FXI Options History — May 2011

In May 2011, FXI traded between $42.94 and $45.37. ATM implied volatility averaged 19.9%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.6% (HV 20d: 17.4%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2011-05-17: Highest Volume — 120,808 contracts
2011-05-26: Largest IV drop — 9.8% change
2011-05-04: Highest IV Rank — 15.1%
2011-05-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.84	$42.94	$45.37	$45.07	$45.37
Max Pain	$43.90	$43.00	$44.00	$44.00	$44.00
ATM IV	19.9%	17.4%	21.9%	20.2%	18.7%
Expected Move	5.8%	5.0%	6.3%	5.8%	5.4%
HV 20d	17.4%	15.4%	20.6%	16.9%	20.6%
HV 60d	19.4%	18.7%	20.1%	19.6%	19.4%
IV Rank	8.7%	0.0%	15.1%	9.0%	5.5%
IV Percentile	15.5%	0.0%	36.9%	15.5%	4.0%
Term Structure	1.5%	0.6%	2.9%	1.3%	1.2%
VWIV	20.6%	18.1%	23.0%	20.3%	18.4%
Skew 25d	2.9%	1.5%	3.9%	3.4%	1.5%
Skew 10d	6.1%	4.3%	8.0%	6.1%	4.3%
Call IV 25d	19.2%	16.8%	20.7%	19.2%	18.2%
Put IV 25d	22.1%	19.5%	24.6%	22.5%	19.7%
Bid-Ask Spread %	3.27	2.79	4.03	2.88	3.33
Gamma HHI	0.07	0.06	0.10	0.07	0.08
Net GEX	7.0M	-28.8M	62.7M	38.1M	62.7M
Net DEX	-66.5M	-870.5M	440.1M	-588.9M	-870.5M
Net VEX	-14.1M	-14.9M	-13.1M	-14.9M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.32	2.11	0.83	0.32
Total Volume	65,710.857	15,775	120,808	15,775	76,489
Total OI	2,158,211.667	1,650,098	2,522,029	2,129,888	1,829,447

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
2011-05-02	$45.07	$44.00	20.2%	5.8%	16.9%	9.0%	20.3%	3.4%	1.3%	38.1M	-588.9M	-14.9M	0.83	2.88	8,600	7,175	1,100,124	1,029,764
2011-05-03	$44.51	$44.00	21.2%	6.1%	15.8%	12.7%	23.0%	3.9%	0.9%	17.7M	-288.7M	-14.6M	0.87	2.79	50,111	43,613	1,096,861	1,031,866
2011-05-04	$43.71	$44.00	21.9%	6.3%	16.7%	15.1%	22.8%	3.9%	0.6%	-6.0M	94.7M	-14.6M	0.75	2.84	39,405	29,493	1,124,830	1,059,250
2011-05-05	$43.35	$44.00	20.7%	5.9%	16.8%	11.0%	20.4%	2.6%	1.3%	-16.3M	262.9M	-14.4M	1.06	3.70	41,727	44,383	1,145,330	1,069,564
2011-05-06	$43.78	$44.00	20.3%	6.2%	17.4%	9.6%	22.1%	3.4%	1.2%	-2.3M	33.9M	-14.8M	0.74	3.55	32,711	24,065	1,166,021	1,091,079
2011-05-09	$43.86	$44.00	19.2%	6.0%	17.4%	5.7%	22.1%	3.3%	1.7%	713.0K	-16.2M	-14.5M	1.84	3.85	7,855	14,460	1,180,425	1,098,970
2011-05-10	$44.29	$44.00	21.0%	6.2%	17.7%	12.1%	20.0%	2.9%	1.2%	21.2M	-284.1M	-14.4M	0.41	3.06	60,546	24,536	1,184,193	1,099,264
2011-05-11	$43.63	$44.00	19.5%	5.9%	18.0%	6.5%	21.7%	2.9%	1.7%	-784.5K	106.9M	-14.0M	0.64	3.09	54,649	34,767	1,225,330	1,108,406
2011-05-12	$43.71	$44.00	19.7%	5.6%	17.5%	7.4%	21.5%	2.4%	2.1%	-1.2M	27.9M	-14.0M	2.11	3.28	12,312	26,019	1,248,483	1,122,461
2011-05-13	$43.20	$44.00	21.2%	6.1%	17.8%	12.9%	22.3%	2.9%	1.9%	-24.3M	363.7M	-13.8M	1.82	3.71	18,242	33,229	1,241,900	1,134,445
2011-05-16	$43.10	$43.00	21.4%	6.1%	17.6%	13.5%	21.4%	2.8%	1.5%	-28.8M	431.9M	-13.5M	1.05	3.25	50,259	52,581	1,249,053	1,150,326
2011-05-17	$43.15	$43.00	20.8%	6.0%	16.5%	11.4%	20.4%	3.0%	2.3%	-22.6M	440.1M	-13.4M	0.88	3.18	64,191	56,617	1,283,458	1,155,122
2011-05-18	$44.14	$44.00	19.8%	5.7%	18.6%	7.6%	20.8%	1.9%	2.3%	27.5M	-259.8M	-14.5M	0.93	4.03	35,985	33,355	1,319,816	1,202,213
2011-05-19	$44.12	$44.00	19.4%	5.6%	15.9%	6.3%	19.2%	2.1%	2.4%	11.0M	-243.1M	-14.0M	1.40	3.18	37,048	51,751	1,291,220	1,202,635
2011-05-20	$44.02	$44.00	18.6%	5.3%	15.4%	4.0%	19.5%	2.9%	2.9%	16.9M	-140.8M	-13.8M	1.28	3.76	27,639	35,380	1,288,997	1,217,540
2011-05-23	$42.94	$44.00	20.3%	5.8%	17.1%	11.9%	21.7%	3.7%	0.6%	-1.4M	107.9M	-13.1M	1.16	2.92	22,887	26,610	912,496	737,602
2011-05-24	$43.28	$44.00	20.3%	5.8%	17.5%	11.8%	20.4%	3.3%	0.6%	3.2M	9.1M	-13.4M	1.09	3.21	20,098	21,927	928,083	752,131
2011-05-25	$43.49	$44.00	19.3%	5.5%	17.5%	7.2%	18.7%	2.5%	0.7%	6.4M	-80.7M	-13.6M	1.36	2.99	28,290	38,450	945,403	765,824
2011-05-26	$43.73	$44.00	17.4%	5.0%	17.6%	0.0%	18.2%	2.7%	1.3%	17.5M	-159.1M	-13.7M	1.12	3.05	15,686	17,569	970,023	788,045
2011-05-27	$44.18	$44.00	17.8%	5.1%	18.1%	1.5%	18.1%	2.5%	1.4%	28.7M	-344.5M	-13.9M	1.34	2.94	25,310	33,908	979,280	795,165
2011-05-31	$45.37	$44.00	18.7%	5.4%	20.6%	5.5%	18.4%	1.5%	1.2%	62.7M	-870.5M	-14.5M	0.32	3.33	57,893	18,596	1,023,861	805,586