FXI Options History — June 2010

In June 2010, FXI traded between $38.00 and $41.60. ATM implied volatility averaged 30.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.2% (HV 20d: 32.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.50.

Notable Days

2010-06-17: Highest Volume — 270,596 contracts
2010-06-29: Largest IV spike — 25.7% change
2010-06-01: Highest IV Rank — 69.1%
2010-06-01: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.03	$38.00	$41.60	$38.48	$39.13
Max Pain	$39.50	$38.00	$40.00	$40.00	$40.00
ATM IV	30.9%	26.2%	40.2%	40.2%	31.6%
Expected Move	8.8%	7.5%	11.5%	11.5%	9.1%
HV 20d	32.0%	25.2%	39.4%	39.4%	26.5%
HV 60d	30.2%	28.7%	30.8%	28.7%	30.8%
IV Rank	38.5%	23.3%	69.1%	69.1%	45.2%
IV Percentile	42.6%	16.3%	86.9%	86.9%	52.0%
Term Structure	0.6%	-1.8%	2.5%	-1.8%	0.8%
VWIV	31.6%	24.4%	38.9%	38.9%	33.1%
Skew 25d	5.8%	3.5%	9.8%	9.1%	8.1%
Skew 10d	12.1%	6.2%	20.3%	19.8%	15.6%
Call IV 25d	28.5%	24.4%	35.9%	35.9%	28.1%
Put IV 25d	34.3%	28.7%	45.0%	45.0%	36.2%
Bid-Ask Spread %	3.50	2.61	5.22	5.22	2.97
Gamma HHI	0.10	0.07	0.12	0.10	0.10
Net GEX	-50.4M	-79.4M	-22.7M	-61.1M	-62.8M
Net DEX	735.8M	-56.2M	1.86B	1.52B	1.27B
Net VEX	-14.4M	-15.4M	-13.0M	-15.3M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.20	8.52	1.80	8.52
Total Volume	84,325.091	37,042	270,596	37,042	78,761
Total OI	2,504,928.5	2,146,498	2,936,796	2,522,517	2,333,542

Daily Data (22 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
2010-06-01	$38.48	$40.00	40.2%	11.5%	39.4%	69.1%	38.9%	9.1%	-1.8%	-61.1M	1.52B	-15.3M	1.80	5.22	13,234	23,808	911,956	1,610,561
2010-06-02	$39.53	$40.00	32.5%	9.3%	38.6%	42.6%	33.2%	7.2%	0.6%	-57.9M	1.06B	-15.4M	1.42	3.41	24,926	35,395	909,154	1,614,938
2010-06-03	$39.31	$40.00	33.7%	9.7%	38.2%	46.8%	33.9%	6.6%	0.0%	-62.7M	1.13B	-15.2M	2.57	3.50	15,968	41,012	922,314	1,634,095
2010-06-04	$38.37	$38.00	37.0%	10.3%	37.2%	57.9%	34.6%	9.8%	-0.4%	-72.0M	1.67B	-14.9M	1.66	3.87	20,767	34,373	931,520	1,635,863
2010-06-07	$38.00	$39.00	37.2%	10.1%	37.1%	58.6%	36.4%	6.5%	-0.4%	-79.4M	1.86B	-14.4M	2.23	4.58	15,851	35,327	932,204	1,644,534
2010-06-08	$38.82	$39.00	33.5%	9.4%	32.3%	46.0%	35.4%	6.7%	0.2%	-77.3M	1.44B	-14.5M	2.78	3.85	19,619	54,613	936,418	1,666,299
2010-06-09	$39.09	$39.00	35.9%	9.8%	31.9%	54.2%	34.8%	5.6%	-1.1%	-74.5M	1.30B	-15.0M	2.25	4.98	28,438	64,020	946,153	1,695,366
2010-06-10	$40.04	$39.00	31.4%	9.0%	33.0%	38.6%	33.0%	4.4%	0.1%	-61.1M	726.7M	-15.0M	3.25	3.08	17,573	57,167	952,209	1,723,196
2010-06-11	$40.27	$39.00	30.5%	8.7%	33.0%	35.6%	32.4%	6.0%	0.3%	-54.5M	547.1M	-14.6M	1.51	4.48	16,063	24,269	953,620	1,730,225
2010-06-14	$40.11	$39.00	30.0%	8.6%	32.2%	33.8%	30.4%	5.3%	1.0%	-64.0M	663.8M	-13.9M	0.50	3.50	27,557	13,838	958,157	1,734,547
2010-06-15	$41.03	$39.00	27.0%	7.7%	33.0%	23.5%	29.3%	4.5%	0.9%	-26.9M	-42.3M	-13.5M	2.33	3.24	17,246	40,249	960,981	1,730,059
2010-06-16	$41.10	$39.00	27.4%	7.8%	32.8%	24.9%	28.1%	4.9%	0.7%	-26.9M	-56.2M	-13.2M	1.67	3.23	25,642	42,782	951,378	1,745,757
2010-06-17	$40.62	$39.00	27.0%	7.7%	33.2%	23.5%	27.6%	3.8%	0.8%	-45.5M	259.7M	-13.0M	1.74	3.57	98,796	171,800	963,426	1,776,874
2010-06-18	$40.66	$40.00	26.2%	7.5%	29.9%	23.3%	24.4%	3.5%	1.3%	-37.5M	256.3M	-13.7M	0.20	3.27	180,280	35,591	1,042,479	1,894,317
2010-06-21	$41.60	$40.00	27.1%	7.8%	29.0%	26.8%	28.7%	4.3%	1.6%	-22.7M	24.2M	-14.3M	1.26	2.98	40,918	51,657	749,639	1,396,859
2010-06-22	$40.95	$40.00	28.8%	8.3%	29.9%	33.4%	29.4%	4.4%	0.6%	-30.3M	248.1M	-14.4M	1.73	2.79	21,409	37,105	756,441	1,408,398
2010-06-23	$41.26	$40.00	26.5%	7.6%	29.3%	25.2%	28.3%	4.3%	1.8%	-27.4M	138.7M	-14.4M	3.86	2.61	17,255	66,668	767,495	1,426,820
2010-06-24	$40.77	$40.00	27.8%	8.0%	29.8%	30.4%	29.8%	5.5%	1.8%	-32.8M	383.4M	-14.6M	2.49	3.04	41,025	102,281	775,760	1,445,059
2010-06-25	$41.18	$40.00	26.3%	7.5%	25.3%	24.4%	28.3%	4.4%	2.5%	-35.8M	285.4M	-14.6M	3.69	3.03	17,430	64,273	784,506	1,503,272
2010-06-28	$40.96	$40.00	27.3%	7.8%	25.2%	28.1%	27.6%	4.2%	1.9%	-40.5M	368.0M	-14.5M	4.20	2.67	12,540	52,627	796,752	1,533,163
2010-06-29	$39.31	$40.00	34.3%	9.8%	28.2%	55.7%	36.6%	8.6%	0.5%	-55.9M	1.15B	-14.6M	3.37	3.05	12,588	42,411	792,112	1,530,009
2010-06-30	$39.13	$40.00	31.6%	9.1%	26.5%	45.2%	33.1%	8.1%	0.8%	-62.8M	1.27B	-14.2M	8.52	2.97	8,274	70,487	788,989	1,544,553