FXI Options History — February 2011

In February 2011, FXI traded between $41.16 and $42.87. ATM implied volatility averaged 20.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.2% (HV 20d: 17.7%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2011-02-16: Highest Volume — 261,298 contracts
2011-02-22: Largest IV spike — 21.0% change
2011-02-22: Highest IV Rank — 23.1%
2011-02-22: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.11	$41.16	$42.87	$42.84	$42.45
Max Pain	$42.58	$42.00	$44.00	$44.00	$42.00
ATM IV	20.9%	18.3%	24.1%	19.9%	21.6%
Expected Move	6.1%	5.5%	6.9%	5.7%	6.2%
HV 20d	17.7%	15.8%	21.7%	17.2%	20.3%
HV 60d	19.5%	18.3%	20.8%	20.8%	18.3%
IV Rank	11.8%	2.2%	23.1%	8.1%	14.2%
IV Percentile	14.6%	0.4%	44.4%	3.6%	19.8%
Term Structure	1.4%	-0.0%	2.6%	1.3%	0.6%
VWIV	21.5%	18.8%	24.3%	19.9%	21.5%
Skew 25d	2.8%	2.1%	3.9%	2.4%	2.9%
Skew 10d	5.8%	4.1%	9.0%	4.6%	5.3%
Call IV 25d	20.2%	18.3%	22.2%	19.3%	20.2%
Put IV 25d	23.0%	21.1%	26.1%	21.6%	23.1%
Bid-Ask Spread %	3.92	3.03	5.47	5.47	3.32
Gamma HHI	0.15	0.08	0.21	0.17	0.09
Net GEX	-51.9M	-93.6M	8.1M	-63.5M	8.1M
Net DEX	748.4M	109.9M	1.36B	720.8M	109.9M
Net VEX	-8.7M	-10.6M	-7.6M	-8.4M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.24	2.86	0.56	1.17
Total Volume	79,139.474	21,759	261,298	47,407	21,759
Total OI	1,483,728.842	1,314,069	1,840,574	1,361,070	1,505,731

Daily Data (19 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
2011-02-01	$42.84	$44.00	19.9%	5.7%	17.2%	8.1%	19.9%	2.4%	1.3%	-63.5M	720.8M	-8.4M	0.56	5.47	30,453	16,954	484,314	876,756
2011-02-02	$42.79	$44.00	19.0%	5.5%	16.4%	4.9%	18.8%	2.9%	2.6%	-66.8M	735.5M	-8.4M	0.54	3.65	27,120	14,714	502,943	879,167
2011-02-03	$42.68	$44.00	19.3%	5.5%	16.4%	6.0%	19.7%	2.4%	1.3%	-70.1M	807.3M	-8.3M	1.03	3.69	26,050	26,937	505,842	882,276
2011-02-04	$42.87	$43.00	19.9%	6.1%	16.4%	7.9%	22.3%	3.1%	1.9%	-62.2M	678.9M	-8.3M	1.20	3.87	14,587	17,549	512,756	882,323
2011-02-07	$42.47	$43.00	20.3%	5.9%	16.5%	9.6%	21.0%	2.5%	1.8%	-74.9M	862.3M	-7.9M	1.17	3.81	12,219	14,240	513,464	887,262
2011-02-08	$42.58	$43.00	18.3%	5.7%	16.4%	2.2%	20.2%	2.4%	1.5%	-76.7M	846.0M	-7.7M	2.86	3.97	19,188	54,893	518,352	892,440
2011-02-09	$41.50	$43.00	21.2%	6.5%	17.9%	12.8%	23.0%	3.2%	1.0%	-93.6M	1.30B	-7.6M	1.38	4.81	42,953	59,316	524,597	901,768
2011-02-10	$41.37	$43.00	22.0%	6.3%	15.8%	15.6%	21.4%	2.4%	1.4%	-93.6M	1.36B	-7.6M	0.30	4.07	71,501	21,708	546,670	907,349
2011-02-11	$41.68	$42.00	20.6%	5.9%	16.3%	10.7%	20.5%	3.0%	1.8%	-81.8M	1.15B	-7.9M	0.85	3.28	29,249	24,916	601,573	909,484
2011-02-14	$41.92	$42.00	20.7%	5.9%	16.6%	11.0%	21.5%	2.5%	2.3%	-79.1M	999.5M	-8.0M	0.78	3.47	46,268	36,185	618,035	909,206
2011-02-15	$41.80	$42.00	20.9%	6.0%	16.5%	11.5%	21.3%	2.9%	1.6%	-78.8M	1.06B	-8.0M	0.64	4.05	66,348	42,649	643,371	926,731
2011-02-16	$42.31	$42.00	21.6%	6.2%	17.2%	14.3%	21.3%	2.3%	1.2%	-67.3M	739.8M	-9.0M	0.31	4.34	199,443	61,855	693,364	920,246
2011-02-17	$42.66	$42.00	21.0%	6.0%	16.8%	12.2%	24.3%	2.1%	1.7%	-37.0M	392.8M	-10.1M	1.06	3.68	34,291	36,306	919,283	921,291
2011-02-18	$42.73	$42.00	19.9%	5.7%	16.5%	8.0%	20.7%	2.6%	2.5%	-1.8M	403.9M	-9.8M	0.58	4.12	39,114	22,639	875,954	941,392
2011-02-22	$41.20	$42.00	24.1%	6.9%	20.9%	23.1%	23.3%	3.9%	-0.0%	-12.9M	528.8M	-9.3M	1.44	3.73	43,261	62,213	663,178	650,891
2011-02-23	$41.24	$42.00	23.4%	6.7%	20.9%	20.8%	24.0%	3.2%	0.3%	-12.7M	536.1M	-9.4M	1.33	4.17	60,450	80,166	683,883	683,253
2011-02-24	$41.16	$42.00	23.5%	6.7%	20.6%	21.0%	23.2%	3.2%	0.4%	-14.3M	579.7M	-9.8M	1.59	3.96	13,300	21,147	722,367	727,438
2011-02-25	$41.84	$42.00	20.8%	6.0%	21.7%	11.2%	20.6%	2.8%	1.2%	-7.6M	399.6M	-10.1M	0.24	3.03	73,913	17,796	708,346	747,552
2011-02-28	$42.45	$42.00	21.6%	6.2%	20.3%	14.2%	21.5%	2.9%	0.6%	8.1M	109.9M	-10.6M	1.17	3.32	10,019	11,740	753,311	752,420