IEF Options History — July 2010

In July 2010, IEF traded between $94.35 and $96.32. ATM implied volatility averaged 6.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.5% (HV 20d: 6.1%). Max pain ranged from $94.00 to $98.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.98.

Notable Days

2010-07-01: Highest Volume — 5,608 contracts
2010-07-14: Largest IV drop — 19.7% change
2010-07-01: Highest IV Rank — 36.6%
2010-07-01: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.38	$94.35	$96.32	$95.38	$96.29
Max Pain	$95.52	$94.00	$98.00	$94.00	$95.00
ATM IV	6.6%	5.9%	8.0%	8.0%	5.9%
Expected Move	1.9%	1.7%	2.3%	2.3%	1.7%
HV 20d	6.1%	5.2%	7.9%	7.9%	6.3%
HV 60d	7.7%	7.5%	7.8%	7.6%	7.5%
IV Rank	15.1%	3.4%	36.6%	36.6%	3.4%
IV Percentile	20.9%	2.8%	54.8%	54.8%	2.8%
Term Structure	0.5%	0.2%	0.8%	0.2%	0.8%
VWIV	6.7%	5.6%	8.0%	8.0%	5.6%
Skew 25d	0.2%	-0.3%	0.6%	-0.3%	-0.1%
Skew 10d	1.8%	-2.8%	9.7%	-0.2%	-2.8%
Call IV 25d	6.8%	5.9%	8.3%	8.3%	5.9%
Put IV 25d	6.9%	5.9%	8.0%	8.0%	5.9%
Bid-Ask Spread %	16.00	11.03	60.23	11.97	13.30
Gamma HHI	0.26	0.17	0.46	0.17	0.21
Net GEX	1.4M	-4.9M	5.0M	3.8M	4.6M
Net DEX	-10.4M	-24.3M	5.6M	-17.9M	-22.2M
Net VEX	-227.3K	-261.0K	-190.6K	-237.9K	-212.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.98	0.04	65.31	23.49	0.84
Total Volume	863.048	143	5,608	5,608	333
Total OI	25,942.571	22,236	27,109	22,236	27,109

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
2010-07-01	$95.38	$94.00	8.0%	2.3%	7.9%	36.6%	8.0%	-0.3%	0.2%	3.8M	-17.9M	-237.9K	23.49	11.97	229	5,379	8,276	13,960
2010-07-02	$95.21	$95.00	7.1%	2.0%	6.5%	22.4%	6.9%	0.4%	0.7%	-3.3M	-3.3M	-261.0K	1.16	60.23	125	145	8,298	16,775
2010-07-06	$95.44	$98.00	7.3%	2.3%	6.4%	26.2%	7.9%	-0.1%	0.4%	-3.5M	-7.7M	-252.1K	0.92	16.87	131	120	8,383	16,876
2010-07-07	$95.14	$98.00	7.5%	2.2%	6.4%	29.2%	7.3%	0.3%	0.5%	-3.8M	-3.3M	-244.8K	4.20	15.38	70	294	8,482	16,863
2010-07-08	$94.91	$98.00	6.9%	2.2%	6.5%	19.2%	7.5%	0.3%	0.4%	-4.7M	2.0M	-247.3K	0.44	16.13	533	236	8,558	17,106
2010-07-09	$94.66	$96.00	6.2%	2.1%	5.5%	8.5%	7.4%	0.2%	0.4%	-4.9M	5.6M	-230.0K	65.31	15.07	77	5,029	8,781	17,333
2010-07-12	$94.82	$96.00	6.7%	2.1%	5.2%	16.5%	7.3%	0.1%	0.3%	1.2M	-2.9M	-246.9K	0.09	13.74	131	12	8,853	17,339
2010-07-13	$94.35	$96.00	7.8%	2.2%	5.5%	33.5%	7.3%	0.5%	0.4%	303.3K	4.8M	-251.1K	21.76	14.21	33	718	8,948	17,335
2010-07-14	$94.82	$95.00	6.2%	2.0%	5.6%	9.2%	6.8%	0.6%	0.6%	2.0M	-3.3M	-249.4K	1.06	11.03	171	182	8,980	17,270
2010-07-15	$95.31	$95.00	6.6%	1.9%	5.7%	15.0%	6.9%	0.1%	0.5%	3.1M	-11.3M	-237.1K	0.71	15.18	255	181	9,094	17,393
2010-07-16	$95.86	$95.00	6.4%	1.8%	5.8%	11.6%	6.4%	0.1%	0.8%	4.8M	-19.8M	-222.3K	0.31	14.63	121	38	9,256	17,568
2010-07-19	$95.61	$95.00	6.4%	1.8%	5.9%	12.7%	6.5%	0.2%	0.4%	1.5M	-12.8M	-213.3K	0.04	12.25	495	21	8,394	17,041
2010-07-20	$95.71	$95.00	6.4%	1.8%	5.8%	12.5%	6.3%	0.2%	0.7%	2.9M	-15.5M	-219.6K	2.21	15.85	101	223	8,836	17,060
2010-07-21	$96.32	$95.00	6.4%	1.8%	5.9%	12.4%	6.4%	-0.2%	0.4%	4.3M	-24.3M	-212.7K	0.11	12.20	303	32	8,852	17,216
2010-07-22	$95.79	$95.00	6.4%	1.8%	6.2%	12.5%	6.3%	0.5%	0.4%	3.1M	-18.0M	-220.7K	0.40	13.59	133	53	8,961	17,248
2010-07-23	$95.48	$95.00	6.3%	1.8%	6.4%	10.4%	6.2%	0.3%	0.6%	2.8M	-13.3M	-213.6K	0.08	14.38	209	17	8,934	17,259
2010-07-26	$95.45	$95.00	6.0%	1.7%	6.4%	6.1%	6.1%	0.0%	0.8%	2.9M	-13.2M	-212.4K	0.72	14.68	126	91	8,995	17,254
2010-07-27	$95.12	$95.00	6.2%	1.8%	6.0%	9.1%	6.1%	0.2%	0.5%	2.6M	-9.8M	-198.5K	0.28	12.12	348	96	9,023	17,308
2010-07-28	$95.53	$95.00	5.9%	1.7%	6.0%	4.4%	6.0%	0.1%	0.4%	3.9M	-16.4M	-190.6K	0.39	12.00	379	149	9,259	17,389
2010-07-29	$95.73	$95.00	6.0%	1.7%	6.1%	5.7%	6.2%	-0.0%	0.4%	5.0M	-16.7M	-200.0K	1.02	11.30	398	407	9,422	17,507
2010-07-30	$96.29	$95.00	5.9%	1.7%	6.3%	3.4%	5.6%	-0.1%	0.8%	4.6M	-22.2M	-212.6K	0.84	13.30	181	152	9,212	17,897