FXI Options History — March 2013

In March 2013, FXI traded between $36.34 and $39.08. ATM implied volatility averaged 20.3%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 18.6%). Max pain ranged from $38.50 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2013-03-11: Highest Volume — 158,810 contracts
2013-03-04: Largest IV spike — 32.6% change
2013-03-04: Highest IV Rank — 45.7%
2013-03-21: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.63	$36.34	$39.08	$38.60	$36.93
Max Pain	$39.90	$38.50	$41.00	$40.50	$38.50
ATM IV	20.3%	18.0%	25.7%	19.4%	19.0%
Expected Move	5.6%	5.3%	6.2%	5.7%	5.4%
HV 20d	18.6%	16.2%	20.5%	18.6%	19.8%
HV 60d	18.3%	17.3%	19.2%	17.9%	18.7%
IV Rank	20.9%	10.4%	45.7%	16.7%	14.8%
IV Percentile	25.5%	7.1%	77.4%	11.9%	12.7%
Term Structure	0.4%	-0.3%	1.0%	0.2%	0.9%
VWIV	20.1%	18.8%	22.1%	19.3%	19.1%
Skew 25d	3.1%	1.9%	3.7%	1.9%	3.3%
Skew 10d	6.7%	4.1%	8.6%	4.1%	5.6%
Call IV 25d	18.7%	17.7%	20.5%	18.9%	18.1%
Put IV 25d	21.8%	20.0%	24.0%	20.8%	21.3%
Bid-Ask Spread %	5.51	1.91	12.14	12.14	7.85
Gamma HHI	0.10	0.06	0.16	0.07	0.09
Net GEX	-58.3M	-91.2M	-36.2M	-41.8M	-65.2M
Net DEX	1.02B	408.1M	1.52B	704.8M	1.18B
Net VEX	-8.9M	-9.3M	-8.5M	-8.9M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.52	7.65	0.52	0.85
Total Volume	73,415.15	27,093	158,810	59,189	54,543
Total OI	1,687,502.75	1,538,294	1,884,445	1,598,330	1,744,861

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
2013-03-01	$38.60	$40.50	19.4%	5.7%	18.6%	16.7%	19.3%	1.9%	0.2%	-41.8M	704.8M	-8.9M	0.52	12.14	38,904	20,285	660,778	937,552
2013-03-04	$37.93	$41.00	25.7%	5.9%	18.7%	45.7%	20.9%	3.4%	0.2%	-53.8M	957.6M	-8.6M	2.08	5.59	19,182	39,870	680,335	939,713
2013-03-05	$38.22	$41.00	24.5%	5.7%	16.9%	40.3%	20.7%	3.6%	0.3%	-56.1M	872.0M	-8.7M	1.71	5.69	27,032	46,198	690,994	956,509
2013-03-06	$38.50	$41.00	19.1%	5.5%	17.3%	15.6%	19.3%	3.1%	0.3%	-50.8M	726.1M	-8.7M	0.66	6.10	52,594	34,793	704,466	966,603
2013-03-07	$38.57	$41.00	18.5%	5.4%	17.3%	12.4%	20.8%	2.9%	0.6%	-44.4M	655.6M	-8.7M	1.61	5.77	10,397	16,696	709,756	956,419
2013-03-08	$39.08	$40.50	18.0%	5.3%	16.2%	10.4%	19.0%	2.2%	0.8%	-36.2M	408.1M	-8.8M	0.85	1.91	28,677	24,286	718,774	964,281
2013-03-11	$38.63	$40.50	21.1%	5.4%	16.3%	24.8%	19.0%	2.9%	0.4%	-43.4M	629.4M	-8.7M	7.65	4.89	18,368	140,442	727,180	964,892
2013-03-12	$37.98	$40.50	20.0%	5.5%	17.2%	19.4%	19.2%	3.1%	0.3%	-88.9M	1.19B	-8.9M	1.19	4.70	47,928	57,020	736,930	1,084,720
2013-03-13	$37.34	$40.50	20.3%	5.6%	17.9%	20.8%	20.0%	3.6%	0.3%	-91.2M	1.52B	-8.7M	1.29	5.33	35,372	45,534	753,657	1,098,783
2013-03-14	$37.76	$40.50	18.9%	5.4%	18.4%	14.2%	20.5%	2.8%	0.3%	-89.8M	1.27B	-8.9M	1.17	4.20	24,372	28,437	760,950	1,099,179
2013-03-15	$37.44	$40.00	19.0%	5.5%	18.3%	15.1%	18.8%	3.3%	0.4%	-89.0M	1.47B	-8.8M	1.18	4.18	50,789	60,099	773,360	1,111,085
2013-03-18	$36.79	$39.50	20.2%	5.8%	18.8%	20.5%	19.8%	3.7%	-0.1%	-54.9M	1.18B	-8.7M	0.93	3.32	36,373	33,812	617,864	920,430
2013-03-19	$36.34	$39.50	20.8%	6.0%	17.9%	23.1%	21.3%	3.5%	0.1%	-55.3M	1.34B	-8.5M	1.61	4.31	30,704	49,568	629,792	934,318
2013-03-20	$37.25	$39.50	21.2%	6.1%	20.4%	24.8%	20.9%	2.8%	-0.2%	-51.4M	950.0M	-9.2M	0.78	5.89	56,497	44,165	640,783	935,272
2013-03-21	$36.84	$39.00	21.5%	6.2%	20.2%	26.2%	22.1%	3.5%	-0.3%	-51.8M	1.13B	-9.1M	1.00	4.55	23,736	23,690	665,990	950,327
2013-03-22	$36.94	$39.00	21.0%	6.0%	20.3%	24.2%	21.4%	3.0%	-0.0%	-51.4M	1.09B	-9.1M	1.26	5.43	31,124	39,287	678,956	957,411
2013-03-25	$36.82	$39.00	20.1%	5.8%	19.9%	19.8%	19.7%	3.4%	0.7%	-50.9M	1.16B	-9.0M	1.26	6.33	36,306	45,574	686,611	971,381
2013-03-26	$37.31	$38.50	19.1%	5.5%	20.5%	15.2%	19.7%	2.6%	1.0%	-50.4M	966.5M	-9.3M	0.94	6.78	21,334	20,089	708,819	990,102
2013-03-27	$37.35	$38.50	18.8%	5.4%	20.2%	13.8%	19.5%	2.7%	1.0%	-50.3M	947.6M	-9.3M	1.06	5.27	26,372	27,854	721,398	998,824
2013-03-28	$36.93	$38.50	19.0%	5.4%	19.8%	14.8%	19.1%	3.3%	0.9%	-65.2M	1.18B	-8.9M	0.85	7.85	29,515	25,028	729,828	1,015,033