FXI Options History — September 2010

In September 2010, FXI traded between $40.30 and $42.85. ATM implied volatility averaged 22.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.1% (HV 20d: 18.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.52.

Notable Days

2010-09-13: Highest Volume — 115,567 contracts
2010-09-07: Largest IV spike — 16.0% change
2010-09-28: Highest IV Rank — 13.5%
2010-09-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.76	$40.30	$42.85	$40.30	$42.82
Max Pain	$40.71	$40.00	$42.00	$41.00	$42.00
ATM IV	22.0%	19.4%	23.4%	23.4%	21.5%
Expected Move	6.3%	5.9%	6.7%	6.7%	6.2%
HV 20d	18.9%	15.7%	21.0%	20.3%	15.7%
HV 60d	21.5%	19.9%	22.7%	22.6%	19.9%
IV Rank	9.6%	0.0%	13.5%	12.9%	8.2%
IV Percentile	5.0%	0.0%	13.1%	9.5%	3.6%
Term Structure	1.6%	1.0%	2.2%	1.0%	2.0%
VWIV	22.9%	20.9%	24.8%	23.8%	22.5%
Skew 25d	3.4%	2.5%	4.1%	3.5%	2.9%
Skew 10d	7.4%	5.7%	10.1%	7.2%	6.3%
Call IV 25d	20.9%	19.7%	21.9%	21.9%	20.8%
Put IV 25d	24.3%	22.7%	25.4%	25.4%	23.7%
Bid-Ask Spread %	3.53	2.66	4.38	3.13	2.98
Gamma HHI	0.12	0.09	0.19	0.15	0.09
Net GEX	-24.1M	-49.7M	16.5M	-46.8M	-15.7M
Net DEX	-121.0M	-490.9M	474.8M	474.8M	-420.6M
Net VEX	-10.5M	-11.2M	-9.9M	-11.2M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	0.76	7.31	1.03	1.69
Total Volume	54,472.143	14,216	115,567	32,828	95,887
Total OI	1,939,750.333	1,791,994	2,180,949	1,864,641	1,945,108

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
2010-09-01	$40.30	$41.00	23.4%	6.7%	20.3%	12.9%	23.8%	3.5%	1.0%	-46.8M	474.8M	-11.2M	1.03	3.13	16,142	16,686	683,297	1,181,344
2010-09-02	$40.71	$41.00	20.5%	5.9%	20.8%	1.5%	21.6%	2.7%	2.1%	-40.5M	278.6M	-11.0M	3.15	3.85	12,805	40,292	689,621	1,186,502
2010-09-03	$40.95	$40.00	19.4%	6.2%	20.9%	0.0%	22.2%	4.1%	2.2%	-39.8M	155.7M	-10.8M	2.14	4.38	7,998	17,136	692,075	1,210,903
2010-09-07	$40.54	$40.00	22.5%	6.5%	21.0%	11.9%	24.4%	3.4%	1.6%	-49.7M	374.1M	-10.7M	2.23	3.67	12,569	27,969	693,681	1,216,417
2010-09-08	$40.72	$40.00	21.8%	6.5%	19.7%	9.3%	23.8%	3.3%	1.7%	-45.7M	275.8M	-10.7M	2.76	3.77	15,634	43,107	696,461	1,229,864
2010-09-09	$40.91	$40.00	21.9%	6.3%	16.8%	9.8%	23.1%	3.9%	1.9%	-46.0M	210.4M	-10.6M	1.44	4.00	24,845	35,864	705,540	1,257,621
2010-09-10	$40.79	$40.00	22.4%	6.4%	16.8%	11.6%	22.8%	4.0%	1.6%	-46.8M	266.3M	-10.7M	2.78	4.13	23,249	64,707	721,640	1,274,619
2010-09-13	$41.93	$40.00	21.0%	6.0%	19.3%	6.0%	22.5%	3.5%	2.2%	-15.0M	-340.1M	-10.4M	1.52	4.09	45,827	69,740	725,532	1,313,401
2010-09-14	$42.10	$40.00	21.5%	6.2%	19.0%	8.1%	20.9%	3.6%	1.9%	-6.9M	-465.5M	-10.5M	0.76	3.79	23,463	17,906	751,088	1,349,987
2010-09-15	$41.83	$40.00	22.6%	6.5%	19.1%	12.4%	23.1%	3.7%	1.0%	-14.1M	-320.6M	-10.5M	2.47	3.75	21,178	52,298	754,995	1,350,018
2010-09-16	$41.59	$40.00	22.6%	6.5%	19.2%	12.5%	23.1%	4.0%	1.3%	-25.2M	-171.7M	-10.7M	1.41	3.39	25,564	36,088	761,541	1,383,842
2010-09-17	$41.96	$41.00	22.1%	6.3%	19.1%	10.3%	22.5%	3.4%	1.5%	16.5M	-375.6M	-10.7M	0.91	4.20	18,804	17,076	779,168	1,401,781
2010-09-20	$42.48	$41.00	22.4%	6.4%	19.5%	11.4%	22.4%	2.5%	1.2%	-17.4M	-319.0M	-10.2M	1.92	3.09	22,199	42,661	658,114	1,133,880
2010-09-21	$42.45	$41.00	22.3%	6.4%	18.6%	11.0%	21.4%	3.5%	1.3%	-17.2M	-291.3M	-10.4M	1.93	3.23	17,118	32,959	668,596	1,151,343
2010-09-22	$42.21	$41.00	22.1%	6.3%	18.2%	10.5%	22.4%	3.0%	1.7%	-19.1M	-210.3M	-10.4M	2.00	2.69	4,736	9,480	676,307	1,161,106
2010-09-23	$41.89	$41.00	22.5%	6.5%	18.6%	12.1%	24.8%	3.0%	1.6%	-24.5M	-66.6M	-10.4M	2.94	3.11	8,893	26,180	678,466	1,152,943
2010-09-24	$42.85	$41.00	21.1%	6.1%	19.4%	6.6%	23.3%	2.9%	1.9%	-8.8M	-490.9M	-10.0M	1.38	2.66	13,246	18,319	683,247	1,170,071
2010-09-27	$42.63	$41.00	22.2%	6.4%	18.8%	10.6%	22.8%	3.0%	1.8%	-12.6M	-380.4M	-10.0M	7.31	3.09	4,918	35,938	688,490	1,177,943
2010-09-28	$42.49	$42.00	22.9%	6.6%	17.7%	13.5%	24.3%	3.0%	1.5%	-16.3M	-325.6M	-9.9M	5.39	3.78	9,414	50,787	690,237	1,176,395
2010-09-29	$42.72	$42.00	22.3%	6.4%	17.6%	11.0%	24.0%	3.4%	1.5%	-15.2M	-399.3M	-10.0M	5.81	3.26	9,432	54,801	692,995	1,218,578
2010-09-30	$42.82	$42.00	21.5%	6.2%	15.7%	8.2%	22.5%	2.9%	2.0%	-15.7M	-420.6M	-10.1M	1.69	2.98	35,581	60,306	694,416	1,250,692