FXI Options History — November 2011

In November 2011, FXI traded between $33.33 and $38.95. ATM implied volatility averaged 43.5%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 5.9% (HV 20d: 49.4%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2011-11-01: Highest Volume — 244,545 contracts
2011-11-16: Largest IV spike — 16.8% change
2011-11-01: Highest IV Rank — 67.5%
2011-11-23: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.18	$33.33	$38.95	$35.51	$36.22
Max Pain	$36.43	$36.00	$39.00	$39.00	$36.00
ATM IV	43.5%	37.3%	53.8%	53.8%	43.9%
Expected Move	11.6%	10.1%	13.2%	12.1%	10.1%
HV 20d	49.4%	42.3%	52.6%	50.0%	46.6%
HV 60d	47.4%	46.0%	49.4%	48.8%	49.0%
IV Rank	48.4%	36.9%	67.5%	67.5%	49.1%
IV Percentile	90.2%	79.8%	97.6%	97.6%	89.7%
Term Structure	-1.9%	-3.6%	-0.3%	-3.0%	-1.7%
VWIV	40.8%	35.3%	52.7%	44.7%	35.3%
Skew 25d	9.6%	3.3%	13.3%	13.3%	3.3%
Skew 10d	19.5%	5.3%	28.2%	28.2%	5.3%
Call IV 25d	36.2%	33.2%	39.8%	38.5%	34.0%
Put IV 25d	45.8%	37.3%	51.7%	51.7%	37.3%
Bid-Ask Spread %	5.26	3.81	7.67	5.62	7.67
Gamma HHI	0.10	0.08	0.14	0.08	0.12
Net GEX	-12.5M	-35.0M	15.2M	-19.1M	-18.3M
Net DEX	1.03B	-203.0M	1.87B	1.37B	946.0M
Net VEX	-10.8M	-12.4M	-8.8M	-10.4M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.31	4.40	0.54	1.08
Total Volume	100,208.524	61,318	244,545	244,545	140,669
Total OI	2,963,823.095	2,422,347	3,340,656	2,891,278	2,552,201

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
2011-11-01	$35.51	$39.00	53.8%	12.1%	50.0%	67.5%	44.7%	13.3%	-3.0%	-19.1M	1.37B	-10.4M	0.54	5.62	158,725	85,820	1,523,005	1,368,273
2011-11-02	$37.44	$39.00	48.4%	11.6%	51.3%	57.4%	37.7%	11.6%	-2.0%	-1.4M	559.2M	-12.0M	0.67	5.47	62,028	41,532	1,622,827	1,425,178
2011-11-03	$38.07	$39.00	40.4%	11.1%	51.3%	42.7%	41.9%	9.9%	-0.9%	4.5M	255.6M	-12.2M	1.82	4.36	50,776	92,453	1,633,297	1,431,503
2011-11-04	$37.72	$36.00	40.5%	10.9%	51.1%	42.7%	38.1%	8.8%	-2.4%	-332.2K	469.2M	-12.3M	0.51	5.09	40,522	20,796	1,637,010	1,472,460
2011-11-07	$38.21	$36.00	45.2%	10.9%	48.7%	51.5%	36.8%	7.2%	-3.0%	5.6M	209.0M	-12.1M	0.43	5.03	60,210	25,905	1,656,560	1,465,100
2011-11-08	$38.95	$36.00	41.2%	10.5%	48.6%	44.1%	38.7%	7.2%	-2.8%	15.2M	-203.0M	-12.4M	1.68	4.76	36,370	60,965	1,682,571	1,474,656
2011-11-09	$36.84	$36.00	46.6%	12.2%	52.1%	54.0%	42.6%	10.6%	-3.6%	-5.6M	879.7M	-12.0M	1.91	5.66	37,301	71,418	1,695,580	1,513,114
2011-11-10	$36.99	$36.00	40.2%	11.5%	51.8%	42.2%	40.1%	11.7%	-2.8%	-5.3M	839.0M	-11.8M	1.70	3.81	25,090	42,574	1,701,115	1,532,559
2011-11-11	$37.80	$36.00	38.1%	10.9%	52.1%	38.4%	38.1%	10.1%	-1.9%	1.2M	494.4M	-12.0M	0.52	4.92	49,633	25,864	1,695,899	1,555,694
2011-11-14	$37.31	$36.00	38.9%	11.1%	50.7%	39.8%	38.8%	10.3%	-1.5%	-2.2M	763.8M	-11.4M	1.29	4.19	30,048	38,832	1,698,737	1,552,952
2011-11-15	$37.79	$36.00	37.3%	10.7%	50.6%	36.9%	37.5%	10.7%	-0.8%	2.2M	573.2M	-11.6M	1.94	4.28	23,347	45,323	1,702,276	1,573,906
2011-11-16	$36.19	$36.00	43.6%	12.5%	52.0%	48.5%	42.7%	10.5%	-3.4%	-17.1M	1.29B	-11.1M	0.80	5.11	58,860	47,323	1,706,696	1,600,995
2011-11-17	$35.28	$36.00	43.7%	12.5%	52.6%	48.7%	42.9%	11.8%	-2.3%	-26.3M	1.69B	-10.6M	1.62	3.85	32,934	53,411	1,729,989	1,610,667
2011-11-18	$35.32	$36.00	41.9%	12.0%	51.9%	45.4%	40.6%	11.0%	-1.1%	-26.2M	1.59B	-10.5M	0.94	4.46	40,973	38,414	1,726,831	1,612,673
2011-11-21	$34.24	$36.00	44.2%	12.7%	49.6%	49.7%	45.7%	9.9%	-2.0%	-25.3M	1.51B	-9.6M	2.28	5.57	23,799	54,192	1,145,025	1,277,322
2011-11-22	$34.32	$36.00	40.9%	11.7%	49.3%	43.6%	40.1%	8.3%	-0.6%	-29.3M	1.60B	-9.4M	4.14	4.91	17,646	73,056	1,146,204	1,315,068
2011-11-23	$33.38	$36.00	46.0%	13.2%	47.8%	53.0%	52.7%	11.4%	-1.9%	-35.0M	1.87B	-9.2M	4.40	6.08	11,644	51,275	1,142,781	1,367,100
2011-11-25	$33.33	$36.00	47.3%	12.6%	42.3%	55.5%	42.6%	10.4%	-0.3%	-34.3M	1.83B	-8.8M	0.31	5.68	110,295	34,238	1,146,417	1,348,881
2011-11-28	$34.61	$36.00	44.0%	11.2%	45.1%	49.4%	41.9%	8.3%	-0.3%	-22.2M	1.48B	-9.3M	0.55	7.34	57,027	31,540	1,239,340	1,344,679
2011-11-29	$34.29	$36.00	47.3%	11.2%	42.3%	55.3%	38.0%	5.3%	-1.9%	-23.0M	1.55B	-9.0M	1.89	6.49	35,172	66,379	1,269,042	1,344,102
2011-11-30	$36.22	$36.00	43.9%	10.1%	46.6%	49.1%	35.3%	3.3%	-1.7%	-18.3M	946.0M	-9.8M	1.08	7.67	67,604	73,065	1,190,809	1,361,392