FXI Options History — October 2011

In October 2011, FXI traded between $29.75 and $38.21. ATM implied volatility averaged 43.6%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 9.0% (HV 20d: 52.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2011-10-06: Highest Volume — 195,196 contracts
2011-10-31: Largest IV spike — 34.6% change
2011-10-03: Highest IV Rank — 97.2%
2011-10-03: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.71	$29.75	$38.21	$29.75	$36.06
Max Pain	$38.81	$35.00	$40.00	$35.00	$39.00
ATM IV	43.6%	33.5%	69.8%	69.8%	45.1%
Expected Move	11.9%	9.4%	15.8%	15.8%	11.2%
HV 20d	52.6%	47.6%	57.2%	47.6%	49.3%
HV 60d	46.7%	42.8%	51.1%	42.9%	51.1%
IV Rank	48.6%	29.8%	97.2%	97.2%	51.3%
IV Percentile	91.2%	78.6%	99.6%	99.6%	94.0%
Term Structure	-1.1%	-2.3%	1.2%	-0.3%	-2.1%
VWIV	42.4%	35.7%	53.7%	53.2%	40.2%
Skew 25d	9.0%	6.4%	14.1%	14.1%	8.1%
Skew 10d	18.1%	12.9%	28.3%	28.3%	17.8%
Call IV 25d	37.9%	30.8%	50.2%	50.2%	36.1%
Put IV 25d	46.8%	37.5%	64.3%	64.3%	44.1%
Bid-Ask Spread %	3.93	2.84	5.40	4.14	5.40
Gamma HHI	0.06	0.05	0.07	0.06	0.07
Net GEX	-19.3M	-28.4M	-4.6M	-20.3M	-15.1M
Net DEX	1.60B	330.0M	2.14B	2.08B	1.15B
Net VEX	-8.8M	-11.7M	-5.8M	-6.0M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.38	2.83	2.21	0.86
Total Volume	96,079.905	43,407	195,196	91,444	60,412
Total OI	2,737,960.429	2,394,081	2,953,010	2,394,081	2,863,386

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
2011-10-03	$29.75	$35.00	69.8%	15.8%	47.6%	97.2%	53.2%	14.1%	-0.3%	-20.3M	2.08B	-6.0M	2.21	4.14	28,485	62,959	1,321,436	1,072,645
2011-10-04	$29.79	$35.00	62.8%	15.0%	47.6%	84.2%	53.7%	13.5%	1.0%	-21.9M	2.14B	-5.8M	1.75	5.17	52,523	91,680	1,333,700	1,095,841
2011-10-05	$31.00	$35.00	52.3%	13.3%	49.9%	64.8%	47.5%	9.8%	1.1%	-22.7M	2.04B	-6.6M	1.40	3.22	55,776	78,077	1,359,190	1,134,074
2011-10-06	$31.44	$35.00	45.8%	12.7%	50.3%	52.7%	46.0%	7.3%	1.2%	-21.6M	2.01B	-7.2M	2.46	3.09	56,475	138,721	1,387,324	1,172,852
2011-10-07	$31.04	$40.00	45.9%	13.6%	49.9%	52.7%	48.7%	11.1%	-2.0%	-22.5M	2.10B	-7.5M	1.70	3.42	16,115	27,328	1,412,210	1,267,151
2011-10-10	$32.69	$40.00	44.8%	12.1%	54.1%	50.7%	45.2%	7.5%	-1.6%	-22.1M	1.83B	-8.2M	0.76	3.26	49,373	37,697	1,410,078	1,254,047
2011-10-11	$33.40	$40.00	49.9%	12.3%	54.8%	60.3%	42.2%	8.4%	-2.3%	-19.2M	1.69B	-8.6M	0.95	3.10	28,864	27,445	1,425,559	1,268,707
2011-10-12	$34.72	$40.00	37.8%	10.8%	56.9%	37.8%	39.1%	6.7%	-1.0%	-14.6M	1.35B	-9.4M	1.55	3.42	72,401	112,471	1,430,015	1,273,420
2011-10-13	$34.31	$40.00	37.4%	10.7%	56.8%	37.1%	38.4%	7.8%	-1.2%	-21.0M	1.58B	-9.1M	2.44	4.15	31,347	76,513	1,457,025	1,319,336
2011-10-14	$34.67	$40.00	36.8%	10.5%	56.8%	35.9%	38.6%	7.6%	-0.9%	-20.7M	1.52B	-9.7M	0.38	3.97	68,961	26,035	1,472,237	1,359,823
2011-10-17	$33.57	$40.00	38.8%	11.1%	56.8%	39.7%	39.6%	9.3%	-1.3%	-17.9M	1.77B	-9.1M	2.22	3.80	25,418	56,501	1,515,023	1,363,565
2011-10-18	$34.14	$40.00	38.3%	11.0%	57.2%	38.8%	40.5%	7.9%	-1.3%	-14.0M	1.65B	-9.3M	0.95	3.91	30,013	28,606	1,526,473	1,389,947
2011-10-19	$33.12	$40.00	41.2%	11.8%	55.9%	44.1%	41.6%	8.8%	-2.3%	-23.2M	1.94B	-8.7M	2.46	2.84	14,211	34,959	1,535,144	1,396,324
2011-10-20	$32.57	$40.00	41.3%	11.8%	50.8%	44.3%	45.0%	8.9%	-1.5%	-28.4M	2.08B	-8.4M	2.83	3.10	11,327	32,080	1,540,713	1,406,229
2011-10-21	$33.46	$40.00	40.6%	11.7%	51.1%	43.1%	39.6%	8.3%	-1.8%	-26.0M	1.89B	-8.7M	0.65	3.60	33,012	21,376	1,541,932	1,411,078
2011-10-24	$35.28	$40.00	38.3%	11.0%	54.1%	38.7%	40.7%	8.5%	-1.9%	-22.9M	1.41B	-9.6M	1.09	4.39	46,761	51,118	1,403,198	1,271,064
2011-10-25	$34.73	$39.00	40.0%	11.5%	51.9%	41.8%	40.8%	10.9%	-1.7%	-22.3M	1.53B	-9.5M	1.37	3.66	21,119	28,829	1,418,608	1,281,337
2011-10-26	$36.13	$39.00	40.0%	11.5%	51.3%	41.9%	38.0%	10.2%	-1.8%	-19.0M	1.13B	-10.4M	0.71	4.51	90,254	64,363	1,423,214	1,292,398
2011-10-27	$38.21	$39.00	35.9%	10.3%	54.3%	34.2%	35.7%	6.4%	-1.1%	-5.3M	330.0M	-11.7M	0.53	5.25	86,516	45,739	1,482,400	1,339,160
2011-10-28	$37.79	$39.00	33.5%	9.4%	47.7%	29.8%	35.9%	6.7%	0.3%	-4.6M	484.6M	-11.5M	0.87	5.21	51,375	44,443	1,512,878	1,356,428
2011-10-31	$36.06	$39.00	45.1%	11.2%	49.3%	51.3%	40.2%	8.1%	-2.1%	-15.1M	1.15B	-10.5M	0.86	5.40	32,552	27,860	1,514,118	1,349,268