FXI Options History — September 2011

In September 2011, FXI traded between $30.83 and $38.09. ATM implied volatility averaged 40.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.3% (HV 20d: 38.3%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2011-09-30: Highest Volume — 168,955 contracts
2011-09-30: Largest IV spike — 34.6% change
2011-09-30: Highest IV Rank — 83.5%
2011-09-30: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.95	$30.83	$38.09	$38.09	$30.83
Max Pain	$36.95	$36.00	$38.00	$38.00	$36.00
ATM IV	40.6%	30.8%	62.5%	31.7%	62.5%
Expected Move	11.4%	8.8%	15.6%	8.9%	15.6%
HV 20d	38.3%	28.6%	53.2%	52.6%	47.1%
HV 60d	36.5%	34.2%	42.5%	34.2%	42.5%
IV Rank	43.1%	24.8%	83.5%	26.5%	83.5%
IV Percentile	95.2%	86.9%	99.6%	91.7%	99.6%
Term Structure	-1.0%	-3.0%	1.1%	0.2%	-1.2%
VWIV	40.2%	30.3%	54.3%	32.2%	54.3%
Skew 25d	10.7%	5.8%	15.0%	5.8%	14.1%
Skew 10d	23.3%	12.8%	30.1%	12.8%	27.5%
Call IV 25d	35.2%	28.4%	48.2%	28.8%	48.2%
Put IV 25d	45.9%	34.6%	62.3%	34.6%	62.3%
Bid-Ask Spread %	4.44	3.65	5.95	5.95	4.45
Gamma HHI	0.07	0.06	0.10	0.08	0.06
Net GEX	-17.7M	-30.9M	1.8M	1.8M	-19.9M
Net DEX	1.42B	742.3M	1.94B	742.3M	1.94B
Net VEX	-8.8M	-11.5M	-6.4M	-11.5M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.22	3.00	1.27	1.91
Total Volume	56,490.19	20,514	168,955	42,247	168,955
Total OI	2,224,263.333	2,061,651	2,319,404	2,271,530	2,276,977

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
2011-09-01	$38.09	$38.00	31.7%	8.9%	52.6%	26.5%	32.2%	5.8%	0.2%	1.8M	742.3M	-11.5M	1.27	5.95	18,632	23,615	1,314,376	957,154
2011-09-02	$37.12	$38.00	32.5%	9.2%	53.2%	28.0%	33.8%	6.8%	1.0%	-12.7M	1.06B	-10.7M	1.47	4.17	18,920	27,887	1,302,099	963,954
2011-09-06	$37.17	$38.00	43.3%	10.2%	45.9%	47.9%	37.1%	9.9%	-1.3%	-10.2M	1.04B	-10.6M	0.22	4.04	61,789	13,630	1,312,056	949,320
2011-09-07	$37.85	$38.00	32.4%	9.2%	44.1%	27.8%	30.3%	8.8%	-0.7%	308.6K	833.0M	-10.9M	0.46	3.92	25,399	11,656	1,334,140	953,287
2011-09-08	$36.95	$38.00	34.8%	9.9%	38.1%	32.2%	34.4%	8.7%	-1.5%	-11.7M	1.10B	-10.2M	1.40	3.90	8,536	11,978	1,335,309	956,753
2011-09-09	$35.95	$38.00	42.4%	11.3%	34.5%	46.4%	37.3%	10.2%	-2.0%	-20.7M	1.34B	-9.6M	0.85	4.54	20,853	17,722	1,294,713	957,795
2011-09-12	$35.79	$38.00	43.2%	11.5%	34.5%	47.9%	41.7%	12.1%	-2.0%	-22.8M	1.39B	-9.3M	1.29	4.47	15,252	19,621	1,297,321	954,530
2011-09-13	$35.88	$38.00	35.8%	10.4%	31.5%	34.1%	36.7%	11.8%	-0.7%	-27.2M	1.42B	-9.1M	1.36	4.11	20,033	27,282	1,298,297	957,705
2011-09-14	$35.97	$37.00	33.9%	10.4%	31.5%	30.6%	34.5%	10.4%	-0.3%	-30.7M	1.42B	-9.2M	0.77	4.54	48,416	37,100	1,299,540	969,523
2011-09-15	$36.36	$37.00	34.6%	9.9%	31.8%	31.9%	34.7%	9.4%	-0.3%	-30.9M	1.36B	-9.6M	1.24	4.72	11,201	13,941	1,328,498	990,424
2011-09-16	$36.62	$37.00	30.8%	8.8%	28.6%	24.8%	32.0%	7.7%	1.1%	-19.7M	1.30B	-9.5M	0.69	4.08	21,389	14,709	1,332,168	987,236
2011-09-19	$35.41	$37.00	36.5%	10.5%	30.9%	35.4%	41.7%	9.8%	-0.4%	-19.9M	1.42B	-8.5M	1.88	3.65	18,283	34,428	1,201,520	860,131
2011-09-20	$35.22	$36.00	36.0%	10.3%	30.9%	34.5%	35.8%	8.2%	-0.1%	-18.5M	1.41B	-8.6M	0.53	3.68	22,436	11,987	1,212,363	885,436
2011-09-21	$33.67	$36.00	39.0%	11.2%	29.8%	40.0%	39.7%	9.1%	-0.9%	-19.0M	1.62B	-7.5M	1.27	5.45	28,477	36,154	1,215,297	885,034
2011-09-22	$31.53	$36.00	49.6%	14.2%	36.7%	59.6%	53.3%	14.2%	-3.0%	-17.0M	1.80B	-6.6M	1.90	4.83	31,919	60,749	1,229,558	904,215
2011-09-23	$32.27	$36.00	48.7%	14.0%	38.4%	58.0%	49.4%	12.9%	-2.6%	-17.2M	1.75B	-7.2M	1.36	4.41	26,332	35,726	1,243,988	931,206
2011-09-26	$32.13	$36.00	46.2%	13.3%	37.9%	53.4%	46.0%	13.0%	-2.0%	-18.9M	1.79B	-6.9M	1.19	4.65	15,135	18,072	1,251,808	937,669
2011-09-27	$33.76	$36.00	42.8%	12.3%	41.3%	47.1%	43.7%	11.7%	-2.2%	-18.6M	1.62B	-7.8M	0.67	4.05	20,695	13,942	1,256,651	939,953
2011-09-28	$32.49	$36.00	50.2%	14.4%	42.8%	60.7%	49.4%	15.0%	-2.3%	-19.4M	1.76B	-7.0M	1.32	4.69	28,448	37,661	1,262,889	942,621
2011-09-29	$32.91	$36.00	46.4%	13.3%	42.4%	53.7%	46.6%	14.5%	-0.9%	-19.6M	1.73B	-7.4M	3.00	4.88	21,813	65,521	1,261,352	964,664
2011-09-30	$30.83	$36.00	62.5%	15.6%	47.1%	83.5%	54.3%	14.1%	-1.2%	-19.9M	1.94B	-6.4M	1.91	4.45	57,981	110,974	1,274,190	1,002,787