FXI Options History — February 2012

In February 2012, FXI traded between $38.93 and $40.49. ATM implied volatility averaged 26.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.9% (HV 20d: 21.4%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.74.

Notable Days

2012-02-15: Highest Volume — 158,517 contracts
2012-02-27: Largest IV spike — 16.4% change
2012-02-07: Highest IV Rank — 24.1%
2012-02-10: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.94	$38.93	$40.49	$39.42	$40.28
Max Pain	$39.85	$37.00	$41.00	$37.00	$40.00
ATM IV	26.2%	21.9%	30.4%	26.8%	27.8%
Expected Move	7.4%	6.7%	8.2%	7.1%	6.9%
HV 20d	21.4%	19.5%	23.4%	21.3%	19.7%
HV 60d	29.3%	24.5%	32.6%	32.6%	24.5%
IV Rank	16.4%	8.3%	24.1%	17.4%	19.3%
IV Percentile	49.9%	30.2%	60.7%	54.4%	54.0%
Term Structure	0.8%	-0.5%	1.9%	1.1%	0.9%
VWIV	26.1%	23.2%	29.2%	25.3%	25.5%
Skew 25d	4.2%	2.7%	5.3%	2.7%	3.3%
Skew 10d	9.0%	5.8%	12.3%	6.3%	6.0%
Call IV 25d	24.0%	21.8%	26.6%	23.3%	23.1%
Put IV 25d	28.2%	25.0%	31.7%	26.1%	26.4%
Bid-Ask Spread %	5.74	3.21	9.27	3.28	6.64
Gamma HHI	0.08	0.07	0.22	0.09	0.07
Net GEX	-812.6K	-19.6M	45.5M	-3.2M	-1.3M
Net DEX	-214.6M	-486.3M	83.5M	-220.2M	-79.3M
Net VEX	-7.3M	-7.8M	-6.5M	-6.5M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.45	7.01	1.00	7.01
Total Volume	68,540.05	27,675	158,517	48,607	73,507
Total OI	1,449,922.4	1,252,805	1,754,121	1,319,068	1,334,532

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
2012-02-01	$39.42	$37.00	26.8%	7.1%	21.3%	17.4%	25.3%	2.7%	1.1%	-3.2M	-220.2M	-6.5M	1.00	3.28	24,342	24,265	479,054	840,014
2012-02-02	$39.93	$37.00	24.6%	7.0%	20.2%	13.3%	25.7%	2.8%	1.1%	732.1K	-337.7M	-6.5M	2.23	3.21	19,293	42,960	489,734	841,306
2012-02-03	$40.49	$39.00	25.0%	7.4%	20.4%	14.1%	25.5%	3.9%	0.6%	-1.0M	-449.7M	-6.5M	0.98	5.69	54,979	53,892	498,676	867,951
2012-02-06	$39.87	$41.00	28.7%	7.7%	20.5%	21.0%	28.1%	4.3%	0.1%	-1.3M	-318.3M	-6.7M	0.88	9.27	18,059	15,963	532,378	894,558
2012-02-07	$39.72	$41.00	30.4%	7.9%	20.0%	24.1%	28.2%	4.1%	-0.5%	-2.2M	-293.1M	-6.8M	0.97	5.79	33,085	32,013	543,841	904,967
2012-02-08	$40.40	$41.00	25.6%	7.6%	19.5%	15.3%	27.5%	4.1%	0.2%	3.2M	-465.3M	-7.0M	1.85	6.01	43,755	81,039	566,014	924,931
2012-02-09	$40.09	$40.50	26.1%	7.5%	20.0%	16.2%	25.1%	4.7%	0.2%	-1.6M	-345.7M	-7.4M	0.78	5.96	33,718	26,155	588,116	987,085
2012-02-10	$38.93	$40.50	28.7%	8.2%	23.3%	21.0%	29.2%	5.1%	-0.4%	-19.6M	15.9M	-7.6M	1.81	5.74	27,395	49,500	602,319	989,575
2012-02-13	$39.42	$40.00	27.3%	7.8%	23.4%	18.3%	27.3%	5.1%	0.4%	-6.1M	-168.4M	-7.4M	0.98	6.89	26,020	25,458	594,877	990,871
2012-02-14	$39.39	$40.00	27.0%	7.7%	22.2%	17.7%	27.6%	4.6%	0.8%	-6.5M	-143.2M	-7.4M	1.27	3.28	22,593	28,697	608,173	1,008,434
2012-02-15	$39.81	$40.00	27.0%	7.7%	21.6%	17.7%	28.3%	5.3%	0.6%	209.3K	-292.4M	-7.5M	0.45	5.75	109,065	49,452	614,704	1,010,105
2012-02-16	$40.31	$40.00	25.7%	7.4%	21.9%	15.3%	26.3%	5.3%	1.5%	45.5M	-486.3M	-7.7M	1.24	5.54	23,810	29,502	685,151	1,041,212
2012-02-17	$40.26	$40.00	25.6%	7.3%	21.9%	15.2%	26.0%	5.1%	1.6%	7.7M	-449.2M	-7.6M	0.75	5.76	61,948	46,684	695,856	1,058,265
2012-02-21	$39.93	$40.00	26.1%	7.5%	22.2%	16.1%	25.9%	4.6%	0.9%	-5.7M	-10.9M	-7.8M	0.93	6.09	22,883	21,366	518,234	734,571
2012-02-22	$40.32	$40.00	24.1%	6.9%	22.4%	12.4%	24.7%	4.2%	1.9%	-2.3M	-117.7M	-7.7M	1.78	7.04	11,945	21,298	529,102	747,426
2012-02-23	$40.14	$40.00	24.3%	7.0%	22.2%	12.8%	24.3%	4.1%	1.4%	-5.9M	-63.3M	-7.7M	5.44	5.31	13,220	71,930	528,398	755,615
2012-02-24	$40.16	$40.00	21.9%	6.7%	22.1%	8.3%	23.2%	3.2%	1.5%	-6.3M	-64.7M	-7.8M	1.29	5.55	27,972	36,109	525,046	801,686
2012-02-27	$39.71	$40.00	25.4%	7.1%	22.2%	14.9%	24.5%	3.7%	0.3%	-9.5M	83.5M	-7.8M	1.51	5.73	15,649	23,605	530,178	805,877
2012-02-28	$40.29	$40.00	26.8%	6.8%	19.9%	17.5%	24.4%	3.6%	1.6%	-1.2M	-86.5M	-7.6M	1.59	6.22	10,665	17,010	526,138	803,478
2012-02-29	$40.28	$40.00	27.8%	6.9%	19.7%	19.3%	25.5%	3.3%	0.9%	-1.3M	-79.3M	-7.7M	7.01	6.64	9,178	64,329	527,801	806,731