FXI Options History — May 2010

In May 2010, FXI traded between $37.02 and $41.21. ATM implied volatility averaged 35.6%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.5% (HV 20d: 33.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.38.

Notable Days

2010-05-19: Highest Volume — 318,855 contracts
2010-05-20: Largest IV spike — 18.9% change
2010-05-20: Highest IV Rank — 87.2%
2010-05-20: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.92	$37.02	$41.21	$41.21	$39.38
Max Pain	$40.80	$40.00	$42.00	$42.00	$40.00
ATM IV	35.6%	27.6%	45.5%	27.6%	33.6%
Expected Move	10.2%	7.9%	13.0%	7.9%	9.6%
HV 20d	33.2%	23.8%	38.9%	23.8%	38.9%
HV 60d	26.4%	23.4%	28.9%	23.4%	28.8%
IV Rank	50.7%	22.0%	87.2%	22.0%	46.2%
IV Percentile	64.9%	19.8%	97.2%	19.8%	61.5%
Term Structure	-0.9%	-4.7%	0.9%	0.5%	0.1%
VWIV	36.1%	28.2%	44.2%	28.2%	32.6%
Skew 25d	9.2%	4.3%	15.4%	4.6%	7.3%
Skew 10d	20.6%	8.4%	34.8%	11.4%	16.1%
Call IV 25d	32.1%	25.6%	38.9%	25.6%	30.0%
Put IV 25d	41.3%	30.1%	54.3%	30.1%	37.3%
Bid-Ask Spread %	4.32	2.83	5.89	2.91	3.58
Gamma HHI	0.12	0.09	0.26	0.10	0.10
Net GEX	-109.5M	-154.2M	-47.8M	-99.1M	-51.1M
Net DEX	2.23B	889.2M	3.81B	1.14B	1.02B
Net VEX	-15.2M	-16.1M	-13.7M	-14.8M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.62	4.55	3.87	0.71
Total Volume	164,550.75	58,654	318,855	102,192	106,570
Total OI	3,016,485.6	2,443,004	3,618,977	2,857,165	2,515,266

Daily Data (20 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
2010-05-03	$41.21	$42.00	27.6%	7.9%	23.8%	22.0%	28.2%	4.6%	0.5%	-99.1M	1.14B	-14.8M	3.87	2.91	20,998	81,194	1,052,398	1,804,767
2010-05-04	$39.69	$42.00	32.7%	9.4%	26.7%	37.1%	34.1%	4.3%	-0.9%	-113.3M	1.99B	-14.4M	2.33	3.82	54,566	127,003	1,049,619	1,785,413
2010-05-05	$39.06	$42.00	34.8%	10.0%	27.0%	43.3%	36.7%	5.7%	-0.6%	-115.6M	2.32B	-14.4M	4.04	2.83	30,661	123,830	1,065,044	1,801,881
2010-05-06	$37.75	$42.00	40.1%	11.5%	28.5%	58.9%	39.9%	6.3%	-2.9%	-116.1M	3.02B	-13.7M	2.89	5.58	73,032	211,348	1,064,962	1,843,148
2010-05-07	$38.24	$41.00	41.4%	11.5%	27.9%	62.8%	41.0%	11.7%	-1.6%	-114.3M	2.79B	-15.0M	1.64	4.17	71,382	117,329	1,110,174	1,942,920
2010-05-10	$40.35	$41.00	33.8%	9.8%	35.3%	40.3%	36.2%	9.3%	-1.1%	-110.9M	1.57B	-16.0M	3.15	4.39	73,824	232,459	1,151,872	1,975,291
2010-05-11	$39.62	$41.00	34.3%	10.0%	35.6%	41.8%	36.6%	10.4%	-1.2%	-138.1M	2.20B	-16.1M	2.93	4.27	33,535	98,199	1,175,433	2,059,560
2010-05-12	$39.82	$41.00	29.7%	8.9%	35.4%	31.4%	33.0%	9.6%	0.0%	-152.5M	2.10B	-15.3M	1.63	4.90	26,394	42,912	1,167,605	2,084,485
2010-05-13	$39.61	$41.00	29.8%	8.5%	35.3%	33.3%	31.0%	8.0%	0.9%	-143.3M	2.13B	-15.0M	2.02	4.34	39,960	80,731	1,173,950	2,031,693
2010-05-14	$38.88	$41.00	34.3%	9.8%	33.7%	48.7%	36.3%	8.8%	-0.2%	-144.1M	2.67B	-15.1M	4.55	4.24	48,477	220,481	1,192,119	2,046,931
2010-05-17	$38.68	$41.00	32.6%	9.4%	33.7%	43.0%	33.9%	10.3%	0.5%	-154.2M	2.90B	-14.5M	2.30	4.41	52,339	120,241	1,217,520	2,118,838
2010-05-18	$38.44	$41.00	37.1%	10.7%	32.8%	58.5%	34.7%	10.8%	-1.1%	-142.8M	3.00B	-14.8M	1.10	4.20	40,480	44,345	1,243,845	2,149,565
2010-05-19	$38.37	$40.00	38.3%	11.0%	32.7%	62.4%	37.8%	12.6%	-1.4%	-137.6M	3.11B	-14.6M	1.95	4.68	108,237	210,618	1,264,358	2,146,397
2010-05-20	$37.02	$40.00	45.5%	13.0%	34.3%	87.2%	44.2%	15.4%	-4.7%	-131.3M	3.81B	-15.4M	3.55	5.89	37,340	132,710	1,343,287	2,263,920
2010-05-21	$38.21	$40.00	40.7%	11.7%	36.9%	70.6%	40.5%	13.9%	-1.6%	-105.8M	3.14B	-15.8M	1.46	5.51	104,209	151,805	1,367,418	2,251,559
2010-05-24	$38.43	$40.00	38.6%	11.1%	37.0%	63.5%	38.0%	9.5%	-0.7%	-54.0M	1.48B	-15.9M	3.03	4.86	22,891	69,280	893,089	1,549,915
2010-05-25	$37.97	$40.00	39.0%	11.2%	34.9%	64.7%	38.6%	9.7%	-1.0%	-59.6M	1.70B	-15.7M	1.90	3.69	46,606	88,341	888,364	1,573,752
2010-05-26	$37.92	$40.00	36.1%	10.3%	34.5%	54.8%	36.9%	7.6%	0.3%	-59.2M	1.65B	-15.5M	2.03	4.21	19,358	39,296	905,477	1,568,726
2010-05-27	$39.73	$40.00	32.9%	9.4%	38.8%	43.9%	32.5%	7.9%	-0.7%	-47.8M	889.2M	-16.0M	0.62	3.91	54,342	33,692	903,569	1,585,582
2010-05-28	$39.38	$40.00	33.6%	9.6%	38.9%	46.2%	32.6%	7.3%	0.1%	-51.1M	1.02B	-15.8M	0.71	3.58	62,427	44,143	926,076	1,589,190