IEF Options History — November 2009

In November 2009, IEF traded between $90.52 and $93.06. ATM implied volatility averaged 7.3%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.7% (HV 20d: 8.0%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.75.

Notable Days

2009-11-24: Highest Volume — 1,530 contracts
2009-11-23: Largest IV drop — 11.4% change
2009-11-03: Highest IV Rank — 16.4%
2009-11-03: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.56	$90.52	$93.06	$90.77	$93.06
Max Pain	$91.17	$91.00	$92.00	$91.00	$91.00
ATM IV	7.3%	6.0%	8.5%	8.5%	6.7%
Expected Move	2.1%	1.7%	2.4%	2.4%	1.9%
HV 20d	8.0%	6.8%	9.2%	9.2%	6.8%
HV 60d	7.1%	6.7%	7.7%	7.7%	6.8%
IV Rank	7.4%	0.0%	16.4%	16.4%	6.1%
IV Percentile	2.9%	0.0%	13.1%	13.1%	2.0%
Term Structure	1.2%	-0.6%	2.0%	-0.1%	0.5%
VWIV	7.5%	6.1%	8.8%	8.5%	6.6%
Skew 25d	1.0%	0.1%	1.6%	1.3%	0.1%
Skew 10d	2.1%	-0.4%	5.5%	5.5%	1.9%
Call IV 25d	7.0%	5.2%	8.4%	8.2%	6.6%
Put IV 25d	8.1%	6.6%	9.4%	9.4%	6.7%
Bid-Ask Spread %	21.03	11.94	59.66	28.30	17.20
Gamma HHI	0.35	0.19	0.67	0.27	0.46
Net GEX	368.2K	-448.4K	3.6M	0	2.6M
Net DEX	-836.6K	-14.6M	2.6M	0	-8.3M
Net VEX	-19.4K	-50.4K	0	0	-43.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.00	5.10	1.43	4.45
Total Volume	286.263	22	1,530	292	599
Total OI	1,609.263	0	4,462	0	3,637

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
2009-11-03	$90.77	$0.00	8.5%	2.4%	9.2%	16.4%	8.5%	1.3%	-0.1%	0	0	0	1.43	28.30	120	172	0	0
2009-11-04	$90.52	$91.00	8.4%	2.4%	9.2%	15.2%	8.8%	0.9%	-0.6%	-21.8K	649.4K	-4.3K	0.69	59.66	35	24	120	152
2009-11-05	$90.54	$91.00	8.0%	2.3%	8.8%	12.4%	8.0%	1.4%	-0.1%	1.4K	673.6K	-5.3K	0.50	20.75	44	22	155	176
2009-11-06	$90.81	$91.00	7.6%	2.4%	8.9%	9.5%	8.1%	1.4%	1.5%	-14.2K	647.6K	-6.4K	2.78	19.14	91	253	196	198
2009-11-09	$90.85	$91.00	7.5%	2.3%	8.3%	8.7%	8.6%	1.6%	2.0%	-448.4K	1.6M	-8.9K	0.01	20.77	215	3	281	449
2009-11-10	$90.92	$91.00	7.5%	2.3%	8.2%	8.3%	8.1%	1.2%	1.5%	-405.4K	1.3M	-10.2K	0.16	23.56	258	41	446	449
2009-11-11	$91.18	$91.00	7.4%	2.3%	8.3%	7.4%	8.3%	1.1%	1.5%	-273.9K	636.3K	-13.5K	5.10	27.62	10	51	704	500
2009-11-12	$91.21	$91.00	7.8%	2.2%	7.9%	11.1%	7.9%	0.9%	1.7%	-319.2K	805.4K	-14.2K	0.39	18.92	159	62	712	551
2009-11-13	$91.28	$91.00	7.6%	2.2%	7.8%	9.3%	7.1%	1.3%	1.7%	-261.7K	515.0K	-16.1K	4.15	19.42	13	54	820	603
2009-11-16	$91.77	$91.00	7.5%	2.1%	7.9%	8.3%	0.0%	1.1%	1.8%	-117.0K	-336.2K	-16.4K	0.00	15.76	22	0	818	657
2009-11-17	$91.97	$91.00	7.6%	2.2%	7.9%	8.8%	7.7%	1.2%	1.3%	10.5K	-1.1M	-15.6K	1.66	17.33	125	208	833	657
2009-11-18	$91.74	$91.00	7.2%	2.1%	7.9%	6.1%	6.5%	0.9%	1.6%	15.5K	229.2K	-20.4K	3.17	13.10	6	19	939	854
2009-11-19	$91.85	$91.00	6.9%	2.0%	7.9%	3.8%	7.1%	0.5%	1.8%	146.5K	36.3K	-19.7K	3.53	18.70	32	113	945	873
2009-11-20	$91.84	$91.00	7.0%	2.0%	7.8%	4.2%	7.0%	0.9%	1.7%	281.9K	547.0K	-21.3K	3.75	17.31	55	206	977	986
2009-11-23	$91.71	$92.00	6.2%	1.8%	7.6%	0.0%	6.4%	1.2%	1.4%	-59.3K	2.6M	-26.7K	1.04	16.88	192	200	903	958
2009-11-24	$92.18	$92.00	6.1%	1.7%	7.5%	0.0%	6.1%	1.0%	1.0%	-59.7K	2.1M	-32.0K	0.01	17.12	1,520	10	1,065	1,158
2009-11-25	$92.49	$92.00	6.0%	1.7%	7.0%	0.0%	7.1%	1.5%	1.1%	2.3M	-4.0M	-44.6K	0.04	11.94	255	10	2,176	1,166
2009-11-27	$92.91	$91.00	6.5%	1.9%	7.1%	4.5%	7.0%	0.5%	1.0%	3.6M	-14.6M	-50.4K	0.34	16.16	179	61	3,286	1,176
2009-11-30	$93.06	$91.00	6.7%	1.9%	6.8%	6.1%	6.6%	0.1%	0.5%	2.6M	-8.3M	-43.4K	4.45	17.20	110	489	2,433	1,204