IEF Options History — January 2009

In January 2009, IEF traded between $94.70 and $98.85. ATM implied volatility averaged 11.5%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.7% (HV 20d: 9.8%). Max pain ranged from $95.00 to $101.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 7.26.

Notable Days

2009-01-07: Highest Volume — 2,847 contracts
2009-01-21: Largest IV spike — 21.9% change
2009-01-23: Highest IV Rank — 19.7%
2009-01-23: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.98	$94.70	$98.85	$97.12	$94.70
Max Pain	$98.65	$95.00	$101.00	$95.00	$98.00
ATM IV	11.5%	8.9%	13.5%	12.9%	13.0%
Expected Move	3.4%	2.8%	3.9%	3.7%	3.7%
HV 20d	9.8%	8.5%	11.5%	11.5%	9.7%
HV 60d	11.3%	11.0%	12.2%	12.2%	11.5%
IV Rank	12.8%	3.8%	19.7%	17.5%	17.9%
IV Percentile	60.9%	19.8%	85.3%	80.6%	79.4%
Term Structure	0.3%	-0.8%	1.3%	1.2%	-0.3%
VWIV	11.8%	7.7%	13.5%	12.8%	13.0%
Skew 25d	1.1%	-0.9%	3.5%	-0.9%	1.2%
Skew 10d	2.4%	-1.7%	5.0%	-1.7%	0.9%
Call IV 25d	11.6%	8.7%	14.2%	13.4%	12.8%
Put IV 25d	12.7%	10.5%	14.3%	12.5%	14.0%
Bid-Ask Spread %	45.49	27.29	69.40	56.40	29.66
Gamma HHI	0.25	0.12	0.39	0.19	0.32
Net GEX	-955.4K	-1.3M	-281.0K	-768.4K	-1.1M
Net DEX	2.0M	-8.9M	13.8M	-4.2M	13.6M
Net VEX	-88.1K	-127.8K	-36.5K	-50.4K	-127.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.26	0.18	108.50	3.24	1.26
Total Volume	418.55	131	2,847	174	131
Total OI	10,897.55	7,766	14,691	10,765	8,689

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
2009-01-02	$97.12	$95.00	12.9%	3.7%	11.5%	17.5%	12.8%	-0.9%	1.2%	-768.4K	-4.2M	-50.4K	3.24	56.40	41	133	1,913	8,852
2009-01-05	$96.95	$101.00	13.4%	3.7%	11.4%	19.2%	13.2%	1.0%	0.5%	-863.0K	-3.7M	-48.0K	0.90	53.87	121	109	1,953	8,926
2009-01-06	$96.89	$101.00	10.9%	3.4%	10.6%	10.6%	12.0%	1.0%	-0.2%	-770.5K	-3.5M	-47.0K	2.09	60.36	93	194	1,998	8,982
2009-01-07	$96.91	$98.00	10.9%	3.3%	10.5%	10.8%	10.5%	0.8%	0.2%	-703.0K	-4.6M	-40.4K	108.50	43.70	26	2,821	2,053	9,004
2009-01-08	$97.17	$100.00	10.4%	3.3%	10.1%	8.9%	11.4%	0.8%	0.5%	-1.0M	-3.8M	-52.4K	0.70	43.27	122	86	2,074	11,788
2009-01-09	$97.62	$99.00	9.4%	3.0%	10.2%	5.5%	10.6%	1.0%	0.7%	-820.2K	-6.1M	-42.9K	2.72	45.72	78	212	2,116	11,874
2009-01-12	$98.23	$99.00	10.2%	3.1%	10.2%	8.1%	11.3%	1.9%	0.1%	-1.1M	-643.4K	-101.2K	2.24	53.06	62	139	2,182	11,971
2009-01-13	$98.30	$98.00	10.3%	3.0%	10.2%	8.6%	10.5%	1.7%	0.1%	-350.0K	-8.7M	-36.5K	1.03	39.65	95	98	2,197	12,012
2009-01-14	$98.85	$98.00	8.9%	3.0%	10.3%	3.8%	10.9%	0.3%	0.5%	-281.0K	-8.9M	-50.5K	1.92	43.73	112	215	2,287	12,058
2009-01-15	$98.77	$99.00	10.4%	3.0%	8.7%	9.0%	10.6%	0.1%	1.0%	-978.4K	-3.5M	-96.6K	1.64	48.16	108	177	2,333	12,141
2009-01-16	$97.86	$99.00	9.6%	2.8%	9.0%	6.3%	7.7%	1.3%	1.3%	-1.3M	1.2M	-107.3K	2.51	66.44	142	357	2,419	12,272
2009-01-20	$97.71	$100.00	10.4%	3.0%	8.5%	9.1%	10.9%	3.5%	1.0%	-1.1M	5.8M	-107.1K	1.07	69.40	204	219	1,796	5,970
2009-01-21	$96.84	$100.00	12.7%	3.6%	9.0%	16.9%	12.7%	1.0%	0.3%	-1.2M	7.6M	-118.2K	0.97	31.45	375	365	1,924	5,943
2009-01-22	$96.20	$98.00	13.0%	3.7%	9.1%	18.0%	13.3%	1.5%	0.1%	-1.2M	9.3M	-127.1K	1.60	27.29	65	104	2,118	6,082
2009-01-23	$96.22	$98.00	13.5%	3.9%	9.2%	19.7%	13.4%	0.1%	0.0%	-1.1M	9.2M	-121.2K	1.03	51.68	74	76	2,153	6,151
2009-01-26	$95.98	$98.00	13.2%	3.8%	9.2%	18.5%	13.2%	1.3%	-0.3%	-1.2M	10.7M	-125.6K	0.31	30.64	166	51	2,193	6,151
2009-01-27	$96.61	$98.00	12.5%	3.6%	9.3%	16.0%	12.5%	1.1%	0.3%	-1.0M	7.3M	-119.0K	9.19	39.78	52	478	2,297	6,158
2009-01-28	$95.99	$98.00	12.0%	3.4%	9.5%	14.5%	12.2%	1.6%	-0.8%	-958.1K	9.0M	-117.0K	0.18	45.20	185	33	2,331	6,031
2009-01-29	$94.74	$98.00	13.0%	3.7%	10.2%	17.9%	13.5%	1.5%	-0.1%	-1.1M	13.8M	-125.0K	2.07	30.39	82	170	2,452	6,107
2009-01-30	$94.70	$98.00	13.0%	3.7%	9.7%	17.9%	13.0%	1.2%	-0.3%	-1.1M	13.6M	-127.8K	1.26	29.66	58	73	2,487	6,202