FXI Options History — January 2012

In January 2012, FXI traded between $35.17 and $39.60. ATM implied volatility averaged 26.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.0% (HV 20d: 26.3%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.76.

Notable Days

2012-01-19: Highest Volume — 137,602 contracts
2012-01-30: Largest IV spike — 28.1% change
2012-01-30: Highest IV Rank — 23.2%
2012-01-06: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.59	$35.17	$39.60	$35.98	$38.83
Max Pain	$37.30	$37.00	$39.00	$39.00	$37.00
ATM IV	26.3%	23.3%	29.9%	29.7%	28.2%
Expected Move	7.5%	6.9%	8.3%	8.2%	7.2%
HV 20d	26.3%	19.4%	31.9%	31.6%	23.1%
HV 60d	38.7%	32.6%	42.6%	42.6%	32.6%
IV Rank	16.5%	11.0%	23.2%	22.8%	20.0%
IV Percentile	53.9%	44.8%	60.7%	60.7%	55.6%
Term Structure	1.7%	0.8%	2.9%	1.8%	0.8%
VWIV	27.2%	24.6%	30.3%	30.3%	27.1%
Skew 25d	3.2%	2.5%	4.8%	3.3%	2.8%
Skew 10d	6.6%	4.4%	9.9%	6.4%	5.6%
Call IV 25d	25.2%	23.2%	27.7%	27.6%	24.4%
Put IV 25d	28.3%	25.7%	31.4%	30.9%	27.2%
Bid-Ask Spread %	3.40	2.48	4.96	3.62	3.58
Gamma HHI	0.16	0.08	0.25	0.19	0.09
Net GEX	-23.2M	-53.6M	-529.0K	-41.0M	-9.0M
Net DEX	456.6M	-258.7M	1.50B	1.18B	-91.3M
Net VEX	-6.5M	-7.0M	-6.1M	-7.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.74	4.86	2.17	3.23
Total Volume	77,277.15	22,603	137,602	31,694	75,787
Total OI	2,021,149.75	1,163,403	2,588,842	2,315,740	1,268,232

Daily Data (20 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
2012-01-03	$35.98	$39.00	29.7%	8.2%	31.6%	22.8%	30.3%	3.3%	1.8%	-41.0M	1.18B	-7.0M	2.17	3.62	9,991	21,703	1,038,676	1,277,064
2012-01-04	$35.45	$39.00	28.9%	8.1%	31.6%	21.3%	28.2%	2.5%	2.9%	-44.7M	1.39B	-6.6M	4.86	3.51	13,127	63,754	1,037,812	1,270,757
2012-01-05	$35.69	$39.00	26.4%	7.6%	31.7%	16.6%	27.9%	3.6%	1.8%	-48.2M	1.35B	-6.6M	2.05	3.59	27,052	55,452	1,041,341	1,310,111
2012-01-06	$35.17	$37.00	26.6%	8.3%	31.9%	17.0%	30.0%	3.7%	1.6%	-53.6M	1.50B	-6.6M	1.39	4.88	47,655	66,455	1,048,483	1,326,264
2012-01-09	$35.92	$37.00	29.8%	8.1%	31.0%	23.0%	29.0%	3.3%	1.1%	-45.1M	1.22B	-6.5M	0.74	3.02	49,795	36,992	1,059,374	1,327,552
2012-01-10	$36.73	$37.00	26.1%	7.8%	31.5%	16.2%	27.5%	2.7%	1.3%	-27.5M	748.0M	-6.5M	1.23	4.78	42,396	52,103	1,085,392	1,332,188
2012-01-11	$36.74	$37.00	24.4%	7.7%	27.9%	12.9%	27.2%	3.2%	2.2%	-34.2M	838.5M	-6.7M	0.83	3.07	63,991	53,076	1,083,478	1,351,640
2012-01-12	$36.84	$37.00	26.0%	7.5%	27.8%	16.0%	26.2%	3.3%	2.6%	-31.7M	825.0M	-6.8M	0.89	2.65	26,190	23,216	1,116,672	1,386,188
2012-01-13	$36.74	$37.00	26.9%	7.7%	27.4%	17.6%	28.8%	3.5%	1.8%	-32.3M	871.6M	-6.6M	2.87	2.97	13,183	37,883	1,116,503	1,386,813
2012-01-17	$37.62	$37.00	25.8%	7.4%	27.9%	15.5%	26.9%	2.5%	1.8%	-22.5M	423.2M	-6.3M	1.34	3.34	40,202	54,072	1,118,441	1,395,026
2012-01-18	$38.32	$37.00	25.5%	7.3%	28.2%	15.0%	26.8%	3.9%	1.9%	-12.9M	27.4M	-6.2M	0.97	3.30	59,677	58,142	1,131,277	1,408,067
2012-01-19	$38.60	$37.00	25.8%	7.4%	25.5%	15.6%	28.1%	4.8%	1.2%	-529.0K	-128.0M	-6.3M	1.35	2.66	58,562	79,040	1,148,206	1,429,686
2012-01-20	$38.67	$37.00	24.2%	6.9%	22.0%	12.7%	25.9%	3.8%	2.0%	-3.0M	-183.0M	-6.2M	1.85	2.61	35,070	64,937	1,142,370	1,446,472
2012-01-23	$38.83	$37.00	24.7%	7.1%	21.5%	13.5%	26.2%	2.5%	1.3%	-13.7M	-87.2M	-6.1M	1.09	4.96	26,323	28,709	410,068	753,335
2012-01-24	$38.97	$37.00	24.8%	7.1%	21.1%	13.7%	25.3%	2.9%	1.3%	-12.3M	-109.4M	-6.2M	0.94	3.00	32,464	30,573	426,670	756,810
2012-01-25	$39.41	$37.00	24.4%	7.0%	21.2%	13.0%	24.6%	2.5%	1.7%	-6.4M	-211.4M	-6.6M	1.87	2.54	20,315	37,963	459,612	783,262
2012-01-26	$39.18	$37.00	24.9%	7.2%	21.3%	14.0%	26.0%	3.0%	1.4%	-7.5M	-164.3M	-6.5M	3.25	2.48	13,881	45,051	459,768	785,450
2012-01-27	$39.60	$37.00	23.3%	6.9%	19.4%	11.0%	25.7%	3.0%	1.5%	-4.7M	-258.7M	-6.5M	1.17	2.69	10,437	12,166	464,081	790,647
2012-01-30	$38.47	$37.00	29.9%	7.6%	23.1%	23.2%	27.0%	2.9%	1.4%	-13.7M	-1.4M	-6.5M	1.09	4.70	27,854	30,304	459,437	789,770
2012-01-31	$38.83	$37.00	28.2%	7.2%	23.1%	20.0%	27.1%	2.8%	0.8%	-9.0M	-91.3M	-6.5M	3.23	3.58	17,909	57,878	468,335	799,897