FXI Options History — March 2010

In March 2010, FXI traded between $40.02 and $42.26. ATM implied volatility averaged 26.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.7% (HV 20d: 22.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.36.

Notable Days

2010-03-31: Highest Volume — 220,771 contracts
2010-03-11: Largest IV spike — 13.8% change
2010-03-15: Highest IV Rank — 14.5%
2010-03-04: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.14	$40.02	$42.26	$40.59	$42.10
Max Pain	$40.61	$40.00	$41.00	$40.00	$41.00
ATM IV	26.1%	23.2%	28.4%	28.3%	23.2%
Expected Move	7.6%	6.7%	8.2%	8.1%	6.7%
HV 20d	22.4%	18.2%	31.7%	31.7%	19.5%
HV 60d	27.4%	27.0%	28.0%	27.4%	27.6%
IV Rank	8.0%	1.6%	14.5%	11.8%	1.6%
IV Percentile	6.5%	0.8%	12.3%	9.9%	0.8%
Term Structure	1.1%	-0.2%	2.4%	0.8%	2.4%
VWIV	27.5%	23.4%	30.7%	29.6%	23.4%
Skew 25d	4.0%	3.0%	4.8%	4.3%	3.0%
Skew 10d	8.5%	6.1%	11.4%	8.2%	6.3%
Call IV 25d	24.8%	22.1%	27.0%	27.0%	22.1%
Put IV 25d	28.7%	25.1%	31.3%	31.3%	25.1%
Bid-Ask Spread %	3.58	2.97	4.40	3.72	3.08
Gamma HHI	0.09	0.08	0.11	0.10	0.10
Net GEX	-28.6M	-80.2M	3.7M	-24.8M	-19.1M
Net DEX	140.5M	-284.8M	962.8M	132.7M	36.1M
Net VEX	-10.7M	-11.8M	-9.8M	-9.8M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.36	0.92	4.82	1.20	1.13
Total Volume	103,951.913	38,011	220,771	134,968	220,771
Total OI	2,029,190.13	1,743,086	2,336,099	1,743,086	2,164,396

Daily Data (23 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
2010-03-01	$40.59	$40.00	28.3%	8.1%	31.7%	11.8%	29.6%	4.3%	0.8%	-24.8M	132.7M	-9.8M	1.20	3.72	61,226	73,742	556,268	1,186,818
2010-03-02	$40.90	$40.00	28.2%	8.1%	30.0%	11.6%	29.4%	3.7%	1.0%	-21.4M	26.5M	-10.1M	2.00	4.09	45,981	91,923	595,552	1,228,238
2010-03-03	$40.78	$40.00	27.5%	7.9%	29.9%	10.2%	28.3%	3.3%	1.0%	-26.9M	118.9M	-10.5M	4.82	3.55	21,609	104,130	616,316	1,304,495
2010-03-04	$40.16	$40.00	28.4%	8.2%	30.5%	12.2%	29.0%	4.3%	1.2%	-39.9M	423.9M	-10.5M	4.57	3.72	10,383	47,449	606,752	1,286,564
2010-03-05	$41.18	$40.00	25.6%	8.0%	26.1%	6.1%	29.0%	4.6%	0.0%	-23.9M	6.3M	-10.1M	1.59	3.94	44,185	70,167	604,044	1,281,065
2010-03-08	$41.32	$40.00	26.1%	7.9%	25.4%	7.3%	29.3%	4.2%	-0.2%	-16.4M	-91.9M	-10.0M	2.86	3.62	14,377	41,146	629,004	1,320,735
2010-03-09	$41.41	$40.00	25.1%	7.6%	24.8%	5.1%	28.5%	4.2%	0.3%	-18.9M	-90.4M	-10.1M	2.99	4.40	9,521	28,490	633,687	1,358,339
2010-03-10	$41.51	$41.00	24.6%	7.7%	22.4%	4.2%	28.8%	4.3%	0.2%	-15.7M	-141.2M	-9.9M	1.02	3.58	47,698	48,725	626,362	1,352,627
2010-03-11	$41.35	$41.00	28.0%	8.0%	22.5%	11.7%	29.5%	4.8%	-0.1%	-19.3M	-54.9M	-10.4M	4.15	3.53	24,524	101,752	660,734	1,385,725
2010-03-12	$41.24	$41.00	28.2%	8.1%	20.8%	14.5%	30.7%	4.6%	-0.1%	-22.7M	47.6M	-11.0M	1.00	3.63	54,659	54,681	677,706	1,467,549
2010-03-15	$40.75	$41.00	28.2%	8.1%	19.9%	14.5%	30.6%	4.5%	0.1%	-25.6M	217.2M	-11.0M	3.78	3.56	15,397	58,252	721,997	1,489,981
2010-03-16	$40.96	$41.00	27.7%	7.9%	19.3%	13.0%	28.5%	4.3%	1.1%	-23.0M	141.4M	-11.0M	2.21	3.58	21,874	48,268	728,308	1,531,063
2010-03-17	$41.62	$41.00	26.5%	7.6%	19.9%	9.9%	26.9%	3.9%	0.9%	3.7M	-284.8M	-10.7M	1.14	3.04	30,769	35,147	732,789	1,545,146
2010-03-18	$41.42	$41.00	26.7%	7.7%	20.1%	10.5%	27.0%	4.2%	1.0%	1.1M	-190.2M	-10.6M	1.50	3.69	44,176	66,161	735,290	1,552,343
2010-03-19	$41.08	$40.00	26.1%	7.5%	19.1%	8.9%	26.5%	3.8%	1.2%	-20.4M	-26.2M	-10.8M	0.99	3.73	44,999	44,671	747,102	1,588,997
2010-03-22	$41.11	$40.00	24.6%	7.1%	19.2%	5.1%	25.5%	4.0%	1.7%	-41.7M	357.6M	-10.7M	3.72	3.42	19,137	71,229	574,824	1,214,226
2010-03-23	$41.24	$41.00	24.3%	7.0%	18.3%	4.2%	25.6%	3.6%	1.7%	-48.3M	345.5M	-10.6M	2.12	3.98	42,836	90,752	585,422	1,269,635
2010-03-24	$40.76	$41.00	24.8%	7.1%	18.2%	5.6%	27.2%	3.7%	2.0%	-59.7M	560.1M	-11.3M	4.47	3.67	18,071	80,843	609,131	1,322,583
2010-03-25	$40.02	$41.00	25.8%	7.4%	19.3%	8.2%	25.2%	3.9%	1.9%	-80.2M	962.8M	-11.4M	1.52	3.03	41,391	63,038	606,348	1,352,320
2010-03-26	$40.83	$41.00	24.4%	7.0%	19.8%	4.4%	25.7%	3.3%	2.3%	-62.7M	605.9M	-11.6M	2.42	3.63	27,827	67,280	640,490	1,392,451
2010-03-29	$41.62	$41.00	23.6%	6.8%	19.0%	2.3%	24.3%	4.3%	2.2%	-40.3M	233.9M	-11.6M	0.92	3.14	48,512	44,605	660,417	1,421,012
2010-03-30	$42.26	$41.00	23.5%	6.7%	19.5%	2.2%	24.6%	3.1%	1.9%	-12.7M	-105.7M	-11.4M	2.23	2.97	46,039	102,481	681,604	1,424,918
2010-03-31	$42.10	$41.00	23.2%	6.7%	19.5%	1.6%	23.4%	3.0%	2.4%	-19.1M	36.1M	-11.8M	1.13	3.08	103,673	117,098	707,091	1,457,305