FXI Options History — July 2012

In July 2012, FXI traded between $32.09 and $34.21. ATM implied volatility averaged 25.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.7% (HV 20d: 28.5%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.45.

Notable Days

2012-07-12: Highest Volume — 207,562 contracts
2012-07-11: Largest IV drop — 23.4% change
2012-07-31: Highest IV Rank — 25.4%
2012-07-24: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.20	$32.09	$34.21	$33.65	$34.21
Max Pain	$34.29	$33.00	$37.00	$36.00	$33.00
ATM IV	25.8%	22.7%	33.6%	22.7%	33.6%
Expected Move	7.1%	6.5%	8.2%	6.7%	7.1%
HV 20d	28.5%	24.2%	31.5%	31.1%	24.2%
HV 60d	26.4%	25.5%	27.4%	26.5%	27.2%
IV Rank	10.9%	4.8%	25.4%	8.4%	25.4%
IV Percentile	27.2%	8.7%	64.3%	8.7%	64.3%
Term Structure	0.1%	-1.7%	1.2%	0.8%	-0.2%
VWIV	25.0%	23.5%	27.3%	24.2%	24.9%
Skew 25d	3.3%	1.9%	4.8%	2.4%	2.9%
Skew 10d	6.7%	3.8%	10.0%	4.4%	5.7%
Call IV 25d	23.6%	21.9%	26.4%	22.9%	24.1%
Put IV 25d	26.9%	24.0%	30.4%	25.3%	27.0%
Bid-Ask Spread %	6.66	2.40	13.42	5.50	13.42
Gamma HHI	0.19	0.09	0.34	0.20	0.09
Net GEX	-53.5M	-106.1M	-10.6M	-48.1M	-16.2M
Net DEX	1.14B	347.0M	1.92B	1.14B	368.6M
Net VEX	-8.1M	-8.8M	-7.5M	-7.9M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.32	4.62	1.45	0.60
Total Volume	92,618.857	19,383	207,562	19,383	50,058
Total OI	2,216,072.19	2,019,962	2,540,243	2,054,676	2,195,872

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
2012-07-02	$33.65	$36.00	22.7%	6.7%	31.1%	8.4%	24.2%	2.4%	0.8%	-48.1M	1.14B	-7.9M	1.45	5.50	7,920	11,463	820,653	1,234,023
2012-07-03	$34.20	$36.00	23.2%	6.6%	31.5%	8.5%	24.0%	2.1%	0.7%	-36.5M	922.1M	-7.7M	3.16	3.56	8,037	25,404	816,113	1,228,959
2012-07-05	$34.09	$36.00	24.8%	6.5%	30.2%	11.5%	23.5%	2.1%	0.5%	-40.6M	976.2M	-7.6M	2.39	7.70	21,101	50,465	815,972	1,240,634
2012-07-06	$33.45	$36.00	23.9%	7.0%	30.9%	9.8%	24.7%	3.3%	0.0%	-54.1M	1.26B	-7.6M	1.29	6.90	49,854	64,469	828,113	1,283,247
2012-07-09	$33.05	$37.00	28.5%	7.1%	29.4%	16.8%	25.3%	3.5%	0.2%	-74.1M	1.44B	-7.6M	1.72	8.23	29,220	50,257	824,350	1,298,638
2012-07-10	$32.43	$36.00	30.1%	7.5%	30.2%	18.6%	26.4%	4.8%	-0.8%	-87.0M	1.73B	-7.5M	3.15	6.88	28,943	91,157	840,793	1,332,824
2012-07-11	$32.69	$36.00	23.1%	7.0%	29.2%	4.8%	24.4%	4.6%	0.8%	-93.6M	1.66B	-7.7M	0.89	10.18	80,400	71,860	853,992	1,382,296
2012-07-12	$32.09	$35.00	26.0%	7.5%	29.7%	10.6%	26.3%	4.3%	0.1%	-101.8M	1.92B	-7.8M	1.00	5.90	103,648	103,914	903,548	1,394,924
2012-07-13	$32.58	$34.00	24.0%	6.9%	30.3%	6.6%	24.9%	3.7%	1.2%	-77.4M	1.54B	-8.1M	0.89	2.83	41,974	37,164	977,574	1,414,426
2012-07-16	$32.46	$34.00	24.6%	7.1%	29.1%	7.8%	24.1%	3.8%	0.0%	-106.1M	1.66B	-7.8M	1.40	2.74	29,644	41,555	960,002	1,409,327
2012-07-17	$33.19	$34.00	23.6%	6.8%	30.4%	5.8%	23.6%	2.2%	0.3%	-72.5M	1.20B	-7.8M	1.26	7.96	83,974	106,112	976,656	1,408,797
2012-07-18	$32.97	$33.00	23.9%	6.9%	30.1%	6.5%	23.8%	2.5%	-0.1%	-77.2M	1.29B	-8.3M	0.89	9.68	36,633	32,764	1,029,352	1,478,020
2012-07-19	$33.71	$33.00	23.4%	6.7%	29.8%	5.4%	23.9%	2.4%	0.4%	-26.4M	865.0M	-8.5M	1.02	2.40	47,774	48,739	1,045,900	1,478,758
2012-07-20	$33.26	$33.00	24.1%	6.9%	25.9%	6.9%	25.2%	3.3%	-0.3%	-38.1M	1.02B	-8.3M	4.62	2.74	19,775	91,294	1,062,108	1,478,135
2012-07-23	$32.60	$33.00	26.5%	7.6%	26.9%	11.6%	26.7%	4.5%	-0.4%	-39.1M	1.12B	-8.4M	0.92	3.33	49,791	45,873	840,008	1,190,462
2012-07-24	$32.48	$33.00	28.6%	8.2%	25.7%	15.5%	27.3%	4.0%	-1.7%	-38.3M	1.13B	-8.3M	0.95	6.47	32,560	31,051	840,867	1,179,095
2012-07-25	$32.68	$33.00	26.5%	7.6%	25.5%	11.4%	25.9%	3.9%	-0.2%	-37.7M	1.06B	-8.5M	0.32	9.24	38,708	12,322	861,489	1,205,983
2012-07-26	$33.24	$33.00	25.6%	7.3%	25.8%	9.7%	25.4%	3.2%	-0.4%	-26.8M	797.5M	-8.6M	0.86	8.81	42,445	36,587	883,455	1,210,141
2012-07-27	$34.12	$33.00	25.2%	6.9%	27.2%	8.9%	24.6%	1.9%	0.1%	-10.6M	347.0M	-8.8M	0.88	12.82	72,771	64,001	905,368	1,236,040
2012-07-30	$34.06	$33.00	29.4%	7.0%	24.2%	17.3%	25.7%	3.0%	0.2%	-21.0M	447.6M	-8.8M	0.86	2.48	28,651	24,664	908,470	1,262,132
2012-07-31	$34.21	$33.00	33.6%	7.1%	24.2%	25.4%	24.9%	2.9%	-0.2%	-16.2M	368.6M	-8.7M	0.60	13.42	31,288	18,770	921,938	1,273,934