IEF Options History — April 2010

In April 2010, IEF traded between $88.26 and $90.72. ATM implied volatility averaged 6.5%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.0% (HV 20d: 6.4%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2010-04-01: Highest Volume — 2,548 contracts
2010-04-12: Largest IV spike — 17.5% change
2010-04-05: Highest IV Rank — 17.0%
2010-04-05: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.54	$88.26	$90.72	$89.06	$90.72
Max Pain	$89.33	$88.00	$90.00	$90.00	$90.00
ATM IV	6.5%	5.8%	7.3%	6.9%	6.1%
Expected Move	1.9%	1.6%	2.1%	2.0%	1.7%
HV 20d	6.4%	5.4%	6.9%	5.4%	6.9%
HV 60d	5.9%	5.7%	6.1%	5.7%	6.0%
IV Rank	8.3%	0.9%	17.0%	12.5%	4.4%
IV Percentile	13.4%	0.4%	29.8%	21.4%	5.2%
Term Structure	0.6%	0.1%	1.2%	0.1%	0.7%
VWIV	6.4%	5.2%	7.5%	7.0%	6.2%
Skew 25d	0.5%	0.0%	0.9%	0.0%	0.5%
Skew 10d	1.8%	-1.8%	3.9%	0.5%	-1.8%
Call IV 25d	6.4%	5.6%	7.1%	7.0%	6.2%
Put IV 25d	6.9%	6.3%	8.0%	7.1%	6.7%
Bid-Ask Spread %	18.39	12.74	25.48	12.74	18.05
Gamma HHI	0.41	0.12	0.88	0.24	0.51
Net GEX	4.0M	-307.1K	27.8M	587.8K	4.4M
Net DEX	7.3M	-3.7M	18.4M	12.1M	-3.7M
Net VEX	-126.1K	-145.0K	-110.4K	-120.6K	-140.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.07	14.52	0.10	0.07
Total Volume	524.048	51	2,548	2,548	360
Total OI	12,338.667	9,915	14,272	9,915	13,434

Daily Data (21 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
2010-04-01	$89.06	$90.00	6.9%	2.0%	5.4%	12.5%	7.0%	0.0%	0.1%	587.8K	12.1M	-120.6K	0.10	12.74	2,307	241	4,128	5,787
2010-04-05	$88.26	$89.00	7.3%	2.1%	6.0%	17.0%	7.2%	0.9%	0.3%	-307.1K	18.4M	-110.4K	1.74	25.48	23	40	5,756	5,943
2010-04-06	$88.52	$89.00	6.9%	2.0%	6.1%	12.4%	7.5%	0.7%	0.6%	189.0K	17.0M	-120.3K	1.60	19.53	145	232	5,784	5,970
2010-04-07	$89.07	$89.00	7.0%	2.1%	6.5%	13.8%	7.2%	0.7%	0.2%	3.5M	10.9M	-124.4K	0.28	17.77	40	11	5,844	6,199
2010-04-08	$88.97	$89.00	6.9%	2.0%	6.5%	12.8%	0.0%	0.5%	0.5%	2.3M	12.8M	-115.9K	2.14	16.78	66	141	5,844	6,199
2010-04-09	$89.07	$89.00	6.1%	2.0%	6.5%	4.6%	6.6%	0.8%	0.6%	2.0M	13.4M	-121.1K	0.14	20.90	140	20	5,879	6,346
2010-04-12	$89.31	$89.00	7.2%	2.0%	6.6%	15.8%	6.8%	0.6%	0.3%	5.0M	9.1M	-115.4K	0.32	19.02	94	30	5,804	6,348
2010-04-13	$89.48	$88.00	7.1%	1.9%	6.6%	15.5%	6.6%	0.6%	0.5%	7.9M	7.4M	-123.4K	14.52	16.14	151	2,192	5,886	6,353
2010-04-14	$89.24	$88.00	6.3%	2.0%	6.5%	6.6%	6.5%	0.6%	0.3%	2.8M	12.4M	-125.3K	5.94	20.12	16	95	5,971	8,155
2010-04-15	$89.39	$89.00	6.7%	1.9%	6.5%	10.4%	6.2%	0.3%	0.4%	5.5M	10.6M	-121.3K	0.14	17.05	77	11	5,976	8,225
2010-04-16	$89.93	$89.00	6.3%	1.8%	6.9%	6.8%	6.4%	0.6%	0.6%	27.8M	-2.3M	-120.6K	0.08	19.53	432	34	6,048	8,224
2010-04-19	$89.71	$89.00	6.1%	1.8%	6.9%	4.8%	5.8%	0.5%	1.2%	185.4K	8.8M	-115.6K	0.11	17.20	1,119	124	3,045	7,354
2010-04-20	$89.75	$89.00	5.9%	1.7%	6.8%	2.1%	5.9%	0.9%	1.0%	2.5M	5.7M	-136.7K	0.25	20.55	228	56	4,162	7,408
2010-04-21	$90.04	$90.00	6.1%	1.7%	6.9%	4.2%	6.2%	0.7%	0.6%	3.3M	1.2M	-122.6K	2.19	18.14	73	160	4,390	7,464
2010-04-22	$89.83	$90.00	6.0%	1.7%	5.9%	3.8%	5.2%	0.6%	0.9%	2.5M	3.4M	-130.6K	0.19	13.37	185	36	4,456	7,590
2010-04-23	$89.58	$90.00	5.8%	1.6%	5.8%	0.9%	5.9%	0.5%	0.9%	2.5M	5.9M	-136.6K	0.30	16.35	298	90	4,586	7,616
2010-04-26	$89.64	$90.00	5.8%	1.7%	5.8%	1.7%	6.4%	0.4%	1.0%	2.7M	5.1M	-130.9K	0.48	19.18	192	92	4,586	7,663
2010-04-27	$90.48	$90.00	6.8%	1.9%	6.6%	11.4%	6.7%	0.3%	0.4%	3.3M	-1.3M	-130.9K	3.08	22.20	216	666	4,663	7,693
2010-04-28	$90.02	$90.00	6.4%	1.8%	6.9%	7.4%	6.5%	0.3%	0.8%	2.6M	3.4M	-140.2K	1.66	16.10	135	224	4,771	8,302
2010-04-29	$90.17	$90.00	6.2%	1.8%	6.9%	5.2%	6.1%	0.4%	0.7%	3.0M	2.0M	-145.0K	0.79	19.89	119	94	4,832	8,428
2010-04-30	$90.72	$90.00	6.1%	1.7%	6.9%	4.4%	6.2%	0.5%	0.7%	4.4M	-3.7M	-140.3K	0.07	18.05	335	25	4,932	8,502