IEF Options History — February 2010

In February 2010, IEF traded between $89.50 and $90.84. ATM implied volatility averaged 6.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.4% (HV 20d: 6.2%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.51.

Notable Days

2010-02-23: Highest Volume — 1,380 contracts
2010-02-11: Largest IV spike — 13.6% change
2010-02-11: Highest IV Rank — 19.2%
2010-02-09: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.16	$89.50	$90.84	$90.09	$90.69
Max Pain	$90.84	$90.00	$91.00	$91.00	$90.00
ATM IV	6.6%	5.8%	7.6%	6.4%	6.2%
Expected Move	2.0%	1.7%	2.2%	1.8%	1.8%
HV 20d	6.2%	5.7%	6.8%	5.8%	6.6%
HV 60d	6.4%	6.1%	6.6%	6.1%	6.6%
IV Rank	8.8%	0.0%	19.2%	6.0%	4.1%
IV Percentile	8.3%	0.0%	23.0%	2.0%	3.6%
Term Structure	1.3%	0.5%	2.0%	1.2%	0.7%
VWIV	6.8%	6.0%	7.9%	6.3%	6.4%
Skew 25d	0.9%	0.2%	2.0%	0.8%	0.7%
Skew 10d	1.7%	-0.6%	3.3%	0.5%	-0.2%
Call IV 25d	6.5%	5.1%	7.3%	5.9%	6.2%
Put IV 25d	7.4%	6.3%	8.4%	6.6%	6.9%
Bid-Ask Spread %	13.56	8.39	17.31	11.06	12.81
Gamma HHI	0.61	0.54	0.70	0.55	0.65
Net GEX	-11.0M	-15.6M	-8.0M	-8.9M	-9.6M
Net DEX	40.9M	21.4M	66.1M	39.5M	21.4M
Net VEX	-171.2K	-194.0K	-143.6K	-190.1K	-151.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.01	6.24	0.60	0.41
Total Volume	408.947	137	1,380	417	743
Total OI	16,391.158	13,608	18,019	16,270	15,049

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
2010-02-01	$90.09	$91.00	6.4%	1.8%	5.8%	6.0%	6.3%	0.8%	1.2%	-8.9M	39.5M	-190.1K	0.60	11.06	260	157	4,608	11,662
2010-02-02	$90.24	$91.00	6.2%	1.8%	5.7%	3.7%	6.1%	0.7%	1.1%	-8.6M	36.1M	-194.0K	0.11	12.27	655	73	4,775	11,800
2010-02-03	$89.81	$91.00	6.2%	1.8%	5.9%	3.8%	6.2%	0.2%	1.4%	-9.7M	48.8M	-189.4K	1.55	16.13	67	104	4,479	11,852
2010-02-04	$90.55	$91.00	6.0%	1.7%	6.3%	1.9%	6.4%	1.7%	1.3%	-8.4M	31.5M	-192.0K	3.49	15.01	72	251	4,536	11,945
2010-02-05	$90.84	$91.00	5.8%	2.1%	6.3%	0.0%	7.4%	0.6%	1.5%	-8.0M	24.4M	-192.6K	0.17	15.08	252	43	4,604	12,128
2010-02-08	$90.76	$91.00	6.4%	2.2%	6.4%	6.7%	7.2%	0.9%	1.4%	-8.3M	25.9M	-191.5K	1.25	15.82	73	91	4,784	12,160
2010-02-09	$90.27	$91.00	6.5%	2.2%	6.8%	7.5%	7.7%	0.8%	1.4%	-9.6M	36.5M	-189.1K	0.01	16.60	170	1	4,818	12,249
2010-02-10	$90.02	$91.00	6.7%	2.2%	6.4%	9.5%	7.9%	1.0%	1.4%	-10.5M	45.0M	-180.4K	4.42	11.47	86	380	4,783	12,249
2010-02-11	$89.91	$91.00	7.6%	2.2%	6.2%	19.2%	7.9%	1.2%	1.4%	-11.8M	50.4M	-179.4K	6.24	17.31	21	131	4,805	12,610
2010-02-12	$90.12	$91.00	7.4%	2.1%	6.0%	16.7%	7.0%	0.8%	1.7%	-11.9M	43.4M	-179.9K	0.77	15.58	155	119	4,818	12,703
2010-02-16	$90.32	$91.00	7.5%	2.2%	5.8%	17.9%	6.8%	1.0%	1.4%	-12.4M	39.8M	-169.3K	0.17	15.20	246	42	4,807	12,797
2010-02-17	$89.84	$91.00	7.3%	2.1%	6.1%	16.1%	7.5%	0.5%	1.7%	-15.6M	55.6M	-160.3K	2.05	12.49	142	291	4,730	12,837
2010-02-18	$89.52	$91.00	7.1%	2.0%	6.1%	13.9%	7.0%	1.2%	1.6%	-14.6M	66.0M	-149.0K	0.68	11.59	273	186	4,823	13,002
2010-02-19	$89.57	$91.00	6.8%	2.0%	5.9%	10.6%	7.0%	0.6%	2.0%	-15.4M	66.1M	-148.0K	4.83	12.11	42	203	4,937	13,082
2010-02-22	$89.50	$91.00	6.8%	1.9%	5.9%	10.0%	6.6%	1.0%	0.5%	-11.5M	49.9M	-143.6K	1.21	15.00	62	75	2,999	10,609
2010-02-23	$90.18	$91.00	6.5%	1.9%	6.5%	7.1%	6.3%	0.8%	0.9%	-12.8M	38.4M	-145.3K	0.16	10.61	1,194	186	3,061	10,651
2010-02-24	$90.23	$90.00	6.5%	1.9%	6.5%	7.3%	6.4%	0.6%	1.0%	-10.6M	33.4M	-156.6K	0.46	13.05	211	97	4,040	10,709
2010-02-25	$90.56	$90.00	6.2%	1.8%	6.6%	4.2%	6.0%	2.0%	0.9%	-10.2M	25.2M	-150.7K	0.11	8.39	553	63	4,163	10,768
2010-02-26	$90.69	$90.00	6.2%	1.8%	6.6%	4.1%	6.4%	0.7%	0.7%	-9.6M	21.4M	-151.9K	0.41	12.81	528	215	4,259	10,790