IEF Options History — February 2009

In February 2009, IEF traded between $93.36 and $96.15. ATM implied volatility averaged 14.0%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.2% (HV 20d: 10.8%). Max pain ranged from $95.00 to $98.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.41.

Notable Days

2009-02-06: Highest Volume — 2,136 contracts
2009-02-11: Largest IV drop — 12.3% change
2009-02-20: Highest IV Rank — 25.2%
2009-02-20: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.62	$93.36	$96.15	$95.20	$93.74
Max Pain	$96.11	$95.00	$98.00	$98.00	$95.00
ATM IV	14.0%	12.2%	15.2%	14.2%	14.3%
Expected Move	4.1%	3.9%	4.3%	4.1%	4.1%
HV 20d	10.8%	8.8%	12.4%	8.8%	11.2%
HV 60d	11.4%	10.5%	12.1%	11.3%	10.5%
IV Rank	21.5%	14.9%	25.2%	22.1%	22.4%
IV Percentile	86.8%	70.6%	93.3%	90.5%	88.5%
Term Structure	0.0%	-1.2%	0.6%	-1.2%	0.1%
VWIV	14.2%	13.2%	14.9%	14.8%	14.1%
Skew 25d	1.1%	0.1%	2.0%	1.1%	1.1%
Skew 10d	2.0%	0.8%	4.6%	1.5%	1.1%
Call IV 25d	14.0%	13.3%	14.6%	14.5%	14.0%
Put IV 25d	15.1%	14.2%	16.1%	15.6%	15.0%
Bid-Ask Spread %	28.92	23.59	34.34	34.34	27.73
Gamma HHI	0.21	0.17	0.28	0.28	0.23
Net GEX	-1.2M	-2.2M	89.6K	-1.2M	-170.3K
Net DEX	13.1M	3.3M	24.2M	11.5M	11.1M
Net VEX	-163.7K	-190.6K	-133.4K	-133.5K	-181.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.41	0.08	40.88	1.81	0.18
Total Volume	465.579	42	2,136	281	58
Total OI	11,813.632	8,741	14,235	8,741	14,235

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
2009-02-02	$95.20	$98.00	14.2%	4.1%	8.8%	22.1%	14.8%	1.1%	-1.2%	-1.2M	11.5M	-133.5K	1.81	34.34	100	181	2,509	6,232
2009-02-03	$94.38	$98.00	14.3%	4.1%	9.2%	22.2%	14.3%	0.4%	0.3%	-1.3M	14.9M	-133.4K	2.82	24.82	82	231	2,549	6,365
2009-02-04	$93.90	$97.00	14.0%	4.0%	9.3%	21.3%	14.4%	0.4%	0.3%	-1.5M	17.2M	-134.0K	1.14	26.01	151	172	2,584	6,497
2009-02-05	$94.12	$97.00	13.8%	4.0%	9.4%	20.7%	14.1%	0.1%	0.3%	-1.5M	17.0M	-134.1K	0.08	24.17	289	22	2,684	6,618
2009-02-06	$93.55	$96.00	13.9%	4.2%	9.4%	21.0%	14.9%	2.0%	-0.1%	-1.4M	18.2M	-138.3K	40.88	26.05	51	2,085	2,933	6,611
2009-02-09	$93.36	$96.00	13.6%	4.3%	9.1%	19.8%	14.8%	1.7%	-0.5%	-2.2M	24.2M	-170.3K	0.98	23.59	140	137	2,956	8,630
2009-02-10	$94.61	$96.00	13.9%	4.1%	10.2%	20.8%	14.1%	1.5%	-0.3%	-1.8M	16.9M	-169.1K	1.70	31.45	82	139	3,087	8,700
2009-02-11	$95.34	$96.00	12.2%	3.9%	10.7%	14.9%	13.6%	0.7%	0.1%	-1.6M	13.1M	-164.1K	0.15	28.26	195	30	3,150	8,760
2009-02-12	$95.31	$96.00	13.5%	3.9%	10.4%	19.6%	13.4%	0.9%	0.4%	-1.5M	11.8M	-166.2K	1.35	31.50	96	130	3,287	8,785
2009-02-13	$94.56	$96.00	13.5%	3.9%	10.6%	19.5%	13.2%	1.1%	0.1%	-1.7M	15.6M	-164.2K	2.82	34.13	11	31	3,336	8,880
2009-02-17	$96.15	$96.00	14.4%	4.1%	12.2%	22.8%	14.5%	1.5%	-0.1%	-1.2M	8.8M	-161.2K	0.33	32.28	483	161	3,342	8,910
2009-02-18	$95.45	$96.00	14.7%	4.2%	12.4%	23.8%	14.5%	0.7%	-0.0%	-1.2M	10.0M	-169.0K	0.15	32.04	267	39	3,627	8,911
2009-02-19	$94.92	$96.00	14.8%	4.2%	12.2%	24.0%	14.8%	0.6%	-0.2%	-1.5M	13.7M	-172.6K	0.34	31.70	316	107	3,834	8,944
2009-02-20	$95.19	$96.00	15.2%	4.3%	12.1%	25.2%	14.9%	1.3%	-0.6%	-870.3K	11.2M	-175.9K	8.95	25.01	60	537	4,112	8,982
2009-02-23	$95.28	$96.00	14.5%	4.2%	12.1%	23.2%	14.3%	1.6%	0.4%	-1.4M	8.7M	-174.8K	0.15	31.62	1,551	226	3,657	8,657
2009-02-24	$94.92	$95.00	14.2%	4.1%	12.1%	22.0%	14.2%	1.1%	0.6%	89.6K	3.3M	-187.2K	0.25	29.77	173	43	5,160	8,724
2009-02-25	$94.06	$95.00	14.1%	4.0%	12.2%	21.5%	13.8%	1.3%	0.1%	-194.2K	9.5M	-190.6K	0.50	28.71	165	82	5,301	8,753
2009-02-26	$93.82	$95.00	13.9%	4.0%	12.0%	20.8%	13.6%	1.0%	0.5%	-270.3K	11.4M	-189.7K	0.21	26.32	185	38	5,331	8,826
2009-02-27	$93.74	$95.00	14.3%	4.1%	11.2%	22.4%	14.1%	1.1%	0.1%	-170.3K	11.1M	-181.6K	0.18	27.73	49	9	5,402	8,833