FXI Options History — February 2010

In February 2010, FXI traded between $37.17 and $39.84. ATM implied volatility averaged 30.8%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.9% (HV 20d: 33.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.49.

Notable Days

2010-02-05: Highest Volume — 211,074 contracts
2010-02-04: Largest IV spike — 24.1% change
2010-02-04: Highest IV Rank — 24.4%
2010-02-05: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.02	$37.17	$39.84	$39.56	$39.59
Max Pain	$40.21	$40.00	$41.00	$41.00	$40.00
ATM IV	30.8%	27.7%	34.4%	29.3%	28.1%
Expected Move	9.0%	7.9%	10.1%	8.4%	8.0%
HV 20d	33.7%	30.1%	38.5%	33.3%	30.6%
HV 60d	28.5%	27.4%	29.2%	28.0%	27.5%
IV Rank	16.9%	10.5%	24.4%	13.7%	11.2%
IV Percentile	20.2%	7.9%	40.5%	10.7%	8.7%
Term Structure	0.6%	-1.2%	3.0%	2.1%	1.2%
VWIV	32.6%	27.8%	36.3%	30.3%	28.8%
Skew 25d	5.8%	3.9%	7.6%	4.3%	4.7%
Skew 10d	12.2%	8.2%	15.9%	8.3%	9.2%
Call IV 25d	29.1%	26.2%	33.0%	28.0%	26.9%
Put IV 25d	34.9%	30.4%	40.0%	32.3%	31.6%
Bid-Ask Spread %	4.22	2.99	5.94	2.99	3.58
Gamma HHI	0.17	0.12	0.68	0.14	0.12
Net GEX	-92.2M	-318.9M	-38.9M	-77.3M	-42.4M
Net DEX	1.12B	541.7M	1.98B	1.08B	541.7M
Net VEX	-9.9M	-10.7M	-9.0M	-9.1M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	1.04	4.66	1.22	1.16
Total Volume	92,109.632	43,431	211,074	68,314	52,248
Total OI	1,799,568.526	1,511,228	2,125,989	1,511,228	1,734,203

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
2010-02-01	$39.56	$41.00	29.3%	8.4%	33.3%	13.7%	30.3%	4.3%	2.1%	-77.3M	1.08B	-9.1M	1.22	2.99	30,832	37,482	476,390	1,034,838
2010-02-02	$39.84	$41.00	27.8%	8.0%	32.3%	10.6%	27.8%	3.9%	2.6%	-77.0M	953.1M	-9.1M	4.47	3.26	17,056	76,219	494,958	1,031,770
2010-02-03	$39.84	$41.00	27.7%	7.9%	31.0%	10.5%	28.3%	4.3%	3.0%	-80.8M	1.00B	-9.3M	1.53	3.63	21,991	33,582	503,601	1,065,678
2010-02-04	$38.02	$41.00	34.4%	9.9%	33.7%	24.4%	35.8%	5.6%	1.7%	-78.6M	1.60B	-9.0M	3.07	3.78	49,452	151,998	510,353	1,073,106
2010-02-05	$37.57	$40.00	33.0%	10.1%	33.6%	21.5%	35.7%	7.1%	-1.2%	-83.9M	1.79B	-9.2M	1.35	5.94	89,654	121,420	536,773	1,154,053
2010-02-08	$37.17	$40.00	33.7%	10.0%	33.4%	22.9%	36.3%	6.8%	-0.5%	-84.9M	1.98B	-9.1M	2.45	4.98	46,501	113,927	581,365	1,205,086
2010-02-09	$38.46	$40.00	31.6%	9.9%	36.5%	18.6%	36.0%	7.6%	-0.8%	-93.7M	1.51B	-10.2M	3.10	5.04	20,352	63,154	628,145	1,284,522
2010-02-10	$38.63	$40.00	29.1%	9.4%	36.1%	13.4%	33.3%	7.1%	-0.0%	-98.7M	1.47B	-10.3M	3.29	5.19	24,647	81,005	632,365	1,310,785
2010-02-11	$39.68	$40.00	31.3%	9.0%	37.7%	17.9%	32.3%	6.8%	0.2%	-95.7M	1.00B	-10.7M	1.04	4.31	24,327	25,406	640,153	1,360,915
2010-02-12	$38.91	$40.00	32.6%	9.3%	38.1%	20.7%	34.9%	6.9%	0.5%	-104.4M	1.31B	-10.6M	2.11	4.90	18,519	39,077	648,618	1,367,184
2010-02-16	$39.56	$40.00	31.5%	9.0%	38.5%	18.4%	34.6%	6.0%	0.1%	-108.5M	1.03B	-10.3M	4.02	4.85	18,488	74,303	654,661	1,386,422
2010-02-17	$39.70	$40.00	31.5%	9.0%	36.5%	18.3%	33.9%	6.1%	0.1%	-110.5M	923.9M	-10.3M	2.04	4.71	22,513	45,857	660,141	1,426,482
2010-02-18	$39.71	$40.00	30.5%	8.7%	34.1%	16.2%	32.1%	5.8%	0.4%	-119.0M	923.5M	-10.2M	2.23	4.03	27,984	62,476	664,628	1,429,340
2010-02-19	$39.03	$40.00	31.0%	8.9%	31.9%	17.4%	31.6%	6.0%	0.3%	-318.9M	1.31B	-10.1M	1.48	4.07	39,358	58,173	674,184	1,451,805
2010-02-22	$39.16	$40.00	30.1%	8.6%	31.5%	15.6%	32.4%	5.3%	0.1%	-38.9M	644.9M	-9.9M	2.33	3.91	20,291	47,312	518,433	1,054,229
2010-02-23	$38.65	$40.00	30.7%	8.8%	31.3%	16.7%	32.5%	5.3%	0.5%	-46.9M	822.0M	-10.0M	2.63	3.66	24,550	64,496	532,085	1,088,452
2010-02-24	$39.32	$40.00	30.8%	8.8%	30.1%	16.8%	30.0%	6.0%	0.5%	-43.9M	647.0M	-10.3M	3.04	3.53	10,750	32,681	541,802	1,134,739
2010-02-25	$38.99	$40.00	30.0%	8.6%	30.2%	15.2%	32.5%	5.1%	0.8%	-47.6M	748.9M	-10.2M	4.66	3.81	10,955	51,047	546,458	1,153,080
2010-02-26	$39.59	$40.00	28.1%	8.0%	30.6%	11.2%	28.8%	4.7%	1.2%	-42.4M	541.7M	-10.1M	1.16	3.58	24,228	28,020	548,203	1,186,000