FXI Options History — August 2010

In August 2010, FXI traded between $39.22 and $42.39. ATM implied volatility averaged 24.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.8% (HV 20d: 21.2%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.73.

Notable Days

2010-08-03: Highest Volume — 102,187 contracts
2010-08-11: Largest IV spike — 13.8% change
2010-08-12: Highest IV Rank — 26.0%
2010-08-11: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.65	$39.22	$42.39	$42.39	$39.29
Max Pain	$41.00	$41.00	$41.00	$41.00	$41.00
ATM IV	24.0%	20.9%	26.7%	23.3%	24.9%
Expected Move	7.0%	6.5%	7.7%	6.7%	7.1%
HV 20d	21.2%	17.7%	25.5%	23.2%	17.7%
HV 60d	25.5%	22.4%	28.8%	28.8%	22.4%
IV Rank	15.1%	3.2%	26.0%	12.5%	18.6%
IV Percentile	12.2%	0.8%	27.8%	5.6%	18.7%
Term Structure	1.7%	1.1%	2.5%	1.2%	1.1%
VWIV	25.1%	22.7%	27.6%	23.5%	25.0%
Skew 25d	4.0%	2.7%	5.0%	3.8%	3.5%
Skew 10d	8.9%	5.6%	11.7%	7.7%	6.8%
Call IV 25d	22.8%	21.2%	25.1%	21.2%	23.3%
Put IV 25d	26.8%	24.4%	29.9%	25.0%	26.8%
Bid-Ask Spread %	3.27	2.47	4.39	2.57	3.02
Gamma HHI	0.13	0.10	0.17	0.10	0.16
Net GEX	-53.6M	-100.8M	-3.5M	-3.5M	-57.5M
Net DEX	452.7M	-444.0M	1.04B	-444.0M	909.1M
Net VEX	-11.6M	-12.4M	-11.0M	-12.1M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.54	3.58	1.30	1.65
Total Volume	59,317.545	18,071	102,187	78,213	28,387
Total OI	2,347,557.955	1,681,054	2,732,960	2,471,261	1,857,593

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
2010-08-02	$42.39	$41.00	23.3%	6.7%	23.2%	12.5%	23.5%	3.8%	1.2%	-3.5M	-444.0M	-12.1M	1.30	2.57	34,075	44,138	860,546	1,610,715
2010-08-03	$41.98	$41.00	22.8%	6.5%	23.0%	10.4%	23.8%	3.0%	1.6%	-13.7M	-238.7M	-12.4M	0.67	2.49	61,047	41,140	875,462	1,629,814
2010-08-04	$42.14	$41.00	22.7%	6.5%	23.0%	10.2%	22.7%	2.7%	1.5%	-8.7M	-346.5M	-12.3M	2.51	2.47	13,891	34,806	889,388	1,633,752
2010-08-05	$42.03	$41.00	22.6%	6.5%	23.0%	9.6%	24.0%	3.4%	1.4%	-13.9M	-245.7M	-12.1M	2.15	2.66	12,784	27,525	871,493	1,651,533
2010-08-06	$41.95	$41.00	20.9%	6.8%	22.3%	3.2%	25.1%	4.6%	2.4%	-18.6M	-189.0M	-12.1M	2.50	4.10	7,018	17,529	878,388	1,675,350
2010-08-09	$42.22	$41.00	21.1%	6.7%	22.2%	4.0%	23.1%	4.1%	2.2%	-4.8M	-368.7M	-11.6M	0.76	3.83	34,701	26,279	879,008	1,679,995
2010-08-10	$41.30	$41.00	23.1%	7.0%	23.6%	11.6%	26.6%	4.6%	2.1%	-48.8M	240.1M	-12.0M	2.86	4.39	24,147	69,163	893,342	1,696,093
2010-08-11	$40.15	$41.00	26.3%	7.7%	25.5%	24.2%	27.6%	5.0%	1.3%	-89.7M	923.8M	-12.0M	2.98	3.72	15,916	47,442	894,406	1,715,814
2010-08-12	$40.01	$41.00	26.7%	7.7%	24.9%	26.0%	27.2%	4.2%	1.4%	-100.4M	1.04B	-11.9M	1.53	3.48	25,527	39,007	895,151	1,721,445
2010-08-13	$40.05	$41.00	25.7%	7.4%	22.5%	22.0%	26.2%	4.1%	2.1%	-100.8M	982.7M	-11.7M	3.58	3.96	18,300	65,575	902,412	1,725,830
2010-08-16	$40.50	$41.00	26.1%	7.5%	22.6%	23.7%	26.7%	4.4%	1.3%	-92.1M	718.9M	-11.5M	2.39	3.27	28,849	68,966	910,104	1,772,623
2010-08-17	$40.84	$41.00	24.3%	7.0%	20.8%	16.5%	26.0%	4.1%	1.9%	-73.8M	453.9M	-11.5M	1.46	3.32	26,503	38,638	921,450	1,776,164
2010-08-18	$40.71	$41.00	23.8%	6.8%	20.8%	14.4%	24.9%	4.1%	2.0%	-86.4M	540.1M	-11.4M	1.07	3.42	26,038	27,747	930,333	1,768,468
2010-08-19	$40.44	$41.00	25.1%	7.2%	18.4%	19.6%	25.7%	3.9%	2.0%	-96.5M	687.4M	-11.4M	1.18	2.78	31,342	37,094	939,592	1,771,714
2010-08-20	$40.54	$41.00	23.2%	6.6%	18.2%	11.9%	24.6%	4.6%	2.5%	-54.1M	616.5M	-11.3M	1.79	3.06	17,069	30,577	954,209	1,778,751
2010-08-23	$39.98	$41.00	23.9%	6.9%	18.7%	15.0%	25.5%	4.6%	1.5%	-46.1M	622.3M	-11.0M	1.68	3.25	21,524	36,224	607,282	1,073,772
2010-08-24	$39.58	$41.00	23.7%	6.8%	18.9%	14.0%	25.5%	4.0%	1.7%	-50.8M	776.0M	-11.3M	1.90	3.04	28,845	54,866	623,591	1,099,773
2010-08-25	$39.55	$41.00	23.3%	6.7%	18.9%	12.6%	25.1%	3.7%	1.6%	-55.7M	808.0M	-11.3M	1.95	3.78	18,101	35,245	643,792	1,136,145
2010-08-26	$39.22	$41.00	25.0%	7.2%	19.1%	19.2%	23.5%	4.3%	1.6%	-59.2M	954.2M	-11.3M	0.54	3.17	30,841	16,636	651,297	1,162,612
2010-08-27	$39.97	$41.00	23.3%	6.7%	20.4%	12.4%	24.4%	4.3%	2.3%	-48.9M	642.7M	-11.5M	0.80	3.34	13,023	10,390	671,999	1,166,390
2010-08-30	$39.36	$41.00	25.7%	7.4%	17.8%	21.8%	25.3%	3.5%	1.3%	-55.9M	880.5M	-11.2M	0.83	2.88	9,885	8,186	676,902	1,171,782
2010-08-31	$39.29	$41.00	24.9%	7.1%	17.7%	18.6%	25.0%	3.5%	1.1%	-57.5M	909.1M	-11.1M	1.65	3.02	10,732	17,655	683,260	1,174,333