IEF Options History — June 2007 In June 2007, IEF traded between $79.59 and $81.25. ATM implied volatility averaged 4.7%. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.8% (HV 20d: 5.5%). Max pain ranged from $79.00 to $84.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 11.37.
Notable Days 2007-06-04 : Highest Volume — 1,637 contracts2007-06-20 : Largest IV spike — 47.8% change2007-06-13 : Largest Expected Move — 1.6%Monthly Statistics Metric Avg Min Max Open Close Price $80.49 $79.59 $81.25 $81.12 $81.09 Max Pain $80.62 $79.00 $84.00 $84.00 $80.00 ATM IV 4.7% 3.4% 5.5% 4.4% 5.1% Expected Move 1.4% 1.0% 1.6% 1.2% 1.5% HV 20d 5.5% 3.9% 6.6% 4.0% 6.2% HV 60d 4.3% 3.6% 4.8% 3.8% 4.8% Term Structure -0.7% -2.2% -0.1% -0.3% -0.2% VWIV 5.0% 4.3% 6.0% 4.9% 5.1% Skew 25d 0.5% -0.9% 1.5% -0.9% 0.0% Skew 10d 0.5% -1.8% 2.3% -1.2% -0.3% Call IV 25d 4.4% 3.2% 5.6% 4.9% 5.0% Put IV 25d 5.0% 3.4% 6.4% 4.0% 5.1% Bid-Ask Spread % 27.52 14.89 71.86 19.61 17.95 Gamma HHI 0.35 0.21 0.76 0.33 0.25 Net GEX -654.6K -1.8M 432.3K -1.1M 432.3K Net DEX 3.6M -5.0M 13.6M 8.8M -5.0M Net VEX -71.4K -88.8K -53.3K -59.7K -81.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 11.37 0.01 180.89 0.16 0.50 Total Volume 304.333 18 1,637 152 60 Total OI 7,978 7,103 8,763 8,763 8,158
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 2007-06-01 $81.12 $84.00 4.4% 1.2% 4.0% 0.0% 4.9% -0.9% -0.3% -1.1M 8.8M -59.7K 0.16 19.61 131 21 4,599 4,164 2007-06-04 $81.25 $82.00 4.2% 1.1% 3.9% 0.0% 0.0% -0.4% -0.5% -709.9K 4.7M -53.3K 180.89 15.64 9 1,628 4,509 3,704 2007-06-05 $80.99 $82.00 4.4% 1.2% 3.9% 0.0% 4.3% 0.6% -0.7% -1.5M 7.2M -58.4K 0.41 37.52 122 50 4,500 3,654 2007-06-06 $81.03 $82.00 4.0% 1.1% 3.9% 0.0% 0.0% 0.1% -0.1% -1.1M -41.3K -57.7K 1.94 47.81 93 180 4,566 2,874 2007-06-07 $80.22 $82.00 4.7% 1.3% 5.0% 0.0% 4.6% 0.3% -0.8% -1.8M 5.4M -59.2K 10.80 39.34 55 594 4,613 2,874 2007-06-08 $80.37 $82.00 3.7% 1.6% 4.9% 0.0% 5.6% -0.2% -1.2% -1.7M 5.1M -64.1K 1.46 64.74 151 221 4,650 3,100 2007-06-11 $80.16 $80.00 5.0% 1.5% 4.9% 0.0% 5.4% 1.0% -2.2% -1.7M 6.1M -66.8K 1.52 33.68 98 149 4,785 3,302 2007-06-12 $79.59 $79.00 4.7% 1.1% 5.3% 0.0% 4.8% 0.6% -0.3% -1.8M 13.6M -59.6K 0.08 71.86 306 25 4,858 3,379 2007-06-13 $79.85 $80.00 5.1% 1.6% 5.6% 0.0% 6.0% 0.7% -1.0% -1.1M 7.1M -73.9K 0.68 38.51 133 91 5,080 3,132 2007-06-14 $79.87 $80.00 5.5% 1.6% 5.6% 0.0% 5.4% 1.2% -1.4% -1.0M 6.8M -76.0K 0.08 20.13 180 15 5,212 3,202 2007-06-15 $80.22 $80.00 4.9% 1.4% 6.0% 0.0% 4.8% 0.8% -1.3% -702.5K 2.3M -76.3K 0.69 16.83 182 125 5,379 3,201 2007-06-18 $80.18 $80.00 4.8% 1.4% 5.9% 0.0% 4.8% 0.8% -0.5% -319.3K 2.5M -75.3K 0.03 17.26 115 4 4,006 3,097 2007-06-19 $80.57 $80.00 3.4% 1.0% 6.3% 0.0% 4.3% 1.5% -0.1% -220.8K 1.0M -66.9K 0.05 15.72 285 14 4,112 3,098 2007-06-20 $80.31 $80.00 5.0% 1.4% 6.3% 0.0% 4.9% 0.7% -0.2% 300.1K 1.7M -85.1K 35.25 17.50 20 705 4,338 3,101 2007-06-21 $80.21 $80.00 5.1% 1.5% 6.3% 0.0% 5.2% 1.2% -0.6% -166.3K 2.3M -88.7K 0.32 16.56 47 15 4,348 3,561 2007-06-22 $80.45 $80.00 5.5% 1.6% 6.4% 0.0% 5.5% 1.5% -0.5% -158.9K 2.3M -82.2K 1.15 20.94 85 98 4,370 3,566 2007-06-25 $80.71 $80.00 4.0% 1.2% 6.6% 0.0% 5.0% 1.2% -0.7% -3.5K 708.8K -82.4K 0.01 16.36 141 1 4,420 3,659 2007-06-26 $80.73 $80.00 5.1% 1.5% 6.5% 0.0% 0.0% 0.7% -0.6% 39.4K 413.3K -88.8K 1.25 17.02 8 10 4,456 3,660 2007-06-27 $80.72 $80.00 5.2% 1.5% 6.5% 0.0% 5.3% -0.3% -0.5% 352.6K 482.5K -73.3K 0.02 17.95 127 2 4,463 3,670 2007-06-28 $80.67 $80.00 5.2% 1.5% 6.5% 0.0% 0.0% 0.2% -0.4% 265.0K 1.7M -70.3K 1.38 14.89 40 55 4,446 3,672 2007-06-29 $81.09 $80.00 5.1% 1.5% 6.2% 0.0% 5.1% 0.0% -0.2% 432.3K -5.0M -81.7K 0.50 17.95 40 20 4,452 3,706
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