FXI Options History — March 2011

In March 2011, FXI traded between $41.68 and $44.91. ATM implied volatility averaged 22.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.3% (HV 20d: 21.9%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.38.

Notable Days

2011-03-08: Highest Volume — 238,023 contracts
2011-03-16: Largest IV spike — 19.6% change
2011-03-16: Highest IV Rank — 47.5%
2011-03-16: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.24	$41.68	$44.91	$42.17	$44.91
Max Pain	$42.87	$42.00	$43.00	$42.00	$43.00
ATM IV	22.2%	19.6%	30.9%	22.1%	20.1%
Expected Move	6.5%	5.6%	8.8%	6.3%	5.8%
HV 20d	21.9%	20.0%	25.6%	20.0%	20.9%
HV 60d	18.9%	18.0%	19.6%	18.1%	19.4%
IV Rank	16.4%	6.9%	47.5%	16.0%	8.9%
IV Percentile	28.1%	4.4%	88.9%	26.6%	7.9%
Term Structure	0.8%	-1.8%	2.2%	1.1%	1.2%
VWIV	23.0%	18.8%	33.4%	22.8%	21.0%
Skew 25d	3.8%	2.2%	6.7%	3.1%	3.2%
Skew 10d	7.8%	4.5%	16.5%	5.6%	5.7%
Call IV 25d	21.2%	18.4%	28.7%	21.1%	18.9%
Put IV 25d	25.0%	21.9%	35.4%	24.1%	22.1%
Bid-Ask Spread %	3.54	2.90	4.64	3.35	3.42
Gamma HHI	0.09	0.08	0.10	0.09	0.10
Net GEX	9.7M	-38.4M	49.1M	236.0K	49.1M
Net DEX	-54.0M	-752.7M	834.7M	227.0M	-752.7M
Net VEX	-14.0M	-15.6M	-10.5M	-10.5M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.25	4.65	0.32	0.33
Total Volume	76,744.174	20,338	238,023	45,896	125,870
Total OI	1,865,496.174	1,501,297	2,120,645	1,501,297	2,036,923

Daily Data (23 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
2011-03-01	$42.17	$42.00	22.1%	6.3%	20.0%	16.0%	22.8%	3.1%	1.1%	236.0K	227.0M	-10.5M	0.32	3.35	34,751	11,145	749,318	751,979
2011-03-02	$42.56	$42.00	20.8%	6.0%	20.1%	11.3%	21.5%	3.0%	2.2%	9.9M	68.9M	-10.9M	0.62	4.51	46,007	28,646	770,380	752,437
2011-03-03	$43.32	$42.00	20.1%	5.8%	21.1%	8.9%	21.2%	2.7%	2.1%	28.9M	-269.5M	-11.6M	4.65	3.52	9,284	43,197	804,704	771,335
2011-03-04	$43.44	$43.00	19.6%	6.4%	21.1%	6.9%	22.0%	2.8%	0.7%	29.4M	-289.2M	-11.6M	1.60	3.87	11,909	19,029	799,381	798,385
2011-03-07	$43.10	$43.00	21.7%	6.8%	21.2%	14.4%	24.0%	3.1%	0.5%	24.5M	-160.7M	-11.4M	0.90	4.13	52,268	47,046	799,080	794,200
2011-03-08	$44.14	$43.00	21.8%	6.7%	22.5%	14.8%	24.1%	2.6%	0.4%	42.9M	-619.8M	-12.3M	1.18	2.99	109,313	128,710	836,240	825,874
2011-03-09	$44.43	$43.00	21.6%	6.6%	22.5%	14.0%	22.9%	2.2%	0.6%	44.4M	-740.0M	-14.5M	0.79	3.84	73,818	58,624	907,286	930,926
2011-03-10	$43.64	$43.00	23.3%	6.7%	21.4%	20.4%	24.2%	3.1%	0.1%	30.4M	-343.0M	-15.0M	2.24	3.29	27,682	62,029	961,504	974,713
2011-03-11	$43.53	$43.00	22.2%	6.4%	21.4%	16.3%	23.0%	3.4%	0.8%	25.5M	-243.4M	-15.0M	1.26	3.57	23,615	29,813	961,741	1,007,223
2011-03-14	$43.57	$43.00	22.4%	6.4%	21.3%	17.1%	23.8%	2.9%	1.0%	33.0M	-295.5M	-14.8M	1.95	3.43	13,383	26,109	965,626	1,012,383
2011-03-15	$42.81	$43.00	25.8%	7.4%	22.4%	29.3%	26.4%	4.9%	-0.1%	11.5M	118.6M	-14.8M	1.63	3.77	41,659	67,829	973,656	1,026,095
2011-03-16	$41.75	$43.00	30.9%	8.8%	24.2%	47.5%	33.4%	6.7%	-1.8%	-29.5M	675.6M	-14.7M	2.64	4.64	50,750	134,067	985,092	1,056,519
2011-03-17	$41.98	$43.00	27.2%	7.8%	23.9%	34.2%	27.4%	6.0%	-0.6%	-29.0M	649.4M	-14.9M	1.20	3.72	27,410	32,950	1,001,297	1,107,835
2011-03-18	$41.68	$43.00	24.9%	7.1%	23.8%	25.9%	25.8%	5.1%	0.7%	-38.4M	834.7M	-14.6M	0.82	3.25	26,628	21,939	1,014,442	1,106,203
2011-03-21	$42.75	$43.00	22.2%	6.4%	25.6%	16.5%	22.2%	4.6%	0.8%	-21.8M	302.7M	-14.6M	1.38	3.46	14,614	20,185	877,762	945,530
2011-03-22	$42.83	$43.00	21.7%	6.2%	21.6%	14.4%	22.9%	4.3%	0.8%	-20.7M	266.0M	-14.6M	2.83	3.33	5,548	15,676	881,877	953,566
2011-03-23	$43.19	$43.00	21.4%	6.1%	21.7%	13.5%	20.5%	4.8%	1.1%	-15.8M	152.0M	-14.6M	0.48	3.00	79,775	38,550	882,358	962,830
2011-03-24	$43.63	$43.00	19.6%	5.6%	21.8%	6.9%	19.7%	3.5%	1.7%	662.2K	-105.7M	-15.4M	0.46	3.33	46,429	21,300	954,873	978,823
2011-03-25	$43.67	$43.00	19.7%	5.7%	21.3%	7.5%	19.0%	3.5%	1.6%	7.3M	-133.1M	-15.4M	0.43	3.27	25,900	11,201	986,766	988,149
2011-03-28	$43.33	$43.00	20.7%	5.9%	21.0%	10.9%	21.5%	3.4%	1.5%	-729.6K	21.3M	-15.0M	1.55	3.65	7,963	12,375	1,003,474	989,715
2011-03-29	$43.72	$43.00	20.6%	5.9%	21.0%	10.4%	22.0%	3.7%	1.3%	10.5M	-148.4M	-15.2M	2.23	2.90	6,520	14,538	1,007,049	996,768
2011-03-30	$44.40	$43.00	20.6%	5.9%	21.4%	10.6%	18.8%	3.5%	0.9%	30.4M	-456.4M	-15.3M	0.25	3.13	47,408	11,654	1,009,283	1,004,812
2011-03-31	$44.91	$43.00	20.1%	5.8%	20.9%	8.9%	21.0%	3.2%	1.2%	49.1M	-752.7M	-15.6M	0.33	3.42	94,968	30,902	1,030,729	1,006,194