FXI Options History — December 2010

In December 2010, FXI traded between $42.19 and $45.06. ATM implied volatility averaged 23.0%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.7% (HV 20d: 23.7%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.86.

Notable Days

2010-12-17: Highest Volume — 346,900 contracts
2010-12-02: Largest IV drop — 10.8% change
2010-12-01: Highest IV Rank — 36.0%
2010-12-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.28	$42.19	$45.06	$44.45	$43.09
Max Pain	$41.50	$40.00	$46.00	$46.00	$42.00
ATM IV	23.0%	20.5%	27.7%	27.7%	21.3%
Expected Move	6.5%	5.9%	7.9%	7.9%	6.1%
HV 20d	23.7%	17.1%	28.5%	28.5%	17.1%
HV 60d	22.3%	21.9%	22.7%	22.0%	22.3%
IV Rank	19.2%	10.4%	36.0%	36.0%	12.9%
IV Percentile	20.3%	3.2%	61.9%	61.9%	6.7%
Term Structure	1.3%	-0.4%	2.2%	-0.4%	2.2%
VWIV	23.2%	20.2%	27.0%	27.0%	21.2%
Skew 25d	3.3%	2.6%	4.8%	4.8%	3.5%
Skew 10d	7.0%	5.4%	11.4%	11.4%	6.9%
Call IV 25d	21.6%	19.2%	25.4%	25.4%	19.9%
Put IV 25d	24.9%	22.1%	30.1%	30.1%	23.4%
Bid-Ask Spread %	2.91	1.96	4.29	3.84	2.26
Gamma HHI	0.11	0.07	0.18	0.07	0.12
Net GEX	-34.1M	-78.4M	-11.5M	-30.7M	-20.1M
Net DEX	132.3M	-593.8M	697.2M	-211.8M	34.8M
Net VEX	-8.1M	-8.7M	-7.5M	-8.5M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.14	4.81	1.09	4.67
Total Volume	68,302.364	23,806	346,900	59,088	23,806
Total OI	2,075,489.136	1,915,564	2,278,546	2,014,274	2,090,093

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
2010-12-01	$44.45	$46.00	27.7%	7.9%	28.5%	36.0%	27.0%	4.8%	-0.4%	-30.7M	-211.8M	-8.5M	1.09	3.84	28,237	30,851	799,120	1,215,154
2010-12-02	$45.06	$46.00	24.7%	7.1%	27.8%	25.2%	25.2%	3.9%	0.2%	-11.5M	-593.8M	-8.1M	0.72	3.69	16,113	11,549	815,223	1,223,923
2010-12-03	$44.42	$46.00	24.7%	7.1%	27.0%	25.3%	25.1%	3.3%	0.6%	-26.5M	-298.7M	-8.0M	4.81	3.46	8,926	42,902	818,774	1,228,931
2010-12-06	$43.84	$40.00	24.2%	7.0%	27.2%	23.6%	25.4%	3.7%	1.1%	-37.3M	-58.6M	-7.8M	1.62	3.73	19,613	31,705	822,592	1,235,680
2010-12-07	$43.99	$40.00	24.1%	6.7%	27.2%	23.1%	23.8%	3.8%	1.4%	-33.9M	-118.4M	-7.6M	0.99	3.30	17,161	16,977	827,124	1,240,052
2010-12-08	$43.30	$40.00	25.6%	7.0%	26.8%	28.4%	24.2%	3.8%	1.4%	-46.6M	211.0M	-7.7M	3.41	4.10	16,307	55,655	833,154	1,244,135
2010-12-09	$43.36	$40.00	24.5%	6.9%	26.6%	24.5%	24.9%	3.2%	1.7%	-50.5M	268.1M	-8.0M	1.84	3.01	29,953	55,214	833,394	1,263,727
2010-12-10	$43.43	$40.00	24.1%	6.8%	26.5%	23.1%	24.2%	3.4%	1.4%	-44.9M	185.8M	-8.1M	0.72	2.49	15,047	10,880	849,716	1,288,630
2010-12-13	$43.87	$40.00	23.1%	6.5%	25.0%	19.7%	23.4%	3.0%	1.7%	-29.3M	-14.3M	-8.0M	0.74	2.97	24,136	17,944	860,936	1,292,697
2010-12-14	$43.78	$40.00	23.2%	6.5%	24.7%	19.7%	23.7%	3.1%	1.9%	-27.1M	-59.5M	-7.5M	0.95	2.82	41,657	39,773	867,986	1,295,834
2010-12-15	$42.76	$40.00	23.3%	6.7%	23.9%	20.2%	24.0%	3.2%	1.1%	-64.5M	542.9M	-7.9M	3.79	2.70	17,040	64,578	897,717	1,323,410
2010-12-16	$42.60	$40.00	22.8%	6.5%	23.9%	18.3%	23.8%	3.0%	1.2%	-78.4M	669.7M	-8.0M	2.40	2.51	21,344	51,145	890,560	1,359,721
2010-12-17	$42.59	$40.00	21.8%	6.2%	22.4%	14.8%	22.0%	2.7%	1.7%	-34.5M	697.2M	-8.0M	0.14	4.29	303,270	43,630	900,693	1,377,853
2010-12-20	$42.38	$41.00	21.4%	6.1%	22.2%	13.6%	21.2%	3.3%	1.5%	-33.1M	364.2M	-8.2M	0.93	2.41	16,311	15,163	753,276	1,162,288
2010-12-21	$43.27	$41.00	20.8%	6.0%	23.7%	11.3%	20.4%	2.6%	1.0%	-16.9M	-101.0M	-8.0M	1.11	2.88	24,313	27,106	755,617	1,162,676
2010-12-22	$43.15	$41.00	20.5%	5.9%	22.3%	10.4%	20.2%	3.0%	1.7%	-19.7M	-25.2M	-8.2M	1.16	2.32	53,770	62,229	766,479	1,167,934
2010-12-23	$42.60	$42.00	21.2%	6.1%	21.8%	12.7%	21.3%	3.1%	1.6%	-27.2M	250.6M	-8.7M	0.84	1.96	28,467	23,943	806,220	1,210,815
2010-12-27	$42.55	$42.00	22.1%	6.3%	20.3%	15.9%	23.0%	3.2%	1.3%	-27.3M	276.1M	-8.2M	2.06	2.46	11,747	24,197	811,854	1,211,941
2010-12-28	$42.19	$42.00	22.4%	6.4%	19.6%	17.2%	22.8%	2.7%	1.7%	-34.0M	455.0M	-8.1M	3.23	2.15	11,966	38,599	810,601	1,215,968
2010-12-29	$42.78	$42.00	21.3%	6.1%	20.1%	13.3%	22.1%	3.3%	1.7%	-28.0M	204.6M	-8.3M	1.65	2.37	18,451	30,518	818,469	1,236,720
2010-12-30	$42.67	$42.00	21.4%	6.1%	17.6%	13.6%	21.6%	2.8%	2.0%	-27.7M	231.9M	-8.4M	2.00	2.39	20,154	40,305	825,064	1,248,010
2010-12-31	$43.09	$42.00	21.3%	6.1%	17.1%	12.9%	21.2%	3.5%	2.2%	-20.1M	34.8M	-8.3M	4.67	2.26	4,201	19,605	833,697	1,256,396