IEF Options History — September 2007

In September 2007, IEF traded between $83.01 and $85.08. ATM implied volatility averaged 7.1%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.2% (HV 20d: 6.8%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 12.51.

Notable Days

2007-09-12: Highest Volume — 4,236 contracts
2007-09-19: Largest IV drop — 18.7% change
2007-09-10: Highest IV Rank — 94.7%
2007-09-17: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.07	$83.01	$85.08	$83.65	$83.88
Max Pain	$84.00	$83.00	$85.00	$83.00	$84.00
ATM IV	7.1%	6.1%	8.0%	7.4%	6.4%
Expected Move	2.0%	1.7%	2.3%	2.1%	1.8%
HV 20d	6.8%	5.3%	8.0%	5.7%	7.5%
HV 60d	6.2%	5.7%	6.7%	5.8%	6.4%
IV Rank	78.0%	60.1%	94.7%	83.3%	66.0%
IV Percentile	91.1%	81.8%	99.4%	97.0%	82.3%
Term Structure	-0.7%	-1.5%	0.1%	-1.1%	0.1%
VWIV	6.9%	5.7%	8.0%	7.2%	6.7%
Skew 25d	-0.2%	-1.2%	0.7%	-1.2%	-0.8%
Skew 10d	-1.0%	-3.2%	2.1%	-1.9%	-1.1%
Call IV 25d	7.2%	6.2%	8.1%	7.5%	6.8%
Put IV 25d	7.0%	6.0%	7.9%	6.3%	6.0%
Bid-Ask Spread %	26.69	13.49	75.84	20.49	16.56
Gamma HHI	0.68	0.29	0.87	0.74	0.57
Net GEX	13.7M	-8.4M	39.0M	21.7M	-7.5M
Net DEX	-38.9M	-106.0M	32.7M	-53.5M	17.6M
Net VEX	-255.3K	-320.9K	-169.1K	-239.1K	-308.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.51	0.13	144.31	0.38	12.40
Total Volume	890.947	73	4,236	73	2,252
Total OI	27,990	20,354	36,502	26,514	22,274

Daily Data (19 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
2007-09-04	$83.65	$83.00	7.4%	2.1%	5.7%	83.3%	7.2%	-1.2%	-1.1%	21.7M	-53.5M	-239.1K	0.38	20.49	53	20	17,437	9,077
2007-09-05	$84.17	$83.00	7.3%	2.1%	6.0%	82.0%	7.5%	-0.4%	-1.1%	21.5M	-76.2M	-208.9K	0.36	26.23	222	80	17,468	9,097
2007-09-06	$83.99	$83.00	7.3%	2.1%	5.3%	82.4%	7.2%	-0.7%	-0.6%	22.8M	-68.0M	-230.6K	0.13	29.19	93	12	17,607	9,173
2007-09-07	$84.89	$85.00	7.6%	2.0%	6.1%	87.6%	6.5%	-1.0%	-0.8%	20.1M	-96.2M	-187.7K	2.24	25.01	88	197	17,700	9,185
2007-09-10	$85.08	$85.00	8.0%	2.2%	6.0%	94.7%	7.9%	-0.4%	-1.3%	17.7M	-106.0M	-169.1K	2.18	27.14	107	233	17,761	9,295
2007-09-11	$84.90	$85.00	7.6%	2.2%	6.2%	87.4%	7.4%	-0.3%	-1.5%	19.9M	-97.7M	-180.7K	0.58	24.76	275	160	17,815	9,383
2007-09-12	$84.69	$84.00	7.5%	2.2%	6.3%	86.2%	7.8%	-0.3%	-0.9%	23.3M	-93.8M	-196.0K	54.74	26.02	76	4,160	18,085	9,438
2007-09-13	$84.19	$84.00	7.5%	2.2%	6.8%	86.1%	7.6%	0.2%	-1.0%	22.7M	-61.6M	-263.3K	2.10	22.32	199	418	18,131	13,491
2007-09-14	$84.30	$84.00	7.7%	2.2%	6.7%	88.3%	0.0%	0.3%	-1.5%	24.3M	-62.4M	-287.0K	0.43	29.69	61	26	18,248	13,823
2007-09-17	$84.35	$84.00	7.9%	2.3%	6.7%	92.6%	8.0%	-0.1%	-0.8%	26.2M	-66.7M	-253.6K	2.10	19.51	69	145	18,294	13,843
2007-09-18	$84.26	$84.00	7.7%	2.2%	6.7%	88.3%	6.6%	0.7%	-1.4%	23.7M	-63.7M	-253.6K	144.31	75.84	26	3,752	18,363	13,958
2007-09-19	$83.96	$84.00	6.2%	1.8%	6.7%	62.4%	6.1%	-0.3%	-0.3%	39.0M	-37.0M	-320.9K	0.71	23.26	516	368	18,388	17,656
2007-09-20	$83.01	$84.00	6.3%	1.8%	7.8%	63.1%	6.8%	0.6%	-0.2%	-3.1M	32.7M	-300.0K	5.35	23.71	115	615	18,140	17,994
2007-09-21	$83.43	$84.00	6.1%	1.7%	8.0%	60.1%	6.0%	-0.2%	-1.2%	19.3M	11.0M	-292.1K	0.49	28.18	185	90	18,243	18,259
2007-09-24	$83.54	$84.00	6.4%	1.8%	8.0%	65.7%	5.7%	0.0%	-0.3%	-8.4M	22.7M	-283.5K	0.18	24.86	364	66	5,848	14,506
2007-09-25	$83.55	$84.00	6.6%	1.9%	8.0%	68.6%	6.5%	-0.3%	-0.1%	-7.9M	20.4M	-284.7K	0.76	25.87	194	147	6,164	14,552
2007-09-26	$83.58	$84.00	6.6%	1.9%	7.7%	69.0%	6.5%	-0.1%	0.1%	-7.8M	22.2M	-289.0K	7.02	25.06	158	1,109	6,319	14,663
2007-09-27	$83.85	$84.00	6.5%	1.9%	7.7%	67.9%	0.0%	-0.3%	-0.0%	-7.8M	16.7M	-303.0K	1.31	13.49	120	157	6,421	15,711
2007-09-28	$83.88	$84.00	6.4%	1.8%	7.5%	66.0%	6.7%	-0.8%	0.1%	-7.5M	17.6M	-308.2K	12.40	16.56	168	2,084	6,483	15,791