FXI Options History — June 2012

In June 2012, FXI traded between $31.83 and $34.90. ATM implied volatility averaged 27.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.3% (HV 20d: 28.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.44.

Notable Days

2012-06-19: Highest Volume — 978,848 contracts
2012-06-06: Largest IV drop — 20.2% change
2012-06-04: Highest IV Rank — 36.3%
2012-06-04: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.21	$31.83	$34.90	$32.69	$33.67
Max Pain	$35.57	$35.00	$36.00	$36.00	$36.00
ATM IV	27.6%	21.4%	37.5%	33.6%	21.4%
Expected Move	7.9%	6.4%	9.2%	8.9%	6.4%
HV 20d	28.9%	25.2%	32.9%	25.3%	31.1%
HV 60d	24.2%	23.1%	26.6%	24.0%	26.6%
IV Rank	17.4%	5.8%	36.3%	28.7%	5.8%
IV Percentile	38.7%	4.8%	75.0%	64.7%	4.8%
Term Structure	0.4%	-0.7%	1.4%	-0.4%	1.4%
VWIV	28.9%	23.5%	34.1%	32.5%	23.5%
Skew 25d	6.0%	2.5%	10.8%	7.2%	2.7%
Skew 10d	11.6%	5.2%	20.5%	13.9%	5.4%
Call IV 25d	25.7%	22.1%	28.6%	28.6%	22.1%
Put IV 25d	31.7%	24.7%	39.3%	35.8%	24.7%
Bid-Ask Spread %	6.31	3.36	9.99	5.83	8.95
Gamma HHI	0.17	0.10	0.24	0.13	0.20
Net GEX	-45.2M	-65.2M	-20.4M	-44.4M	-47.0M
Net DEX	1.55B	676.1M	1.98B	1.84B	1.12B
Net VEX	-7.5M	-8.0M	-6.9M	-7.2M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.04	5.11	0.91	0.81
Total Volume	119,529.19	29,812	978,848	71,110	88,231
Total OI	2,088,540.238	1,782,027	2,424,722	2,083,829	2,046,592

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
2012-06-01	$32.69	$36.00	33.6%	8.9%	25.3%	28.7%	32.5%	7.2%	-0.4%	-44.4M	1.84B	-7.2M	0.91	5.83	37,212	33,898	925,894	1,157,935
2012-06-04	$32.59	$36.00	37.5%	9.2%	25.2%	36.3%	34.1%	10.8%	-0.3%	-44.4M	1.90B	-7.0M	0.77	5.27	25,594	19,694	940,281	1,163,105
2012-06-05	$32.62	$36.00	36.6%	8.6%	25.4%	34.5%	33.0%	9.8%	0.4%	-45.2M	1.91B	-6.9M	1.42	4.34	27,505	39,119	954,348	1,164,768
2012-06-06	$33.49	$36.00	29.2%	8.8%	27.3%	20.6%	31.8%	8.5%	-0.5%	-41.9M	1.65B	-7.6M	1.19	6.14	47,305	56,400	978,564	1,194,015
2012-06-07	$33.77	$35.00	27.4%	8.5%	27.4%	17.1%	30.1%	7.9%	0.0%	-37.9M	1.52B	-8.0M	0.59	8.60	66,990	39,573	1,004,260	1,231,822
2012-06-08	$32.81	$35.00	28.0%	8.6%	28.9%	18.2%	28.8%	7.6%	0.3%	-50.3M	1.93B	-7.4M	0.98	5.90	48,984	47,964	1,003,373	1,254,785
2012-06-11	$32.79	$35.00	30.3%	8.8%	28.7%	22.6%	32.2%	8.0%	-0.1%	-52.2M	1.98B	-7.3M	1.52	6.01	20,874	31,715	1,014,887	1,286,966
2012-06-12	$33.52	$35.00	26.9%	8.2%	29.7%	16.2%	32.7%	8.2%	0.0%	-43.1M	1.74B	-7.6M	2.38	6.72	20,976	49,891	1,026,086	1,290,346
2012-06-13	$33.67	$35.00	25.7%	8.5%	29.7%	13.8%	31.4%	8.0%	-0.2%	-40.2M	1.72B	-7.8M	2.62	6.01	17,642	46,235	1,032,621	1,325,804
2012-06-14	$33.74	$35.00	30.0%	8.6%	28.7%	22.0%	30.6%	7.6%	-0.7%	-42.9M	1.75B	-7.9M	1.15	8.15	31,907	36,644	1,038,853	1,354,574
2012-06-15	$34.46	$35.00	28.1%	8.1%	28.4%	18.6%	29.9%	7.5%	0.2%	-20.4M	1.41B	-8.0M	0.96	9.99	41,849	40,141	1,057,617	1,367,105
2012-06-18	$34.57	$35.00	24.2%	6.9%	28.3%	11.0%	26.1%	2.7%	0.5%	-24.5M	751.7M	-7.5M	2.11	7.66	21,130	44,652	776,541	1,005,486
2012-06-19	$34.90	$35.00	23.0%	6.6%	27.0%	8.9%	28.8%	3.1%	1.4%	-26.1M	676.1M	-7.4M	0.04	4.44	936,842	42,006	783,994	1,032,777
2012-06-20	$33.94	$36.00	24.1%	6.9%	28.9%	11.0%	24.7%	4.4%	0.8%	-32.5M	1.10B	-7.7M	1.50	5.56	22,175	33,284	743,812	1,055,017
2012-06-21	$32.52	$36.00	25.3%	7.2%	32.5%	13.1%	26.6%	4.8%	0.9%	-43.9M	1.47B	-7.1M	5.11	4.38	31,405	160,527	755,751	1,065,654
2012-06-22	$32.53	$36.00	24.1%	6.9%	32.1%	10.9%	24.2%	4.6%	1.4%	-65.2M	1.62B	-7.5M	0.76	3.36	16,949	12,863	768,531	1,185,239
2012-06-25	$31.83	$36.00	26.8%	7.7%	32.9%	16.0%	27.2%	4.0%	0.8%	-61.4M	1.75B	-7.0M	0.58	4.79	22,367	12,975	758,738	1,163,806
2012-06-26	$32.19	$36.00	26.1%	7.5%	29.7%	14.7%	25.6%	3.5%	0.4%	-62.2M	1.65B	-7.2M	1.66	4.25	30,735	50,869	766,040	1,168,253
2012-06-27	$32.63	$36.00	24.8%	7.1%	29.7%	12.2%	26.5%	2.5%	0.4%	-60.7M	1.51B	-7.7M	1.69	9.61	35,107	59,439	784,120	1,203,108
2012-06-28	$32.49	$36.00	25.5%	7.3%	29.6%	13.5%	26.8%	2.6%	1.0%	-63.5M	1.57B	-7.7M	1.43	6.63	24,873	35,572	803,511	1,224,366
2012-06-29	$33.67	$36.00	21.4%	6.4%	31.1%	5.8%	23.5%	2.7%	1.4%	-47.0M	1.12B	-7.9M	0.81	8.95	48,710	39,521	812,818	1,233,774