FXI Options History — November 2012

In November 2012, FXI traded between $35.71 and $38.11. ATM implied volatility averaged 22.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 20.8%). Max pain ranged from $35.00 to $36.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.53.

Notable Days

2012-11-12: Highest Volume — 216,425 contracts
2012-11-07: Largest IV drop — 21.6% change
2012-11-06: Highest IV Rank — 42.3%
2012-11-14: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.81	$35.71	$38.11	$37.75	$37.15
Max Pain	$36.36	$35.00	$36.50	$36.00	$36.50
ATM IV	22.6%	19.6%	29.4%	22.5%	19.6%
Expected Move	6.2%	5.7%	6.6%	6.1%	5.7%
HV 20d	20.8%	18.3%	22.4%	18.3%	19.6%
HV 60d	20.1%	18.8%	21.1%	18.8%	20.4%
IV Rank	20.1%	10.7%	42.3%	16.7%	10.7%
IV Percentile	25.0%	4.0%	77.4%	23.4%	4.0%
Term Structure	-0.3%	-1.0%	0.2%	0.1%	0.2%
VWIV	22.0%	20.0%	23.4%	23.4%	20.0%
Skew 25d	2.5%	1.4%	3.4%	2.5%	1.4%
Skew 10d	4.7%	1.2%	7.9%	4.2%	1.2%
Call IV 25d	20.7%	19.1%	21.9%	20.7%	19.3%
Put IV 25d	23.2%	20.6%	25.0%	23.2%	20.6%
Bid-Ask Spread %	8.17	5.25	12.22	8.72	10.66
Gamma HHI	0.12	0.09	0.17	0.16	0.12
Net GEX	17.0M	-28.0M	73.5M	70.3M	12.3M
Net DEX	-348.9M	-1.65B	441.6M	-1.45B	-303.0M
Net VEX	-8.2M	-9.0M	-7.7M	-7.9M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.19	4.52	2.55	4.52
Total Volume	92,965.714	29,524	216,425	164,406	110,476
Total OI	2,730,122.095	2,251,925	3,179,221	2,842,251	2,445,092

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
2012-11-01	$37.75	$36.00	22.5%	6.1%	18.3%	16.7%	23.4%	2.5%	0.1%	70.3M	-1.45B	-7.9M	2.55	8.72	46,346	118,060	1,213,492	1,628,759
2012-11-02	$37.46	$35.00	23.4%	6.6%	18.7%	18.9%	22.3%	3.0%	-0.9%	66.1M	-1.22B	-8.1M	1.43	9.22	36,246	51,719	1,216,060	1,647,461
2012-11-05	$37.79	$36.00	28.2%	6.4%	18.7%	37.3%	22.5%	2.0%	-0.4%	63.0M	-1.39B	-7.9M	1.59	6.43	26,624	42,324	1,215,736	1,675,523
2012-11-06	$38.11	$36.00	29.4%	6.3%	18.8%	42.3%	22.2%	1.8%	-0.5%	73.5M	-1.65B	-7.8M	1.17	6.97	42,855	50,085	1,227,609	1,697,092
2012-11-07	$37.28	$36.50	23.0%	6.4%	20.3%	21.9%	23.0%	2.0%	-0.2%	60.3M	-989.5M	-8.4M	1.31	6.05	37,196	48,675	1,246,458	1,728,675
2012-11-08	$36.52	$36.50	23.4%	6.6%	22.0%	23.2%	23.4%	3.4%	-1.0%	32.4M	-332.5M	-9.0M	1.51	5.45	53,577	81,035	1,263,914	1,756,510
2012-11-09	$36.46	$36.50	22.8%	6.5%	22.0%	21.1%	23.1%	3.0%	0.1%	27.7M	-269.3M	-9.0M	1.69	5.25	32,014	54,213	1,271,775	1,795,100
2012-11-12	$36.55	$36.50	22.5%	6.4%	20.4%	20.1%	21.3%	2.8%	-0.5%	35.4M	-340.7M	-8.5M	0.19	7.73	181,842	34,583	1,274,922	1,814,897
2012-11-13	$35.98	$36.50	22.8%	6.4%	21.0%	21.2%	23.2%	2.9%	-0.1%	85.0K	156.0M	-8.6M	1.12	7.91	60,187	67,617	1,298,510	1,819,825
2012-11-14	$35.74	$36.50	25.4%	6.6%	20.9%	29.4%	22.8%	3.2%	-0.7%	-14.5M	342.9M	-8.7M	1.39	7.70	66,195	92,255	1,314,748	1,847,207
2012-11-15	$35.71	$36.50	22.7%	6.5%	20.8%	20.6%	22.6%	2.9%	-0.6%	-28.0M	441.6M	-8.6M	2.42	6.73	21,923	53,098	1,309,251	1,866,990
2012-11-16	$35.77	$36.50	22.1%	6.3%	20.0%	19.0%	22.2%	2.7%	-0.3%	-19.0M	417.9M	-8.6M	1.16	7.04	20,624	23,836	1,313,676	1,865,545
2012-11-19	$36.55	$36.50	21.0%	6.0%	21.7%	15.2%	20.6%	2.5%	-0.6%	-10.6M	22.1M	-8.0M	0.36	8.80	21,751	7,773	910,758	1,341,167
2012-11-20	$36.19	$36.50	21.3%	6.1%	21.8%	16.1%	21.1%	1.6%	-0.2%	-20.1M	221.9M	-7.8M	1.98	6.06	20,420	40,464	921,077	1,343,521
2012-11-21	$36.58	$36.50	21.1%	6.1%	21.4%	15.7%	21.1%	1.9%	-0.6%	-8.7M	26.9M	-8.3M	0.60	9.50	23,721	14,171	930,508	1,377,106
2012-11-23	$37.46	$36.50	20.2%	5.8%	22.2%	12.7%	21.0%	2.7%	0.1%	16.5M	-473.0M	-7.8M	0.80	12.22	44,371	35,424	941,253	1,384,283
2012-11-26	$37.33	$36.50	20.8%	6.0%	22.2%	14.7%	22.5%	3.3%	0.1%	11.9M	-353.7M	-8.0M	2.69	9.52	16,638	44,736	957,884	1,390,083
2012-11-27	$36.86	$36.50	21.1%	6.0%	22.4%	15.5%	21.7%	2.6%	-0.2%	-4.5M	-76.9M	-7.9M	1.64	11.92	21,400	35,045	942,459	1,390,372
2012-11-28	$36.84	$36.50	21.2%	6.1%	21.6%	15.9%	21.7%	1.7%	0.0%	-3.4M	-41.3M	-7.9M	0.98	9.19	32,473	31,920	950,468	1,412,821
2012-11-29	$36.85	$36.50	20.6%	5.9%	21.6%	14.0%	20.5%	1.8%	-0.1%	-4.2M	-69.6M	-7.7M	0.98	8.61	54,648	53,720	959,101	1,424,876
2012-11-30	$37.15	$36.50	19.6%	5.7%	19.6%	10.7%	20.0%	1.4%	0.2%	12.3M	-303.0M	-7.7M	4.52	10.66	20,015	90,461	985,933	1,459,159