FXI Options History — December 2012

In December 2012, FXI traded between $36.80 and $40.45. ATM implied volatility averaged 21.7%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.0% (HV 20d: 17.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2012-12-14: Highest Volume — 185,635 contracts
2012-12-28: Largest IV spike — 26.2% change
2012-12-28: Highest IV Rank — 44.9%
2012-12-28: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.93	$36.80	$40.45	$36.80	$40.45
Max Pain	$36.60	$36.00	$37.00	$36.50	$37.00
ATM IV	21.7%	19.8%	25.8%	22.5%	23.3%
Expected Move	6.0%	5.7%	6.4%	5.9%	6.4%
HV 20d	17.7%	14.8%	22.1%	19.7%	16.2%
HV 60d	18.9%	17.7%	20.4%	20.4%	18.1%
IV Rank	23.5%	15.3%	44.9%	22.6%	33.1%
IV Percentile	22.0%	4.8%	68.7%	27.4%	40.9%
Term Structure	0.6%	-0.2%	1.3%	-0.2%	0.5%
VWIV	21.3%	19.7%	22.9%	21.0%	22.7%
Skew 25d	1.8%	0.5%	3.0%	1.3%	1.8%
Skew 10d	3.7%	0.9%	7.0%	1.8%	4.1%
Call IV 25d	20.5%	19.3%	21.9%	20.5%	21.4%
Put IV 25d	22.3%	21.4%	24.7%	21.7%	23.2%
Bid-Ask Spread %	8.29	2.77	13.34	10.86	5.30
Gamma HHI	0.12	0.10	0.17	0.11	0.14
Net GEX	59.4M	-4.0M	87.8M	-4.0M	56.6M
Net DEX	-1.16B	-1.86B	-53.3M	-53.3M	-1.40B
Net VEX	-7.7M	-8.2M	-7.1M	-7.6M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.23	2.44	2.44	1.16
Total Volume	80,287.25	27,764	185,635	54,558	73,435
Total OI	2,544,389.2	2,140,044	2,758,276	2,522,846	2,218,022

Daily Data (20 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
2012-12-03	$36.80	$36.50	22.5%	5.9%	19.7%	22.6%	21.0%	1.3%	-0.2%	-4.0M	-53.3M	-7.6M	2.44	10.86	15,840	38,718	993,823	1,529,023
2012-12-04	$37.01	$36.50	23.1%	6.1%	19.5%	26.8%	21.3%	1.4%	-0.2%	4.7M	-201.1M	-7.7M	0.66	13.34	66,902	44,284	1,004,341	1,552,384
2012-12-05	$38.12	$36.50	24.8%	6.4%	22.1%	33.2%	22.3%	1.1%	0.3%	42.8M	-1.00B	-8.2M	0.73	12.53	75,305	55,241	1,050,603	1,576,963
2012-12-06	$38.27	$36.50	21.1%	6.0%	20.6%	19.0%	21.3%	0.5%	0.7%	56.0M	-1.15B	-8.1M	0.50	8.92	100,677	50,219	1,067,343	1,584,037
2012-12-07	$38.41	$36.00	20.2%	5.8%	18.9%	15.3%	20.4%	1.4%	0.8%	70.0M	-1.31B	-8.2M	0.85	10.24	38,536	32,937	1,141,413	1,609,611
2012-12-10	$38.77	$36.00	23.4%	6.1%	18.9%	28.3%	21.4%	1.5%	0.4%	75.5M	-1.56B	-8.0M	0.49	8.77	99,593	49,221	1,146,430	1,561,299
2012-12-11	$38.80	$36.00	22.4%	5.9%	19.0%	24.5%	21.1%	0.9%	0.5%	73.8M	-1.54B	-7.7M	0.54	12.76	44,441	23,942	1,121,148	1,581,381
2012-12-12	$39.00	$36.00	21.0%	5.9%	17.6%	19.5%	21.0%	1.5%	0.8%	76.0M	-1.64B	-7.7M	0.56	10.19	26,155	14,700	1,136,014	1,583,127
2012-12-13	$38.66	$36.00	21.1%	6.0%	17.8%	19.7%	22.7%	2.2%	0.4%	70.6M	-1.40B	-8.0M	1.33	10.77	32,703	43,640	1,143,094	1,588,808
2012-12-14	$39.34	$36.00	20.9%	6.0%	18.3%	21.9%	21.6%	1.9%	0.8%	83.9M	-1.86B	-7.6M	0.23	8.70	151,519	34,116	1,147,081	1,611,195
2012-12-17	$39.35	$37.00	20.5%	5.9%	18.4%	19.8%	21.3%	2.0%	1.0%	74.2M	-1.18B	-7.4M	0.51	7.06	36,041	18,491	983,225	1,625,843
2012-12-18	$39.54	$37.00	19.8%	5.7%	17.3%	16.8%	20.8%	2.4%	1.3%	81.6M	-1.27B	-7.2M	0.36	6.53	32,546	11,800	993,759	1,631,168
2012-12-19	$39.48	$37.00	20.5%	5.9%	16.6%	20.1%	20.6%	2.3%	0.8%	87.8M	-1.26B	-7.3M	0.50	4.69	55,312	27,903	1,007,792	1,636,394
2012-12-20	$39.75	$37.00	20.0%	5.7%	16.5%	17.6%	20.5%	1.9%	1.2%	85.4M	-1.40B	-7.1M	0.75	6.30	29,890	22,428	1,004,838	1,642,751
2012-12-21	$39.24	$37.00	20.9%	6.0%	15.8%	22.0%	21.2%	2.0%	0.8%	72.3M	-1.09B	-7.5M	0.43	5.77	54,270	23,163	1,019,620	1,656,285
2012-12-24	$39.14	$37.00	20.8%	6.0%	15.8%	21.3%	19.7%	2.0%	0.9%	40.4M	-813.3M	-7.2M	1.17	2.77	22,120	25,877	871,855	1,268,189
2012-12-26	$39.47	$37.00	21.3%	6.1%	14.9%	23.8%	21.4%	2.4%	0.2%	47.3M	-978.8M	-7.5M	0.61	8.98	39,525	24,184	886,188	1,286,421
2012-12-27	$39.54	$37.00	20.4%	5.9%	14.8%	19.8%	20.8%	2.1%	0.7%	51.0M	-1.02B	-7.7M	0.98	5.56	14,055	13,709	906,631	1,299,391
2012-12-28	$39.55	$37.00	25.8%	6.4%	14.8%	44.9%	22.9%	3.0%	0.4%	41.3M	-999.3M	-8.0M	1.17	5.85	19,515	22,792	914,285	1,306,009
2012-12-31	$40.45	$37.00	23.3%	6.4%	16.2%	33.1%	22.7%	1.8%	0.5%	56.6M	-1.40B	-7.5M	1.16	5.30	34,061	39,374	910,307	1,307,715