.0%	32.5%	4.3%	2.3%	28.6M	-1.51B	-9.5M	0.87	9.35	30,257	26,198	881,707	1,549,663
2009-09-17	$43.56	$40.00	32.7%	9.4%	25.9%	1.9%	33.5%	5.1%	1.3%	27.3M	-1.39B	-9.7M	0.59	12.85	41,395	24,624	887,511	1,557,692
2009-09-18	$43.36	$40.00	32.8%	9.4%	25.8%	2.0%	34.3%	5.6%	1.4%	-1.4M	-1.29B	-9.8M	1.00	10.91	32,891	32,734	908,417	1,570,872
2009-09-21	$42.78	$40.00	31.6%	9.1%	26.5%	0.9%	32.3%	5.3%	1.5%	-14.1M	-1.03B	-9.8M	1.55	11.30	22,323	34,530	748,550	1,313,085
2009-09-22	$43.14	$40.00	30.8%	8.8%	26.2%	0.3%	32.9%	5.1%	1.4%	-9.9M	-1.17B	-9.7M	2.94	10.07	13,398	39,356	766,405	1,344,124
2009-09-23	$42.32	$40.00	32.3%	9.3%	27.4%	1.6%	31.7%	5.2%	0.4%	-19.4M	-909.8M	-9.9M	3.58	8.03	16,659	59,659	776,694	1,371,078
2009-09-24	$41.20	$40.00	33.6%	9.6%	29.1%	2.7%	33.3%	5.5%	0.2%	-32.9M	-470.3M	-10.7M	1.56	9.53	22,710	35,360	785,577	1,407,955
2009-09-25	$41.23	$40.00	33.4%	9.6%	29.1%	2.5%	35.3%	5.9%	1.2%	-33.0M	-470.1M	-10.9M	3.24	8.51	14,199	46,020	795,570	1,420,166
2009-09-28	$41.37	$40.00	33.5%	9.6%	28.7%	2.5%	34.8%	4.5%	1.7%	-33.5M	-536.3M	-10.6M	2.72	7.70	8,684	23,638	799,160	1,447,693
2009-09-29	$41.36	$40.00	32.3%	9.3%	28.2%	1.5%	32.8%	5.1%	1.8%	-33.4M	-529.3M	-10.6M	1.97	10.61	17,516	34,449	804,043	1,459,405
2009-09-30	$40.92	$40.00	31.5%	9.0%	27.0%	0.8%	32.3%	4.7%	3.2%	-41.6M	-356.8M	-10.8M	3.25	9.36	17,746	57,718	814,218	1,484,476