FXI Options History — September 2012

In September 2012, FXI traded between $32.17 and $35.19. ATM implied volatility averaged 22.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.9% (HV 20d: 20.3%). Max pain ranged from $33.00 to $34.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.69.

Notable Days

2012-09-06: Highest Volume — 274,252 contracts
2012-09-10: Largest IV spike — 28.7% change
2012-09-05: Highest IV Rank — 24.7%
2012-09-04: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.04	$32.17	$35.19	$32.46	$34.60
Max Pain	$33.74	$33.00	$34.50	$34.50	$34.00
ATM IV	22.2%	19.4%	29.4%	27.1%	19.4%
Expected Move	6.1%	5.6%	6.9%	6.9%	5.7%
HV 20d	20.3%	11.0%	25.2%	11.4%	24.3%
HV 60d	22.3%	20.6%	23.9%	22.8%	21.1%
IV Rank	11.1%	5.9%	24.7%	20.3%	5.9%
IV Percentile	15.5%	2.0%	61.1%	50.0%	2.0%
Term Structure	0.8%	0.1%	1.5%	0.1%	1.2%
VWIV	22.0%	19.4%	24.7%	24.7%	19.6%
Skew 25d	3.0%	2.0%	4.1%	4.1%	2.2%
Skew 10d	6.2%	4.0%	7.9%	7.9%	4.8%
Call IV 25d	20.5%	18.1%	23.0%	23.0%	19.1%
Put IV 25d	23.4%	21.3%	27.1%	27.1%	21.3%
Bid-Ask Spread %	6.80	3.43	10.99	7.43	10.99
Gamma HHI	0.14	0.12	0.18	0.12	0.13
Net GEX	-53.0M	-85.3M	-17.4M	-73.9M	-39.5M
Net DEX	587.5M	-308.6M	1.69B	1.46B	276.9M
Net VEX	-9.3M	-9.7M	-8.0M	-8.0M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.39	7.19	3.01	1.31
Total Volume	125,271.105	36,596	274,252	140,169	128,664
Total OI	2,527,707.684	2,090,236	2,820,162	2,090,236	2,609,013

Daily Data (19 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
2012-09-04	$32.46	$34.50	27.1%	6.9%	11.4%	20.3%	24.7%	4.1%	0.1%	-73.9M	1.46B	-8.0M	3.01	7.43	34,930	105,239	740,560	1,349,676
2012-09-05	$32.17	$34.50	29.4%	6.8%	11.0%	24.7%	24.0%	3.5%	0.2%	-85.3M	1.69B	-8.4M	1.06	7.77	62,977	66,812	762,341	1,436,244
2012-09-06	$32.73	$34.00	22.4%	6.2%	13.3%	11.6%	21.0%	2.7%	1.0%	-77.8M	1.39B	-8.8M	7.19	3.43	33,505	240,747	808,422	1,471,108
2012-09-07	$33.66	$33.00	19.8%	6.2%	17.4%	6.6%	21.1%	3.1%	0.3%	-78.7M	948.2M	-9.5M	0.39	6.63	139,228	54,021	823,970	1,562,336
2012-09-10	$33.06	$33.50	25.4%	6.5%	18.3%	17.2%	23.1%	3.5%	0.5%	-79.4M	1.29B	-9.3M	2.42	4.47	29,815	72,192	891,556	1,575,078
2012-09-11	$33.40	$33.50	26.8%	6.3%	18.7%	19.7%	22.8%	3.6%	1.4%	-71.6M	1.05B	-9.4M	0.81	4.36	32,465	26,380	908,288	1,615,086
2012-09-12	$33.78	$33.50	21.6%	6.3%	19.0%	10.1%	23.1%	3.5%	0.5%	-64.8M	846.6M	-9.7M	1.31	4.71	27,366	35,900	926,100	1,618,711
2012-09-13	$34.58	$33.50	21.8%	6.2%	20.9%	10.4%	23.0%	2.7%	0.2%	-39.3M	257.2M	-9.4M	0.62	6.37	112,383	69,847	932,420	1,632,717
2012-09-14	$35.19	$33.00	22.4%	6.4%	21.6%	11.6%	22.9%	2.5%	0.5%	-17.4M	-308.6M	-9.6M	0.62	5.96	116,461	71,954	1,011,439	1,658,797
2012-09-17	$34.74	$33.50	22.0%	6.3%	22.1%	10.7%	22.6%	2.5%	0.5%	-29.6M	40.0M	-9.5M	1.73	6.37	26,387	45,672	1,015,689	1,671,199
2012-09-18	$34.52	$33.50	21.6%	6.2%	22.2%	10.0%	24.6%	2.6%	0.7%	-41.0M	239.0M	-9.7M	3.98	8.19	24,173	96,143	1,021,088	1,690,328
2012-09-19	$35.08	$33.50	20.8%	6.0%	22.8%	8.4%	21.4%	2.0%	1.3%	-21.9M	-261.9M	-9.2M	0.75	7.05	38,462	29,010	1,027,228	1,764,980
2012-09-20	$34.52	$33.50	20.4%	5.9%	23.6%	7.9%	21.1%	3.0%	1.4%	-42.7M	203.8M	-9.6M	1.98	7.42	32,389	64,030	1,036,294	1,772,910
2012-09-21	$34.74	$34.00	19.4%	5.6%	23.7%	5.9%	20.8%	3.2%	1.1%	-37.5M	80.8M	-9.3M	1.06	10.71	84,863	90,314	1,036,278	1,783,884
2012-09-24	$34.65	$34.00	19.6%	5.6%	23.6%	6.2%	19.4%	3.2%	1.4%	-42.5M	316.0M	-8.9M	0.88	8.86	19,442	17,154	873,159	1,530,462
2012-09-25	$34.20	$34.00	21.2%	6.1%	23.5%	9.3%	21.1%	2.6%	0.9%	-60.5M	619.7M	-9.2M	0.90	7.43	69,208	62,163	883,780	1,537,808
2012-09-26	$33.89	$34.00	20.8%	5.9%	23.7%	8.4%	21.6%	3.6%	1.5%	-69.8M	819.2M	-9.5M	0.84	4.39	55,374	46,287	933,040	1,565,501
2012-09-27	$34.74	$34.00	19.9%	5.7%	25.2%	6.9%	20.5%	2.3%	1.4%	-34.4M	200.7M	-9.5M	1.31	6.61	51,228	66,966	964,861	1,584,095
2012-09-28	$34.60	$34.00	19.4%	5.7%	24.3%	5.9%	19.6%	2.2%	1.2%	-39.5M	276.9M	-9.4M	1.31	10.99	55,761	72,903	988,204	1,620,809