IEF Options History — February 2008

In February 2008, IEF traded between $88.26 and $90.76. ATM implied volatility averaged 10.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.0% (HV 20d: 9.5%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.11.

Notable Days

2008-02-29: Highest Volume — 5,128 contracts
2008-02-05: Largest IV spike — 13.2% change
2008-02-11: Highest IV Rank — 36.7%
2008-02-20: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.27	$88.26	$90.76	$89.94	$90.76
Max Pain	$88.70	$88.00	$89.00	$89.00	$88.00
ATM IV	10.5%	9.4%	11.2%	9.4%	10.9%
Expected Move	3.0%	2.7%	3.2%	2.7%	3.1%
HV 20d	9.5%	8.3%	10.4%	8.3%	10.4%
HV 60d	9.2%	8.8%	9.5%	8.8%	9.5%
IV Rank	33.6%	28.8%	36.7%	28.8%	35.2%
IV Percentile	93.8%	88.5%	98.0%	90.9%	94.0%
Term Structure	-0.2%	-0.8%	0.4%	0.4%	0.3%
VWIV	10.6%	9.5%	11.3%	9.5%	10.9%
Skew 25d	0.2%	-0.6%	0.7%	0.2%	-0.6%
Skew 10d	-0.1%	-2.9%	3.2%	3.2%	-2.2%
Call IV 25d	10.6%	9.1%	11.1%	9.1%	10.9%
Put IV 25d	10.8%	9.4%	11.6%	9.4%	10.3%
Bid-Ask Spread %	29.14	16.68	85.55	41.77	25.29
Gamma HHI	0.24	0.21	0.30	0.23	0.25
Net GEX	-16.0M	-24.8M	-7.5M	-13.3M	-7.5M
Net DEX	29.2M	-14.4M	55.5M	19.1M	-14.4M
Net VEX	-306.5K	-363.0K	-202.8K	-303.2K	-202.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.11	0.00	21.03	5.58	17.58
Total Volume	814.45	52	5,128	869	5,128
Total OI	55,782.55	52,427	59,481	54,044	59,481

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
2008-02-01	$89.94	$89.00	9.4%	2.7%	8.3%	28.8%	9.5%	0.2%	0.4%	-13.3M	19.1M	-303.2K	5.58	41.77	132	737	4,811	49,233
2008-02-04	$89.44	$89.00	9.9%	2.9%	8.6%	31.0%	10.4%	0.4%	-0.6%	-17.1M	37.3M	-363.0K	0.47	30.72	64	30	4,912	49,934
2008-02-05	$90.07	$89.00	11.2%	3.0%	8.9%	36.7%	10.5%	0.0%	-0.6%	-13.2M	21.6M	-315.0K	1.33	30.04	109	145	4,959	49,954
2008-02-06	$89.91	$89.00	10.3%	3.0%	8.9%	32.7%	10.6%	0.2%	-0.5%	-13.8M	25.0M	-323.6K	0.16	17.89	186	30	5,056	49,998
2008-02-07	$88.90	$89.00	9.8%	3.0%	9.9%	30.7%	10.2%	0.1%	-0.6%	-19.6M	45.1M	-350.5K	0.75	25.23	224	167	5,242	49,998
2008-02-08	$89.65	$89.00	10.3%	3.1%	10.2%	32.6%	10.8%	-0.2%	-0.7%	-14.8M	28.2M	-324.9K	0.45	20.35	108	49	5,278	50,090
2008-02-11	$89.85	$89.00	11.2%	3.1%	10.0%	36.7%	10.9%	0.2%	-0.7%	-12.7M	21.6M	-304.8K	0.32	16.68	207	66	5,378	50,103
2008-02-12	$89.66	$89.00	10.6%	3.1%	10.1%	34.1%	11.0%	0.3%	-0.7%	-13.7M	25.6M	-303.5K	0.74	30.20	65	48	5,504	50,159
2008-02-13	$89.28	$89.00	9.8%	3.0%	10.0%	30.6%	10.6%	0.3%	-0.6%	-16.1M	34.2M	-317.6K	0.82	22.12	61	50	5,546	50,164
2008-02-14	$88.79	$89.00	10.9%	3.1%	10.1%	35.6%	10.8%	0.4%	-0.7%	-24.8M	51.0M	-354.2K	0.14	22.65	421	59	5,607	50,164
2008-02-15	$88.98	$89.00	10.9%	3.1%	9.7%	35.6%	10.9%	0.4%	-0.8%	-19.2M	41.2M	-341.8K	2.85	26.16	74	211	5,865	50,150
2008-02-19	$88.33	$89.00	10.4%	3.0%	10.0%	33.2%	10.4%	0.5%	0.1%	-19.9M	51.0M	-333.5K	21.03	85.55	135	2,839	4,773	47,654
2008-02-20	$88.26	$89.00	11.1%	3.2%	9.0%	36.3%	10.8%	0.4%	-0.1%	-20.3M	55.5M	-349.0K	0.13	31.01	335	42	4,862	50,372
2008-02-21	$89.17	$89.00	10.9%	3.1%	9.8%	35.4%	11.3%	0.3%	0.2%	-15.3M	28.8M	-291.8K	0.05	31.74	1,227	56	5,107	50,384
2008-02-22	$88.92	$88.00	11.0%	3.2%	9.3%	36.0%	10.9%	0.7%	0.3%	-16.7M	27.6M	-304.9K	0.28	25.26	299	85	6,228	50,439
2008-02-25	$88.33	$88.00	10.9%	3.1%	8.8%	35.3%	10.7%	0.4%	-0.1%	-19.7M	40.1M	-312.0K	0.39	24.78	169	66	6,392	50,491
2008-02-26	$88.55	$88.00	10.1%	2.9%	8.9%	31.9%	10.2%	-0.1%	0.4%	-17.6M	28.2M	-278.2K	0.00	17.65	52	0	6,536	50,521
2008-02-27	$88.76	$88.00	10.2%	2.9%	8.9%	32.4%	10.3%	0.3%	-0.1%	-15.8M	21.1M	-250.1K	0.58	32.35	86	50	6,583	50,521
2008-02-28	$89.80	$88.00	10.1%	2.9%	9.8%	31.8%	10.1%	0.1%	0.4%	-9.9M	-4.7M	-205.1K	8.64	25.34	257	2,220	6,653	50,549
2008-02-29	$90.76	$88.00	10.9%	3.1%	10.4%	35.2%	10.9%	-0.6%	0.3%	-7.5M	-14.4M	-202.8K	17.58	25.29	276	4,852	6,770	52,711