FXI Options History — August 2012

In August 2012, FXI traded between $32.95 and $35.29. ATM implied volatility averaged 21.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.1% (HV 20d: 18.2%). Max pain ranged from $33.00 to $34.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.79.

Notable Days

2012-08-09: Highest Volume — 161,636 contracts
2012-08-16: Largest IV spike — 34.0% change
2012-08-01: Highest IV Rank — 29.8%
2012-08-01: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.39	$32.95	$35.29	$34.30	$33.07
Max Pain	$34.22	$33.00	$34.50	$33.00	$34.50
ATM IV	21.3%	16.2%	35.8%	35.8%	20.1%
Expected Move	6.2%	5.6%	7.4%	7.4%	6.3%
HV 20d	18.2%	10.4%	24.3%	23.6%	10.4%
HV 60d	25.6%	23.3%	27.4%	27.3%	23.3%
IV Rank	6.8%	0.0%	29.8%	29.8%	7.1%
IV Percentile	7.2%	0.0%	67.9%	67.9%	3.2%
Term Structure	1.0%	-1.4%	2.0%	-1.4%	1.3%
VWIV	22.8%	20.7%	26.9%	25.9%	21.9%
Skew 25d	2.7%	1.8%	3.7%	2.5%	3.4%
Skew 10d	5.7%	4.1%	7.5%	6.1%	6.6%
Call IV 25d	21.0%	18.7%	25.2%	25.2%	21.0%
Put IV 25d	23.7%	21.3%	27.7%	27.7%	24.4%
Bid-Ask Spread %	4.85	2.89	11.86	2.99	8.50
Gamma HHI	0.09	0.08	0.14	0.09	0.14
Net GEX	-32.8M	-76.9M	-1.7M	-11.9M	-76.9M
Net DEX	380.0M	-202.1M	1.25B	308.8M	1.20B
Net VEX	-8.4M	-8.8M	-8.0M	-8.7M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.51	4.99	1.73	0.52
Total Volume	58,049.174	25,159	161,636	94,670	52,190
Total OI	2,193,149.13	1,847,313	2,518,690	2,221,615	2,073,495

Daily Data (23 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
2012-08-01	$34.30	$33.00	35.8%	7.4%	23.6%	29.8%	25.9%	2.5%	-1.4%	-11.9M	308.8M	-8.7M	1.73	2.99	34,646	60,024	945,280	1,276,335
2012-08-02	$33.96	$34.00	25.1%	7.0%	23.8%	8.7%	26.9%	3.2%	-0.1%	-31.3M	546.6M	-8.8M	1.64	11.86	12,378	20,315	950,027	1,324,331
2012-08-03	$34.80	$34.00	20.9%	6.2%	24.3%	0.3%	23.5%	2.8%	1.2%	-20.6M	112.2M	-8.6M	0.72	2.89	41,255	29,851	953,013	1,332,853
2012-08-06	$34.99	$33.50	23.2%	6.6%	23.7%	5.0%	24.2%	2.6%	0.3%	-11.1M	-27.4M	-8.2M	0.99	3.20	13,981	13,776	943,167	1,332,924
2012-08-07	$35.19	$33.50	23.2%	6.6%	22.3%	5.0%	23.4%	2.4%	0.3%	-6.1M	-135.8M	-8.2M	0.51	2.89	28,683	14,516	946,304	1,332,804
2012-08-08	$35.25	$33.50	20.4%	6.4%	22.2%	0.0%	22.2%	2.6%	0.6%	-1.9M	-173.3M	-8.1M	0.56	3.51	32,677	18,390	957,648	1,339,039
2012-08-09	$35.29	$33.50	19.4%	6.4%	20.7%	0.0%	22.6%	2.6%	0.4%	-1.7M	-202.1M	-8.0M	1.68	5.06	60,408	101,228	964,306	1,345,542
2012-08-10	$35.23	$34.50	17.6%	6.2%	20.4%	0.0%	22.4%	2.4%	0.7%	-8.9M	-179.4M	-8.3M	1.68	3.49	16,478	27,757	1,004,760	1,427,541
2012-08-13	$34.92	$34.50	18.9%	6.1%	20.7%	2.5%	23.0%	2.2%	0.6%	-20.5M	23.1M	-8.3M	2.16	3.71	9,786	21,108	996,236	1,435,246
2012-08-14	$35.20	$34.50	18.3%	6.3%	19.6%	1.3%	22.4%	2.8%	0.6%	-13.6M	-141.3M	-8.2M	0.94	3.68	17,154	16,044	999,390	1,447,264
2012-08-15	$34.93	$34.50	16.2%	6.1%	19.7%	0.0%	22.1%	2.2%	0.9%	-18.8M	-27.5M	-8.3M	1.77	3.46	12,725	22,531	1,010,795	1,458,087
2012-08-16	$34.62	$34.50	21.8%	6.2%	18.7%	10.3%	22.1%	2.6%	0.4%	-25.6M	126.9M	-8.3M	2.63	8.75	25,145	66,131	1,010,394	1,454,024
2012-08-17	$34.50	$34.50	19.6%	5.6%	18.0%	6.2%	20.7%	2.7%	1.8%	-36.7M	214.7M	-8.4M	1.29	7.48	29,845	38,442	1,023,603	1,495,087
2012-08-20	$34.46	$34.50	20.0%	5.7%	16.1%	7.1%	21.4%	2.1%	1.8%	-36.6M	468.2M	-8.3M	2.69	3.65	19,767	53,146	693,058	1,154,255
2012-08-21	$34.29	$34.50	20.2%	5.8%	16.2%	7.4%	21.4%	2.7%	1.7%	-39.6M	554.8M	-8.3M	1.44	3.44	10,316	14,843	687,632	1,176,472
2012-08-22	$34.28	$34.50	20.0%	5.7%	16.2%	7.0%	24.9%	2.9%	1.7%	-41.3M	575.1M	-8.3M	3.01	3.22	11,624	34,950	692,184	1,189,401
2012-08-23	$34.20	$34.50	20.7%	5.9%	15.3%	8.3%	21.1%	1.8%	1.5%	-43.8M	604.1M	-8.5M	1.28	3.13	16,958	21,778	697,127	1,224,165
2012-08-24	$34.01	$34.50	20.8%	6.0%	12.3%	8.5%	21.5%	2.5%	2.0%	-47.8M	700.2M	-8.5M	4.99	8.04	25,428	126,966	706,636	1,237,721
2012-08-27	$33.51	$34.50	21.4%	6.1%	13.4%	9.7%	23.5%	3.6%	1.4%	-60.2M	962.8M	-8.6M	2.17	5.63	18,721	40,650	713,873	1,316,234
2012-08-28	$33.61	$34.50	21.5%	6.2%	13.3%	9.8%	21.3%	3.3%	1.7%	-62.5M	955.9M	-8.7M	1.55	3.36	14,255	22,140	714,019	1,334,036
2012-08-29	$33.50	$34.50	21.5%	6.2%	13.3%	9.8%	21.3%	3.3%	1.9%	-67.0M	1.02B	-8.7M	0.87	5.90	15,926	13,784	718,016	1,347,931
2012-08-30	$32.95	$34.50	22.6%	6.5%	14.1%	11.9%	24.3%	3.7%	1.4%	-70.0M	1.25B	-8.5M	4.29	3.69	6,879	29,536	719,048	1,341,127
2012-08-31	$33.07	$34.50	20.1%	6.3%	10.4%	7.1%	21.9%	3.4%	1.3%	-76.9M	1.20B	-8.3M	0.52	8.50	34,256	17,934	722,165	1,351,330