FXI Options History — August 2011

In August 2011, FXI traded between $35.12 and $42.22. ATM implied volatility averaged 39.2%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.3% (HV 20d: 42.5%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.22.

Notable Days

2011-08-15: Highest Volume — 189,263 contracts
2011-08-08: Largest IV spike — 70.9% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.75	$35.12	$42.22	$42.22	$38.63
Max Pain	$39.48	$38.00	$43.00	$43.00	$38.00
ATM IV	39.2%	29.6%	71.4%	31.9%	37.8%
Expected Move	9.8%	6.8%	12.9%	6.8%	8.4%
HV 20d	42.5%	16.6%	54.4%	16.6%	54.4%
HV 60d	29.3%	18.3%	34.2%	18.3%	34.1%
IV Rank	54.1%	22.7%	100.0%	100.0%	37.9%
IV Percentile	97.9%	94.0%	100.0%	100.0%	96.0%
Term Structure	-2.6%	-6.1%	0.1%	-0.7%	-0.2%
VWIV	35.1%	23.7%	47.6%	23.7%	32.4%
Skew 25d	8.5%	2.9%	14.3%	2.9%	7.5%
Skew 10d	19.0%	6.1%	33.4%	6.1%	15.3%
Call IV 25d	31.0%	23.0%	39.6%	23.1%	27.4%
Put IV 25d	39.5%	26.0%	53.8%	26.0%	34.9%
Bid-Ask Spread %	6.28	3.78	12.52	5.58	5.72
Gamma HHI	0.09	0.07	0.12	0.08	0.08
Net GEX	-21.5M	-42.5M	4.6M	2.0M	4.6M
Net DEX	1.47B	178.4M	2.46B	178.4M	618.9M
Net VEX	-11.3M	-14.4M	-9.5M	-14.4M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.31	2.65	0.31	0.78
Total Volume	95,303.217	32,615	189,263	51,099	70,749
Total OI	2,498,041.043	2,123,136	2,890,357	2,381,783	2,232,704

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
2011-08-01	$42.22	$43.00	31.9%	6.8%	16.6%	100.0%	23.7%	2.9%	-0.7%	2.0M	178.4M	-14.4M	0.31	5.58	39,042	12,057	1,312,100	1,069,683
2011-08-02	$41.15	$43.00	34.2%	7.1%	18.6%	100.0%	26.0%	3.5%	-0.7%	-25.5M	701.7M	-13.8M	0.77	4.83	37,660	29,177	1,325,213	1,074,602
2011-08-03	$40.93	$43.00	31.9%	6.9%	18.2%	86.0%	25.6%	4.1%	0.1%	-32.1M	834.0M	-13.4M	0.85	5.22	43,920	37,474	1,345,315	1,083,124
2011-08-04	$39.24	$43.00	39.2%	9.9%	22.7%	100.0%	33.6%	6.5%	-4.7%	-40.8M	1.48B	-12.7M	0.67	6.58	78,980	52,912	1,374,475	1,091,923
2011-08-05	$38.76	$42.00	41.8%	9.3%	22.7%	100.0%	35.7%	8.6%	-2.2%	-37.7M	1.60B	-12.8M	1.10	7.85	82,881	90,806	1,407,799	1,101,298
2011-08-08	$35.99	$42.00	71.4%	12.1%	33.1%	100.0%	40.8%	11.8%	-5.8%	-34.2M	2.23B	-10.4M	1.49	6.61	68,041	101,625	1,446,286	1,146,439
2011-08-09	$37.46	$42.00	53.8%	10.9%	37.0%	67.5%	39.0%	10.8%	-4.8%	-42.5M	2.07B	-11.4M	1.40	12.52	65,370	91,291	1,481,112	1,182,382
2011-08-10	$35.12	$39.00	56.7%	12.9%	41.9%	72.8%	47.6%	14.3%	-6.1%	-32.1M	2.46B	-9.5M	1.10	8.52	62,738	69,043	1,508,844	1,183,470
2011-08-11	$37.02	$39.00	35.9%	10.3%	47.2%	34.2%	36.9%	10.3%	-3.9%	-36.2M	2.15B	-10.7M	2.44	9.10	37,734	92,142	1,549,033	1,186,097
2011-08-12	$36.71	$38.00	34.9%	10.0%	47.1%	32.4%	35.3%	9.9%	-3.2%	-36.3M	2.23B	-10.2M	0.93	7.06	16,906	15,709	1,564,191	1,193,073
2011-08-15	$38.08	$38.00	32.0%	9.2%	49.5%	27.0%	32.0%	6.8%	-1.9%	-34.6M	1.90B	-10.7M	0.46	6.30	129,246	60,017	1,565,877	1,178,516
2011-08-16	$37.82	$38.00	31.6%	9.0%	49.0%	26.3%	32.4%	6.5%	-1.8%	-23.4M	1.83B	-11.0M	1.10	5.02	37,419	41,246	1,659,293	1,177,002
2011-08-17	$37.67	$38.00	29.6%	8.5%	48.9%	22.7%	32.1%	5.3%	-0.9%	-25.5M	1.92B	-10.7M	1.49	4.31	49,740	73,942	1,674,538	1,199,590
2011-08-18	$36.20	$38.00	37.4%	10.7%	50.2%	37.1%	38.1%	9.0%	-4.3%	-32.9M	2.26B	-9.9M	0.77	7.39	48,548	37,197	1,674,563	1,215,363
2011-08-19	$35.88	$38.00	39.7%	11.4%	50.0%	41.4%	40.1%	10.0%	-5.1%	-31.4M	2.30B	-9.9M	0.85	5.79	62,539	52,930	1,671,403	1,218,954
2011-08-22	$35.67	$38.00	38.9%	11.2%	50.0%	39.8%	40.1%	9.3%	-3.8%	-13.2M	1.28B	-9.7M	1.78	4.60	17,457	31,084	1,254,355	868,781
2011-08-23	$37.31	$38.00	33.8%	9.7%	53.0%	30.5%	34.2%	9.2%	-2.0%	-7.9M	990.8M	-10.9M	0.92	4.98	33,436	30,728	1,260,350	886,862
2011-08-24	$36.88	$38.00	34.9%	10.0%	53.0%	32.5%	36.7%	9.8%	-1.6%	-8.0M	1.05B	-10.8M	0.66	3.78	56,508	37,472	1,279,932	894,498
2011-08-25	$36.63	$38.00	40.8%	11.7%	52.8%	43.4%	43.9%	12.7%	-4.5%	-6.5M	1.05B	-11.0M	2.65	4.89	10,051	26,657	1,304,801	913,055
2011-08-26	$36.96	$38.00	36.3%	10.1%	53.0%	35.0%	35.9%	10.2%	-0.5%	-4.0M	1.04B	-10.9M	2.37	6.42	11,833	28,076	1,304,494	924,133
2011-08-29	$37.97	$38.00	37.9%	9.2%	54.4%	37.9%	33.1%	7.7%	-0.3%	2.4M	779.7M	-11.5M	2.31	5.35	17,570	40,615	1,301,094	918,668
2011-08-30	$37.94	$38.00	39.2%	9.6%	53.8%	40.4%	31.9%	9.3%	-1.8%	124.2K	830.4M	-11.4M	0.74	6.14	35,245	26,161	1,310,729	938,930
2011-08-31	$38.63	$38.00	37.8%	8.4%	54.4%	37.9%	32.4%	7.5%	-0.2%	4.6M	618.9M	-11.7M	0.78	5.72	39,668	31,081	1,293,166	939,538