IEF Options History — July 2007

In July 2007, IEF traded between $80.02 and $82.60. ATM implied volatility averaged 5.3%, placing in the 76.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.5% (HV 20d: 5.7%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2007-07-23: Highest Volume — 2,092 contracts
2007-07-25: Largest IV spike — 33.9% change
2007-07-26: Highest IV Rank — 100.0%
2007-07-27: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.12	$80.02	$82.60	$80.90	$82.60
Max Pain	$79.14	$79.00	$80.00	$80.00	$79.00
ATM IV	5.3%	4.1%	6.7%	5.1%	5.2%
Expected Move	1.5%	1.2%	1.9%	1.5%	1.5%
HV 20d	5.7%	5.3%	6.5%	6.2%	5.9%
HV 60d	5.1%	4.7%	5.5%	4.8%	5.5%
IV Rank	76.1%	41.5%	100.0%	74.4%	62.8%
IV Percentile	86.5%	39.4%	100.0%	90.5%	89.6%
Term Structure	-0.2%	-0.8%	0.7%	0.0%	-0.4%
VWIV	5.6%	4.9%	6.7%	5.3%	5.9%
Skew 25d	0.4%	-1.5%	2.0%	-0.8%	-0.3%
Skew 10d	0.1%	-3.9%	2.1%	-0.6%	-0.2%
Call IV 25d	5.2%	3.7%	7.9%	4.9%	5.9%
Put IV 25d	5.5%	4.1%	7.5%	4.1%	5.6%
Bid-Ask Spread %	23.46	10.20	56.17	10.20	18.56
Gamma HHI	0.22	0.13	0.36	0.24	0.14
Net GEX	272.6K	-606.5K	1.6M	477.0K	919.8K
Net DEX	-3.2M	-15.7M	5.8M	-6.3M	-15.7M
Net VEX	-90.7K	-128.5K	-69.4K	-75.8K	-121.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.00	13.00	0.00	0.33
Total Volume	325.571	5	2,092	226	696
Total OI	9,136.095	8,030	11,723	8,138	11,723

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
2007-07-02	$80.90	$80.00	5.1%	1.5%	6.2%	0.0%	5.3%	-0.8%	0.0%	477.0K	-6.3M	-75.8K	0.00	10.20	226	0	4,417	3,721
2007-07-03	$80.66	$80.00	4.9%	1.4%	6.2%	0.0%	4.9%	1.3%	-0.1%	106.3K	-1.2M	-83.4K	2.00	18.27	100	200	4,301	3,729
2007-07-05	$80.21	$80.00	5.1%	1.5%	6.5%	74.4%	5.5%	-0.9%	0.2%	67.2K	4.8M	-74.3K	2.55	17.06	47	120	4,396	3,892
2007-07-06	$80.02	$79.00	5.2%	1.5%	5.5%	79.5%	0.0%	0.9%	-0.4%	-124.1K	5.8M	-69.4K	0.00	20.50	39	0	4,363	3,964
2007-07-09	$80.31	$79.00	5.0%	1.6%	5.6%	73.1%	0.0%	1.3%	-0.7%	-18.7K	5.0M	-83.4K	0.00	15.86	5	0	4,365	3,963
2007-07-10	$80.86	$79.00	4.8%	1.5%	6.0%	65.6%	5.2%	0.5%	-0.4%	298.9K	-888.4K	-82.7K	1.67	20.09	42	70	4,370	3,943
2007-07-11	$80.58	$79.00	5.1%	1.5%	5.5%	76.0%	0.0%	1.0%	-0.6%	299.4K	1.0M	-83.1K	3.81	21.00	42	160	4,407	4,013
2007-07-12	$80.35	$79.00	5.6%	1.6%	5.5%	92.0%	0.0%	0.8%	-0.1%	57.0K	4.1M	-83.9K	0.00	20.82	120	0	4,439	4,109
2007-07-13	$80.53	$79.00	4.1%	1.2%	5.6%	41.5%	0.0%	0.8%	-0.3%	39.2K	2.5M	-82.9K	13.00	29.25	1	13	4,441	4,109
2007-07-16	$80.85	$79.00	5.1%	1.5%	5.5%	75.2%	0.0%	0.3%	-0.5%	510.6K	-927.3K	-79.4K	0.60	24.39	50	30	4,441	4,119
2007-07-17	$80.68	$79.00	4.1%	1.2%	5.6%	42.5%	0.0%	2.0%	-0.4%	342.8K	-253.2K	-80.1K	0.09	28.59	47	4	4,471	4,149
2007-07-18	$80.97	$79.00	5.3%	1.5%	5.5%	80.4%	5.6%	0.3%	-0.3%	820.7K	-1.2M	-74.9K	0.13	18.00	152	19	4,481	4,153
2007-07-19	$80.96	$79.00	5.2%	1.5%	5.3%	79.2%	5.2%	0.1%	-0.3%	1.6M	-2.3M	-73.6K	0.20	18.02	50	10	4,595	4,164
2007-07-20	$81.36	$79.00	5.5%	1.6%	5.5%	89.4%	5.5%	0.1%	-0.2%	338.1K	-6.5M	-78.0K	0.25	29.85	203	50	4,605	4,170
2007-07-23	$81.33	$79.00	5.4%	1.5%	5.5%	84.2%	5.3%	0.4%	-0.1%	-606.5K	-2.1M	-74.9K	0.88	18.12	1,113	979	4,146	4,099
2007-07-24	$81.55	$79.00	4.4%	1.3%	5.4%	51.2%	5.6%	0.7%	-0.3%	-294.7K	-5.5M	-119.1K	1.31	20.02	190	249	5,247	5,078
2007-07-25	$81.66	$79.00	5.9%	1.7%	5.4%	99.4%	5.8%	-0.6%	-0.8%	-47.9K	-7.6M	-116.6K	0.00	16.33	108	0	5,393	5,027
2007-07-26	$82.31	$79.00	6.6%	1.9%	6.0%	100.0%	6.3%	-0.6%	-0.0%	35.1K	-12.4M	-118.9K	0.06	23.76	471	28	5,401	5,027
2007-07-27	$82.47	$79.00	6.7%	1.9%	6.0%	100.0%	6.7%	1.7%	0.3%	302.0K	-13.7M	-120.8K	0.31	56.17	847	265	5,747	5,023
2007-07-30	$82.26	$79.00	5.9%	1.7%	5.9%	79.5%	6.0%	-1.5%	0.7%	637.5K	-13.2M	-128.5K	0.06	47.76	86	5	6,530	5,127
2007-07-31	$82.60	$79.00	5.2%	1.5%	5.9%	62.8%	5.9%	-0.3%	-0.4%	919.8K	-15.7M	-121.8K	0.33	18.56	523	173	6,591	5,132