FXI Options History — January 2013

In January 2013, FXI traded between $40.56 and $41.85. ATM implied volatility averaged 18.8%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.3% (HV 20d: 18.5%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2013-01-29: Highest Volume — 177,134 contracts
2013-01-31: Largest IV drop — 17.4% change
2013-01-02: Highest IV Rank — 27.1%
2013-01-07: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.37	$40.56	$41.85	$41.85	$41.47
Max Pain	$38.81	$37.00	$39.00	$37.00	$39.00
ATM IV	18.8%	16.2%	22.0%	22.0%	17.6%
Expected Move	5.2%	4.7%	5.7%	5.6%	5.1%
HV 20d	18.5%	13.0%	20.1%	18.5%	13.0%
HV 60d	19.1%	17.8%	19.7%	19.3%	17.8%
IV Rank	12.1%	0.0%	27.1%	27.1%	6.5%
IV Percentile	6.7%	0.0%	29.8%	29.8%	3.2%
Term Structure	1.4%	0.9%	1.9%	1.0%	0.9%
VWIV	18.5%	16.5%	20.3%	20.0%	17.6%
Skew 25d	1.6%	0.9%	2.1%	1.4%	1.2%
Skew 10d	3.6%	2.1%	5.2%	3.6%	2.7%
Call IV 25d	17.9%	16.1%	19.4%	19.4%	17.6%
Put IV 25d	19.5%	17.5%	21.0%	20.7%	18.8%
Bid-Ask Spread %	8.72	4.90	12.43	7.15	9.45
Gamma HHI	0.16	0.09	0.22	0.15	0.16
Net GEX	45.1M	7.7M	76.6M	65.3M	35.7M
Net DEX	-1.31B	-1.97B	-555.4M	-1.97B	-770.6M
Net VEX	-7.2M	-7.7M	-6.8M	-6.8M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.41	2.45	0.54	0.68
Total Volume	78,831.714	20,639	177,134	100,761	101,548
Total OI	2,055,709.095	1,389,634	2,587,327	2,225,042	1,637,200

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
2013-01-02	$41.85	$37.00	22.0%	5.6%	18.5%	27.1%	20.0%	1.4%	1.0%	65.3M	-1.97B	-6.8M	0.54	7.15	65,613	35,148	917,284	1,307,758
2013-01-03	$41.59	$37.00	19.3%	5.3%	19.1%	14.2%	19.2%	1.8%	1.9%	65.4M	-1.87B	-6.8M	1.04	8.28	48,571	50,547	932,454	1,325,026
2013-01-04	$41.62	$39.00	17.8%	5.5%	16.9%	7.5%	19.4%	1.8%	1.6%	62.3M	-1.86B	-6.8M	0.66	8.42	23,630	15,623	945,838	1,359,100
2013-01-07	$41.29	$39.00	20.4%	5.7%	17.5%	19.3%	19.3%	1.9%	1.1%	67.1M	-1.71B	-6.8M	0.65	6.93	21,072	13,782	945,244	1,355,164
2013-01-08	$40.56	$39.00	20.1%	5.6%	19.1%	18.1%	20.3%	2.1%	1.6%	65.5M	-1.37B	-7.0M	0.98	7.14	49,862	49,089	959,062	1,359,968
2013-01-09	$41.00	$39.00	17.2%	5.5%	19.2%	4.3%	19.1%	2.1%	1.6%	71.3M	-1.56B	-7.2M	0.89	5.30	36,159	32,356	977,919	1,389,187
2013-01-10	$41.52	$39.00	18.7%	5.4%	19.5%	11.6%	19.0%	1.9%	1.7%	76.6M	-1.82B	-7.1M	1.85	4.90	43,964	81,485	984,031	1,412,424
2013-01-11	$41.09	$39.00	18.9%	5.4%	20.1%	12.6%	19.2%	1.7%	1.3%	51.0M	-1.52B	-7.4M	2.45	5.55	24,701	60,504	990,378	1,484,471
2013-01-14	$41.31	$39.00	18.4%	5.3%	19.6%	10.1%	18.4%	1.6%	1.4%	49.9M	-1.59B	-7.4M	0.92	7.63	57,257	52,413	986,864	1,516,431
2013-01-15	$41.28	$39.00	18.9%	5.4%	18.9%	12.5%	18.8%	1.7%	1.0%	40.6M	-1.55B	-7.4M	0.80	9.30	35,563	28,455	1,012,343	1,546,468
2013-01-16	$41.21	$39.00	19.6%	5.6%	19.0%	15.7%	19.5%	1.8%	0.9%	48.2M	-1.52B	-7.5M	1.99	6.58	21,414	42,610	1,012,967	1,536,565
2013-01-17	$41.36	$39.00	19.6%	5.6%	19.0%	15.6%	19.6%	1.7%	0.9%	54.1M	-1.59B	-7.5M	1.27	10.10	29,036	36,947	1,009,676	1,555,225
2013-01-18	$41.70	$39.00	17.4%	5.0%	19.0%	5.4%	17.8%	1.5%	1.6%	50.3M	-1.72B	-7.2M	0.60	10.32	67,078	40,512	1,014,417	1,572,910
2013-01-22	$41.74	$39.00	17.4%	5.0%	19.0%	5.5%	18.0%	1.3%	1.3%	25.3M	-858.3M	-7.0M	0.57	9.42	37,151	21,344	558,975	830,659
2013-01-23	$41.53	$39.00	16.2%	4.7%	18.3%	0.0%	16.5%	1.4%	1.7%	20.0M	-778.6M	-6.9M	0.81	9.60	11,432	9,207	557,822	840,694
2013-01-24	$41.53	$39.00	16.7%	4.8%	18.2%	2.1%	17.2%	1.4%	1.6%	19.1M	-766.6M	-7.0M	0.71	12.43	29,793	21,023	564,633	843,803
2013-01-25	$41.10	$39.00	17.5%	4.8%	18.7%	6.0%	17.1%	0.9%	1.6%	8.7M	-607.7M	-7.2M	1.33	12.29	26,271	34,987	578,219	853,812
2013-01-28	$40.96	$39.00	20.4%	4.9%	18.8%	19.5%	17.2%	1.4%	1.5%	7.7M	-555.4M	-7.2M	1.66	11.13	21,113	35,002	572,377	854,073
2013-01-29	$41.55	$39.00	19.9%	5.0%	19.3%	16.9%	17.7%	1.0%	1.1%	17.8M	-759.2M	-7.3M	0.41	9.47	125,343	51,791	583,772	883,177
2013-01-30	$41.59	$39.00	21.3%	4.9%	17.8%	23.9%	18.0%	1.4%	1.5%	45.2M	-838.8M	-7.7M	1.57	11.77	25,662	40,408	682,913	918,588
2013-01-31	$41.47	$39.00	17.6%	5.1%	13.0%	6.5%	17.6%	1.2%	0.9%	35.7M	-770.6M	-7.7M	0.68	9.45	60,469	41,079	700,638	936,562