IEF Options History — January 2010

In January 2010, IEF traded between $88.82 and $90.70. ATM implied volatility averaged 7.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.8% (HV 20d: 6.4%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.95.

Notable Days

2010-01-27: Highest Volume — 1,957 contracts
2010-01-08: Largest IV drop — 11.1% change
2010-01-06: Highest IV Rank — 26.5%
2010-01-06: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.79	$88.82	$90.70	$88.82	$90.70
Max Pain	$89.11	$89.00	$90.00	$89.00	$90.00
ATM IV	7.2%	5.8%	8.5%	8.1%	5.8%
Expected Move	2.1%	1.7%	2.4%	2.3%	1.7%
HV 20d	6.4%	5.3%	7.6%	6.9%	5.5%
HV 60d	7.0%	6.6%	7.3%	7.3%	6.6%
IV Rank	13.4%	0.0%	26.5%	22.2%	0.0%
IV Percentile	11.3%	0.0%	29.4%	21.8%	0.0%
Term Structure	0.9%	0.4%	1.5%	0.5%	1.2%
VWIV	7.1%	5.9%	8.4%	7.2%	5.9%
Skew 25d	0.9%	0.5%	1.3%	1.1%	1.1%
Skew 10d	2.6%	0.3%	4.8%	4.8%	2.6%
Call IV 25d	6.8%	4.9%	7.9%	7.9%	4.9%
Put IV 25d	7.7%	5.9%	9.0%	9.0%	5.9%
Bid-Ask Spread %	18.69	8.35	24.43	21.20	15.09
Gamma HHI	0.53	0.42	0.61	0.56	0.57
Net GEX	-5.9M	-9.0M	-4.3M	-5.4M	-8.8M
Net DEX	38.6M	22.3M	52.8M	52.8M	28.8M
Net VEX	-177.3K	-195.2K	-158.2K	-161.8K	-193.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.95	0.01	16.17	0.60	0.12
Total Volume	425.368	78	1,957	88	551
Total OI	13,614.579	12,301	16,337	12,301	16,337

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
2010-01-04	$88.82	$89.00	8.1%	2.3%	6.9%	22.2%	7.2%	1.1%	0.5%	-5.4M	52.8M	-161.8K	0.60	21.20	55	33	2,814	9,487
2010-01-05	$89.21	$89.00	8.2%	2.3%	6.8%	23.3%	8.0%	1.1%	0.6%	-5.3M	48.5M	-169.2K	0.07	23.33	447	30	2,859	9,489
2010-01-06	$88.85	$89.00	8.5%	2.4%	6.7%	26.5%	7.7%	1.0%	0.4%	-4.9M	49.7M	-167.6K	0.08	16.28	138	11	3,294	9,502
2010-01-07	$88.85	$89.00	8.0%	2.4%	6.5%	21.6%	8.4%	1.2%	0.4%	-5.1M	50.8M	-165.1K	11.45	16.69	22	252	3,337	9,511
2010-01-08	$88.96	$89.00	7.1%	2.3%	6.6%	12.0%	7.9%	0.6%	0.8%	-5.5M	51.0M	-168.9K	0.24	19.73	165	40	3,354	9,747
2010-01-11	$89.02	$89.00	7.5%	2.2%	6.6%	16.2%	7.4%	0.9%	0.5%	-5.7M	50.9M	-158.2K	2.55	18.08	22	56	3,458	9,776
2010-01-12	$89.66	$89.00	7.7%	2.1%	7.1%	18.8%	7.5%	0.9%	1.0%	-5.7M	43.2M	-176.7K	0.10	23.44	278	29	3,468	9,825
2010-01-13	$89.23	$89.00	7.9%	2.2%	7.2%	20.3%	7.1%	1.3%	0.5%	-5.6M	46.9M	-173.7K	0.58	24.43	208	120	3,710	9,847
2010-01-14	$89.65	$89.00	7.4%	2.1%	7.4%	15.7%	7.4%	0.7%	0.8%	-6.1M	43.6M	-176.3K	0.03	18.67	435	14	3,588	9,942
2010-01-15	$90.05	$89.00	7.1%	2.0%	7.6%	11.8%	7.4%	0.8%	1.1%	-6.2M	35.3M	-183.5K	0.68	21.80	334	227	3,981	9,936
2010-01-19	$89.89	$89.00	7.2%	2.1%	6.8%	13.1%	7.0%	0.7%	0.8%	-6.6M	37.3M	-177.8K	1.23	17.51	74	91	3,004	9,520
2010-01-20	$90.20	$89.00	7.0%	2.0%	6.8%	10.9%	6.9%	0.9%	1.1%	-6.6M	33.8M	-179.2K	0.25	19.72	289	71	3,034	9,597
2010-01-21	$90.53	$89.00	6.6%	1.9%	5.8%	6.9%	6.4%	0.9%	1.3%	-6.4M	28.9M	-183.3K	0.02	21.30	1,348	33	3,197	9,640
2010-01-22	$90.61	$89.00	6.7%	1.9%	5.5%	8.0%	7.1%	0.7%	1.0%	-4.3M	22.8M	-194.7K	0.26	18.90	317	82	4,500	9,621
2010-01-25	$90.41	$89.00	7.1%	2.0%	5.6%	11.8%	6.5%	0.6%	0.7%	-4.8M	24.2M	-178.7K	0.01	20.78	112	1	4,601	9,689
2010-01-26	$90.59	$89.00	6.8%	2.0%	5.4%	8.7%	6.7%	0.5%	1.0%	-4.7M	22.3M	-184.0K	1.02	18.92	53	54	4,642	9,690
2010-01-27	$90.38	$89.00	6.4%	1.8%	5.3%	4.7%	6.5%	1.2%	1.3%	-4.9M	26.0M	-181.4K	16.17	8.35	114	1,843	4,643	9,744
2010-01-28	$90.35	$90.00	6.2%	1.8%	5.4%	1.8%	6.2%	0.7%	1.5%	-9.0M	35.8M	-195.2K	1.66	10.88	50	83	4,723	11,570
2010-01-29	$90.70	$90.00	5.8%	1.7%	5.5%	0.0%	5.9%	1.1%	1.2%	-8.8M	28.8M	-193.9K	0.12	15.09	491	60	4,728	11,609