IEF Options History — November 2008

In November 2008, IEF traded between $87.71 and $94.36. ATM implied volatility averaged 13.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 10.8%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.57.

Notable Days

2008-11-18: Highest Volume — 6,773 contracts
2008-11-13: Largest IV spike — 26.0% change
2008-11-21: Highest IV Rank — 39.2%
2008-11-21: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.70	$87.71	$94.36	$87.71	$94.36
Max Pain	$88.79	$88.00	$89.00	$88.00	$89.00
ATM IV	13.5%	9.7%	19.2%	10.4%	13.2%
Expected Move	4.1%	3.0%	5.5%	3.0%	3.8%
HV 20d	10.8%	8.7%	13.5%	10.6%	12.9%
HV 60d	11.4%	10.6%	12.8%	10.6%	12.8%
IV Rank	22.8%	13.4%	39.2%	15.4%	18.6%
IV Percentile	81.9%	45.2%	99.2%	60.3%	88.9%
Term Structure	0.4%	-5.1%	4.0%	1.4%	3.5%
VWIV	14.1%	10.3%	20.1%	10.3%	13.8%
Skew 25d	1.0%	-1.3%	5.3%	1.8%	3.7%
Skew 10d	2.3%	-1.3%	9.8%	4.5%	9.8%
Call IV 25d	13.5%	8.8%	18.4%	9.6%	12.0%
Put IV 25d	14.5%	10.9%	20.4%	11.4%	15.6%
Bid-Ask Spread %	50.39	27.53	96.97	41.89	74.70
Gamma HHI	0.30	0.16	0.40	0.36	0.28
Net GEX	-4.0M	-16.3M	14.0M	-15.4M	2.8M
Net DEX	-16.8M	-78.1M	78.5M	78.5M	-68.6M
Net VEX	-283.3K	-393.8K	-122.7K	-390.9K	-135.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.21	15.95	1.38	1.21
Total Volume	886.842	139	6,773	164	276
Total OI	42,014.947	29,248	46,386	44,975	29,320

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
2008-11-03	$87.71	$88.00	10.4%	3.0%	10.6%	15.4%	10.3%	1.8%	1.4%	-15.4M	78.5M	-390.9K	1.38	41.89	69	95	16,779	28,196
2008-11-04	$88.76	$88.00	10.9%	3.1%	11.6%	17.0%	11.3%	0.6%	1.2%	-10.6M	32.4M	-393.8K	2.75	51.03	134	368	16,820	28,271
2008-11-05	$89.23	$88.00	11.7%	3.4%	11.0%	19.7%	11.4%	3.3%	0.5%	-9.0M	18.1M	-393.1K	0.38	96.97	157	60	16,782	28,507
2008-11-06	$88.96	$88.00	10.7%	3.1%	10.4%	16.6%	11.0%	-0.3%	2.2%	-10.6M	21.5M	-387.2K	0.34	35.09	213	72	16,827	28,537
2008-11-07	$88.64	$89.00	9.7%	3.4%	9.5%	13.4%	12.6%	-0.4%	0.2%	-16.3M	38.8M	-370.1K	15.95	34.42	19	303	16,675	28,606
2008-11-10	$88.73	$89.00	10.0%	3.8%	9.1%	14.2%	13.8%	0.6%	-0.9%	-14.7M	35.2M	-363.1K	0.31	27.53	203	62	16,648	28,606
2008-11-11	$89.06	$89.00	10.2%	3.7%	8.9%	14.9%	13.8%	0.2%	-0.3%	-13.9M	17.0M	-343.6K	0.74	34.96	80	59	16,688	28,637
2008-11-12	$89.61	$89.00	10.8%	3.9%	8.7%	16.9%	13.8%	-0.2%	-0.2%	-7.2M	-13.3M	-313.6K	0.66	40.94	234	154	16,698	28,680
2008-11-13	$88.96	$89.00	13.7%	3.9%	9.3%	25.9%	14.1%	-0.9%	-0.6%	-13.7M	14.2M	-329.8K	0.64	52.57	439	283	16,832	28,237
2008-11-14	$89.84	$89.00	14.3%	4.1%	9.6%	22.5%	14.5%	-0.4%	-0.1%	-2.6M	-27.4M	-287.7K	0.47	39.00	293	138	16,854	28,444
2008-11-17	$90.22	$89.00	14.6%	4.2%	9.7%	23.5%	14.8%	-0.2%	0.1%	14.0M	-47.5M	-245.5K	0.21	38.10	326	67	16,868	28,547
2008-11-18	$90.92	$89.00	15.0%	4.3%	9.4%	24.6%	14.9%	0.9%	-0.6%	9.2M	-66.7M	-232.6K	0.79	37.02	3,777	2,996	16,659	28,544
2008-11-19	$91.90	$89.00	15.2%	4.4%	9.7%	25.5%	15.0%	-0.1%	0.4%	2.6M	-64.5M	-240.4K	0.42	33.08	1,885	790	15,266	31,120
2008-11-20	$93.75	$89.00	16.0%	4.6%	11.8%	28.3%	17.7%	1.9%	0.8%	2.4M	-78.1M	-209.3K	1.03	35.09	179	185	14,388	31,751
2008-11-21	$92.89	$89.00	19.2%	5.5%	12.2%	39.2%	20.1%	4.4%	-5.1%	-1.0M	-55.6M	-217.7K	0.60	66.66	295	178	13,537	31,911
2008-11-24	$92.02	$89.00	17.3%	5.0%	12.9%	32.7%	16.8%	-1.3%	0.4%	2.3M	-29.9M	-223.9K	1.22	55.76	179	219	11,677	17,571
2008-11-25	$93.60	$89.00	17.0%	4.9%	13.5%	31.6%	16.1%	0.4%	1.2%	2.6M	-55.5M	-182.1K	0.48	73.58	609	291	11,736	17,695
2008-11-26	$94.17	$89.00	17.3%	5.0%	13.5%	32.7%	13.1%	5.3%	4.0%	3.2M	-68.2M	-122.7K	0.25	89.07	928	235	11,628	17,742
2008-11-28	$94.36	$89.00	13.2%	3.8%	12.9%	18.6%	13.8%	3.7%	3.5%	2.8M	-68.6M	-135.3K	1.21	74.70	125	151	11,479	17,841