IEF Options History — December 2007

In December 2007, IEF traded between $85.66 and $87.71. ATM implied volatility averaged 10.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.5% (HV 20d: 9.8%). Max pain ranged from $86.00 to $87.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 4.56.

Notable Days

2007-12-19: Highest Volume — 2,482 contracts
2007-12-11: Largest IV spike — 161.1% change
2007-12-11: Highest IV Rank — 100.0%
2007-12-05: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.60	$85.66	$87.71	$87.63	$87.01
Max Pain	$86.80	$86.00	$87.00	$86.00	$87.00
ATM IV	10.2%	8.4%	25.7%	9.7%	10.3%
Expected Move	2.7%	2.4%	3.0%	2.8%	2.9%
HV 20d	9.8%	8.4%	10.9%	8.5%	9.6%
HV 60d	7.7%	7.1%	8.3%	7.1%	8.3%
IV Rank	47.7%	24.4%	100.0%	82.7%	32.6%
IV Percentile	95.8%	89.1%	100.0%	98.3%	98.8%
Term Structure	-0.2%	-1.3%	3.0%	-0.5%	-0.1%
VWIV	9.3%	6.9%	11.6%	9.7%	11.6%
Skew 25d	-0.7%	-1.9%	1.3%	-0.7%	-1.2%
Skew 10d	-1.2%	-5.7%	4.1%	-2.8%	0.9%
Call IV 25d	10.0%	8.8%	11.2%	10.4%	10.8%
Put IV 25d	9.3%	7.9%	11.0%	9.7%	9.6%
Bid-Ask Spread %	73.11	19.25	133.03	88.14	73.45
Gamma HHI	0.38	0.27	0.48	0.32	0.41
Net GEX	-15.7M	-24.9M	-7.9M	-11.4M	-15.9M
Net DEX	58.1M	24.5M	91.4M	24.5M	53.7M
Net VEX	-527.8K	-585.9K	-478.3K	-484.8K	-480.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.56	0.10	55.00	0.10	0.58
Total Volume	567.95	71	2,482	453	316
Total OI	51,001.1	38,221	57,498	53,211	39,835

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
2007-12-03	$87.63	$86.00	9.7%	2.8%	8.5%	82.7%	9.7%	-0.7%	-0.5%	-11.4M	24.5M	-484.8K	0.10	88.14	413	40	7,049	46,162
2007-12-04	$87.71	$86.00	9.4%	2.7%	8.4%	78.8%	9.1%	-1.9%	0.9%	-14.3M	33.4M	-518.5K	0.24	84.93	336	81	6,859	46,189
2007-12-05	$87.38	$86.00	10.3%	3.0%	8.6%	90.1%	11.3%	-1.2%	-0.4%	-12.9M	34.1M	-499.3K	0.71	19.25	42	30	6,986	46,270
2007-12-06	$86.92	$86.00	9.3%	2.7%	8.8%	77.9%	8.9%	-0.9%	0.5%	-15.9M	53.5M	-554.0K	1.15	57.03	122	140	7,027	46,280
2007-12-07	$86.36	$87.00	8.5%	2.5%	9.2%	68.4%	9.0%	-0.5%	-1.0%	-20.4M	63.1M	-555.3K	55.00	32.30	24	1,320	7,052	46,300
2007-12-10	$86.16	$87.00	9.8%	2.7%	9.0%	84.6%	9.1%	-1.1%	-0.8%	-21.8M	73.5M	-571.9K	10.83	59.19	63	682	7,069	47,156
2007-12-11	$87.34	$87.00	25.7%	2.7%	10.2%	100.0%	10.1%	1.3%	3.0%	-16.7M	31.5M	-478.3K	0.13	133.03	1,073	144	7,340	47,693
2007-12-12	$86.61	$87.00	10.2%	2.7%	10.4%	32.4%	9.8%	-1.3%	-0.9%	-16.9M	59.3M	-542.0K	0.68	74.06	171	116	7,878	47,817
2007-12-13	$85.97	$87.00	8.9%	2.5%	10.8%	26.5%	8.0%	-0.2%	-1.1%	-18.7M	71.4M	-559.5K	0.97	46.32	62	60	7,999	47,903
2007-12-14	$85.72	$87.00	9.7%	2.8%	10.7%	30.0%	6.9%	-0.1%	-1.1%	-24.9M	87.2M	-585.9K	0.58	66.78	99	57	8,055	47,918
2007-12-17	$86.23	$87.00	8.9%	2.6%	10.9%	26.7%	9.3%	-0.7%	-0.8%	-14.5M	62.3M	-530.2K	0.22	49.28	58	13	8,109	47,868
2007-12-18	$86.40	$87.00	9.1%	2.6%	10.6%	27.5%	9.2%	-0.7%	-0.4%	-9.6M	53.8M	-513.1K	1.33	43.18	169	225	8,143	47,878
2007-12-19	$87.09	$87.00	9.3%	2.7%	10.9%	28.6%	9.5%	-0.3%	-1.3%	-7.9M	42.4M	-511.4K	12.42	102.86	185	2,297	8,278	47,927
2007-12-20	$86.95	$87.00	10.0%	2.9%	10.6%	31.5%	9.6%	-0.7%	-0.9%	-9.0M	49.2M	-537.0K	0.69	98.89	87	60	8,422	48,990
2007-12-21	$86.32	$87.00	9.2%	2.6%	10.8%	27.9%	9.0%	-1.1%	-0.6%	-10.8M	62.6M	-530.9K	0.27	30.93	262	70	8,488	49,010
2007-12-24	$86.07	$87.00	9.9%	2.8%	9.5%	31.1%	10.1%	-0.8%	-0.1%	-17.7M	77.6M	-541.3K	0.62	59.49	130	81	4,055	34,168
2007-12-26	$85.66	$87.00	8.9%	2.5%	9.1%	26.6%	9.0%	-0.2%	0.1%	-19.0M	91.4M	-551.1K	0.63	128.11	104	66	4,000	34,221
2007-12-27	$85.92	$87.00	8.4%	2.4%	9.2%	24.4%	8.2%	0.1%	0.2%	-17.8M	74.9M	-506.4K	3.28	127.38	293	961	4,072	34,261
2007-12-28	$86.61	$87.00	8.9%	2.6%	9.4%	26.8%	9.0%	-1.7%	0.9%	-17.0M	61.9M	-503.6K	0.80	87.67	504	403	4,252	35,043
2007-12-31	$87.01	$87.00	10.3%	2.9%	9.6%	32.6%	11.6%	-1.2%	-0.1%	-15.9M	53.7M	-480.9K	0.58	73.45	200	116	4,664	35,171