FXI Options History — April 2010

In April 2010, FXI traded between $40.46 and $44.59. ATM implied volatility averaged 24.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.1% (HV 20d: 22.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2010-04-16: Highest Volume — 248,900 contracts
2010-04-15: Largest IV spike — 32.1% change
2010-04-27: Highest IV Rank — 31.5%
2010-04-27: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.72	$40.46	$44.59	$43.27	$40.84
Max Pain	$41.76	$41.00	$42.00	$42.00	$42.00
ATM IV	24.8%	20.1%	30.8%	22.5%	29.7%
Expected Move	7.5%	6.4%	8.8%	6.4%	8.5%
HV 20d	22.7%	19.1%	26.6%	20.5%	24.0%
HV 60d	26.4%	24.6%	27.9%	27.9%	25.3%
IV Rank	12.2%	0.0%	31.5%	0.0%	28.3%
IV Percentile	10.6%	0.0%	36.1%	0.0%	29.8%
Term Structure	1.7%	-0.1%	2.6%	2.6%	0.7%
VWIV	26.8%	22.8%	31.8%	22.8%	31.8%
Skew 25d	4.4%	2.7%	5.8%	2.7%	5.1%
Skew 10d	9.6%	6.1%	12.9%	6.1%	11.3%
Call IV 25d	24.5%	21.5%	28.1%	21.5%	28.1%
Put IV 25d	28.9%	24.2%	33.3%	24.2%	33.1%
Bid-Ask Spread %	2.82	2.37	3.43	3.32	3.43
Gamma HHI	0.11	0.08	0.19	0.10	0.10
Net GEX	-5.8M	-91.6M	98.8M	19.8M	-78.4M
Net DEX	-82.2M	-1.34B	1.42B	-604.2M	1.12B
Net VEX	-12.8M	-14.8M	-11.1M	-11.9M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.46	6.14	0.66	6.14
Total Volume	131,906.19	52,991	248,900	93,980	208,432
Total OI	2,479,455.333	2,284,953	2,716,113	2,300,569	2,716,113

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
2010-04-01	$43.27	$42.00	22.5%	6.4%	20.5%	0.0%	22.8%	2.7%	2.6%	19.8M	-604.2M	-11.9M	0.66	3.32	56,731	37,249	765,484	1,535,085
2010-04-05	$43.79	$41.00	22.8%	7.1%	19.1%	0.8%	25.0%	4.0%	1.5%	42.0M	-948.9M	-11.4M	0.89	2.72	36,066	32,209	786,847	1,541,102
2010-04-06	$43.84	$41.00	22.2%	7.2%	19.2%	0.0%	26.1%	4.5%	1.7%	39.2M	-928.2M	-11.1M	1.52	2.57	32,717	49,784	785,291	1,536,673
2010-04-07	$43.56	$41.00	23.2%	7.5%	19.4%	3.0%	27.0%	4.3%	1.6%	26.7M	-714.6M	-11.8M	1.01	3.26	60,751	61,464	804,296	1,566,413
2010-04-08	$43.77	$41.00	21.9%	7.5%	19.5%	0.0%	27.0%	3.9%	1.6%	41.2M	-897.4M	-11.3M	1.26	3.03	83,821	105,533	804,296	1,566,413
2010-04-09	$44.59	$41.00	20.5%	7.2%	20.1%	0.0%	25.9%	4.0%	2.1%	57.9M	-1.34B	-12.0M	1.53	2.38	95,237	145,767	879,193	1,623,057
2010-04-12	$43.99	$42.00	22.7%	7.6%	20.9%	6.6%	26.5%	4.3%	1.6%	66.4M	-998.2M	-12.3M	0.55	2.60	47,836	26,095	913,555	1,615,428
2010-04-13	$43.84	$42.00	22.5%	7.6%	20.3%	5.9%	27.4%	4.5%	1.9%	72.9M	-903.7M	-12.2M	1.96	2.97	40,321	79,173	930,568	1,617,295
2010-04-14	$44.28	$42.00	20.1%	7.5%	20.4%	0.0%	26.0%	4.3%	1.9%	73.9M	-1.17B	-12.3M	0.64	2.70	73,372	46,867	936,526	1,654,340
2010-04-15	$43.90	$42.00	26.6%	7.6%	20.3%	19.0%	26.9%	4.3%	2.1%	98.8M	-1.03B	-12.5M	1.13	2.85	91,332	102,787	971,784	1,668,239
2010-04-16	$42.31	$42.00	28.3%	8.1%	24.6%	24.2%	28.8%	5.8%	2.4%	-31.2M	280.8M	-13.7M	1.69	3.19	92,447	156,453	984,622	1,730,683
2010-04-19	$41.91	$42.00	27.6%	7.9%	24.7%	22.1%	28.7%	5.3%	1.4%	-46.4M	555.4M	-13.2M	1.06	3.05	49,779	52,732	849,973	1,434,980
2010-04-20	$42.59	$42.00	24.2%	6.9%	25.3%	11.9%	25.4%	4.4%	2.6%	-26.9M	149.0M	-13.0M	0.87	2.54	66,719	57,776	878,052	1,469,064
2010-04-21	$41.99	$42.00	25.2%	7.2%	25.9%	14.9%	25.8%	4.6%	1.8%	-48.4M	497.4M	-13.3M	1.34	2.67	51,761	69,131	912,780	1,496,737
2010-04-22	$42.18	$42.00	25.1%	7.2%	25.5%	14.6%	24.0%	3.9%	2.5%	-47.8M	409.7M	-13.6M	0.52	2.59	64,845	33,406	929,512	1,530,629
2010-04-23	$42.05	$42.00	24.4%	7.0%	24.5%	12.6%	25.2%	3.9%	2.4%	-53.5M	499.6M	-13.7M	1.22	2.37	23,855	29,136	926,606	1,547,999
2010-04-26	$42.07	$42.00	25.2%	7.2%	23.6%	15.0%	25.6%	4.1%	1.4%	-60.5M	508.9M	-13.3M	1.51	2.52	33,551	50,503	902,414	1,559,483
2010-04-27	$40.46	$42.00	30.8%	8.8%	26.6%	31.5%	30.6%	5.3%	-0.1%	-90.2M	1.42B	-13.6M	1.98	3.13	34,401	67,989	923,905	1,588,296
2010-04-28	$40.90	$42.00	27.9%	8.0%	26.3%	23.0%	28.2%	5.1%	0.7%	-86.2M	1.20B	-13.3M	1.31	2.85	83,051	108,387	926,414	1,601,636
2010-04-29	$40.98	$42.00	27.6%	7.9%	26.3%	22.0%	27.6%	4.3%	0.3%	-91.6M	1.17B	-14.4M	0.46	2.51	89,508	41,056	981,929	1,674,850
2010-04-30	$40.84	$42.00	29.7%	8.5%	24.0%	28.3%	31.8%	5.1%	0.7%	-78.4M	1.12B	-14.8M	6.14	3.43	29,182	179,250	1,043,277	1,672,836