FXI Options History — December 2011

In December 2011, FXI traded between $33.61 and $36.87. ATM implied volatility averaged 33.6%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 4.4% (HV 20d: 38.0%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2011-12-02: Highest Volume — 99,549 contracts
2011-12-08: Largest IV spike — 14.0% change
2011-12-06: Highest IV Rank — 45.3%
2011-12-08: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.31	$33.61	$36.87	$36.62	$34.87
Max Pain	$38.67	$36.00	$39.00	$36.00	$38.00
ATM IV	33.6%	25.6%	41.9%	35.2%	25.6%
Expected Move	9.3%	8.1%	10.6%	9.8%	8.4%
HV 20d	38.0%	29.3%	42.6%	42.6%	29.3%
HV 60d	47.0%	42.2%	49.6%	48.9%	42.2%
IV Rank	30.0%	15.2%	45.3%	33.0%	15.2%
IV Percentile	68.5%	56.0%	86.5%	72.6%	56.0%
Term Structure	0.8%	-1.6%	2.2%	-1.3%	1.9%
VWIV	32.6%	28.0%	38.0%	35.3%	30.1%
Skew 25d	5.5%	2.7%	8.2%	2.7%	4.0%
Skew 10d	11.2%	4.6%	17.1%	4.6%	7.4%
Call IV 25d	30.2%	26.4%	34.4%	33.7%	28.0%
Put IV 25d	35.7%	30.0%	42.2%	36.4%	31.9%
Bid-Ask Spread %	4.90	3.48	7.56	6.29	6.13
Gamma HHI	0.16	0.11	0.21	0.11	0.21
Net GEX	-35.3M	-64.1M	-7.0M	-14.1M	-46.5M
Net DEX	1.36B	682.9M	2.01B	800.4M	1.54B
Net VEX	-8.2M	-10.1M	-6.8M	-10.1M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.39	4.81	1.91	1.74
Total Volume	52,792.048	19,951	99,549	55,756	19,951
Total OI	2,473,631.476	2,218,344	2,689,291	2,592,929	2,324,826

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
2011-12-01	$36.62	$36.00	35.2%	9.8%	42.6%	33.0%	35.3%	2.7%	-1.3%	-14.1M	800.4M	-10.1M	1.91	6.29	19,165	36,591	1,211,343	1,381,586
2011-12-02	$36.40	$36.00	36.3%	10.4%	42.1%	35.1%	35.5%	3.5%	-1.6%	-16.7M	907.6M	-9.9M	0.56	4.72	63,837	35,712	1,210,446	1,394,311
2011-12-05	$36.87	$39.00	39.7%	9.7%	42.3%	41.3%	34.6%	7.3%	0.1%	-7.0M	682.9M	-9.9M	1.47	5.45	11,859	17,375	1,232,327	1,390,691
2011-12-06	$36.56	$39.00	41.9%	9.7%	42.1%	45.3%	34.4%	7.6%	0.4%	-16.1M	877.3M	-9.6M	0.41	4.88	38,626	15,686	1,212,230	1,398,206
2011-12-07	$36.82	$39.00	36.3%	9.8%	41.5%	35.0%	32.1%	7.4%	0.0%	-13.8M	760.8M	-9.7M	1.94	4.79	20,518	39,754	1,213,530	1,402,833
2011-12-08	$35.70	$39.00	41.3%	10.6%	38.1%	44.4%	38.0%	8.2%	-0.7%	-30.0M	1.25B	-9.4M	2.01	3.89	20,815	41,757	1,225,056	1,416,961
2011-12-09	$36.30	$39.00	36.2%	10.1%	38.6%	34.8%	36.3%	7.8%	0.1%	-18.0M	1.00B	-9.3M	1.68	4.14	18,571	31,214	1,232,567	1,422,641
2011-12-12	$34.94	$39.00	40.6%	10.4%	39.8%	43.0%	36.9%	7.3%	0.1%	-34.5M	1.57B	-8.4M	1.97	4.26	15,997	31,581	1,230,379	1,402,928
2011-12-13	$34.74	$39.00	35.9%	9.8%	39.6%	34.3%	35.1%	6.8%	0.6%	-40.6M	1.71B	-7.9M	3.62	4.85	18,649	67,568	1,228,823	1,412,139
2011-12-14	$34.38	$39.00	37.2%	10.2%	39.2%	36.6%	35.2%	7.1%	0.9%	-50.6M	1.88B	-7.9M	3.11	4.19	10,656	33,136	1,237,447	1,433,078
2011-12-15	$34.09	$39.00	33.6%	9.6%	36.5%	30.0%	33.9%	6.5%	1.3%	-64.1M	2.01B	-7.6M	2.18	3.48	21,225	46,186	1,241,388	1,447,903
2011-12-16	$34.53	$39.00	30.7%	8.8%	35.9%	24.7%	32.0%	6.1%	1.2%	-59.3M	1.87B	-7.4M	1.35	3.56	27,868	37,733	1,239,536	1,434,174
2011-12-19	$33.61	$39.00	32.9%	9.4%	37.1%	28.7%	33.9%	7.1%	1.1%	-41.9M	1.85B	-7.0M	1.62	4.98	15,426	24,952	997,728	1,227,554
2011-12-20	$35.04	$39.00	29.5%	8.4%	38.6%	22.4%	31.0%	4.4%	1.9%	-39.9M	1.39B	-7.6M	1.31	5.52	31,963	41,882	1,004,713	1,213,631
2011-12-21	$34.76	$39.00	28.9%	8.3%	38.7%	21.2%	28.4%	4.6%	1.9%	-41.9M	1.49B	-7.3M	0.74	4.48	13,703	10,209	1,016,858	1,224,284
2011-12-22	$35.31	$39.00	28.4%	8.1%	37.6%	20.4%	28.4%	4.1%	2.2%	-38.8M	1.31B	-7.5M	1.41	5.17	18,000	25,362	1,019,042	1,220,620
2011-12-23	$35.31	$39.00	28.2%	8.1%	37.5%	20.0%	28.0%	3.6%	2.1%	-39.2M	1.30B	-7.4M	0.72	4.49	19,195	13,727	1,030,802	1,220,654
2011-12-27	$35.18	$39.00	28.6%	8.2%	35.3%	20.8%	28.0%	3.8%	1.8%	-39.0M	1.36B	-7.0M	0.39	5.41	17,434	6,884	1,038,864	1,221,631
2011-12-28	$34.53	$39.00	29.4%	8.4%	35.8%	22.2%	29.2%	3.3%	1.8%	-43.0M	1.56B	-6.8M	4.81	4.72	8,628	41,496	1,027,143	1,224,780
2011-12-29	$34.85	$39.00	28.6%	8.2%	29.7%	20.8%	28.0%	3.3%	1.9%	-46.0M	1.51B	-6.9M	1.24	7.56	34,642	43,100	1,029,347	1,251,261
2011-12-30	$34.87	$38.00	25.6%	8.4%	29.3%	15.2%	30.1%	4.0%	1.9%	-46.5M	1.54B	-7.0M	1.74	6.13	7,291	12,660	1,057,918	1,266,908