FXI Options History — October 2012

In October 2012, FXI traded between $34.91 and $37.67. ATM implied volatility averaged 21.8%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.2% (HV 20d: 18.6%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2012-10-17: Highest Volume — 262,779 contracts
2012-10-31: Largest IV spike — 20.5% change
2012-10-31: Highest IV Rank — 27.0%
2012-10-23: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.26	$34.91	$37.67	$34.94	$36.78
Max Pain	$34.71	$34.00	$36.00	$34.00	$36.00
ATM IV	21.8%	18.9%	26.4%	23.4%	26.4%
Expected Move	6.0%	5.7%	6.4%	6.0%	6.1%
HV 20d	18.6%	14.9%	24.5%	24.5%	16.3%
HV 60d	19.2%	18.0%	20.8%	20.8%	18.1%
IV Rank	13.9%	7.2%	27.0%	13.4%	27.0%
IV Percentile	15.9%	1.6%	58.3%	22.2%	58.3%
Term Structure	1.0%	0.2%	1.7%	1.1%	0.2%
VWIV	21.5%	19.9%	23.1%	20.8%	21.9%
Skew 25d	1.9%	0.9%	2.7%	2.2%	1.2%
Skew 10d	4.3%	1.9%	5.9%	4.1%	3.1%
Call IV 25d	20.6%	19.5%	22.0%	20.4%	21.2%
Put IV 25d	22.5%	20.5%	23.9%	22.6%	22.5%
Bid-Ask Spread %	10.01	6.35	15.64	14.24	15.64
Gamma HHI	0.13	0.11	0.16	0.13	0.15
Net GEX	33.8M	-23.8M	70.9M	-23.8M	44.6M
Net DEX	-840.9M	-1.84B	46.1M	28.1M	-754.2M
Net VEX	-8.6M	-9.4M	-7.8M	-9.4M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.31	1.48	0.45	1.48
Total Volume	107,770.619	40,447	262,779	51,928	101,993
Total OI	2,817,223.238	2,608,063	3,202,410	2,642,822	2,797,045

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
2012-10-01	$34.94	$34.00	23.4%	6.0%	24.5%	13.4%	20.8%	2.2%	1.1%	-23.8M	28.1M	-9.4M	0.45	14.24	35,696	16,232	1,000,264	1,642,558
2012-10-02	$34.92	$34.00	23.4%	5.8%	23.2%	13.4%	21.0%	2.7%	1.2%	-20.7M	46.1M	-9.3M	0.36	12.10	83,520	29,899	1,011,375	1,645,997
2012-10-03	$34.91	$34.00	23.4%	5.8%	22.8%	15.5%	21.6%	2.0%	1.1%	-5.9M	-61.7M	-9.3M	1.35	15.50	17,232	23,215	1,071,382	1,658,718
2012-10-04	$35.16	$34.00	20.2%	5.7%	22.3%	10.4%	19.9%	0.9%	1.3%	63.1K	-225.5M	-8.7M	0.57	13.62	38,056	21,607	1,025,492	1,667,428
2012-10-05	$35.37	$34.00	18.9%	5.9%	20.4%	7.2%	20.5%	2.6%	1.3%	9.5M	-395.8M	-8.7M	0.37	10.23	53,372	19,679	1,049,991	1,676,330
2012-10-08	$34.99	$34.00	21.6%	5.9%	19.5%	14.3%	21.9%	2.3%	1.6%	-2.8M	-100.9M	-8.4M	1.45	6.66	28,960	41,925	1,042,490	1,669,347
2012-10-09	$35.02	$34.00	23.2%	6.2%	19.4%	18.6%	22.1%	2.5%	1.2%	1.4M	-132.9M	-8.6M	1.04	6.72	82,627	86,007	1,053,208	1,688,675
2012-10-10	$35.26	$35.00	20.3%	6.3%	19.1%	10.7%	21.5%	2.2%	0.8%	12.6M	-319.0M	-8.9M	0.31	6.35	113,346	35,395	1,086,403	1,747,471
2012-10-11	$36.09	$35.00	21.6%	6.2%	19.1%	14.2%	21.9%	2.0%	1.2%	58.4M	-1.00B	-8.8M	0.49	10.20	132,658	64,728	1,169,350	1,740,827
2012-10-12	$36.38	$35.00	21.8%	6.2%	18.4%	14.7%	22.3%	1.9%	1.0%	68.4M	-1.21B	-8.8M	0.55	8.18	43,145	23,914	1,214,516	1,750,347
2012-10-15	$36.65	$35.00	21.1%	6.1%	17.7%	13.0%	21.6%	1.8%	1.7%	70.9M	-1.42B	-8.3M	0.90	7.44	26,804	24,162	1,205,578	1,749,836
2012-10-16	$36.85	$35.00	21.0%	6.0%	17.4%	12.7%	21.5%	2.2%	1.3%	68.8M	-1.49B	-8.2M	0.79	8.41	76,656	60,487	1,201,201	1,758,465
2012-10-17	$37.35	$35.00	21.3%	6.1%	17.1%	13.4%	21.2%	1.3%	0.4%	61.4M	-1.73B	-8.1M	0.67	10.33	157,385	105,394	1,218,010	1,797,904
2012-10-18	$37.45	$35.00	20.6%	5.9%	15.6%	11.7%	21.0%	0.9%	0.7%	67.7M	-1.84B	-8.2M	0.86	9.89	71,480	61,553	1,260,622	1,869,661
2012-10-19	$37.13	$35.00	20.9%	6.0%	16.2%	12.5%	21.4%	1.4%	1.2%	60.0M	-1.60B	-8.6M	1.01	10.37	63,308	64,024	1,305,636	1,896,774
2012-10-22	$37.67	$35.00	20.2%	5.8%	16.5%	10.6%	20.8%	1.6%	1.1%	62.6M	-1.42B	-7.8M	0.75	7.99	62,488	46,951	1,135,076	1,472,987
2012-10-23	$36.98	$35.00	22.5%	6.4%	17.3%	16.6%	23.1%	1.9%	0.6%	40.3M	-882.5M	-8.7M	1.30	9.32	46,131	60,183	1,147,812	1,500,032
2012-10-24	$37.20	$35.00	22.3%	6.4%	16.6%	16.1%	22.2%	1.6%	0.5%	49.0M	-1.06B	-8.5M	1.36	11.11	35,856	48,673	1,166,643	1,532,785
2012-10-25	$37.53	$35.00	20.7%	5.9%	14.9%	12.0%	21.3%	2.1%	1.0%	55.9M	-1.26B	-8.2M	1.32	8.33	32,334	42,588	1,185,621	1,565,609
2012-10-26	$36.93	$35.00	21.9%	6.2%	16.3%	15.0%	22.0%	2.1%	0.7%	32.3M	-826.5M	-8.7M	1.05	7.68	40,735	42,785	1,190,029	1,592,193
2012-10-31	$36.78	$36.00	26.4%	6.1%	16.3%	27.0%	21.9%	1.2%	0.2%	44.6M	-754.2M	-8.0M	1.48	15.64	41,205	60,788	1,192,109	1,604,936