IEF Options History — January 2011

In January 2011, IEF traded between $92.74 and $94.17. ATM implied volatility averaged 7.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 2.0% (HV 20d: 9.9%). Max pain ranged from $92.00 to $96.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.99.

Notable Days

2011-01-19: Highest Volume — 2,099 contracts
2011-01-07: Largest IV drop — 11.4% change
2011-01-06: Highest IV Rank — 53.8%
2011-01-06: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.67	$92.74	$94.17	$93.53	$93.80
Max Pain	$93.20	$92.00	$96.00	$96.00	$93.00
ATM IV	7.9%	6.7%	9.4%	8.8%	7.4%
Expected Move	2.3%	1.9%	2.7%	2.5%	2.1%
HV 20d	9.9%	8.0%	11.9%	11.9%	8.0%
HV 60d	10.1%	9.8%	10.3%	9.8%	10.2%
IV Rank	32.3%	14.9%	53.8%	45.3%	24.9%
IV Percentile	64.5%	31.7%	92.5%	82.9%	53.2%
Term Structure	0.3%	-0.2%	0.8%	-0.1%	0.8%
VWIV	7.9%	6.6%	9.3%	8.9%	8.0%
Skew 25d	0.8%	-0.4%	1.2%	1.1%	0.3%
Skew 10d	2.5%	-0.3%	5.2%	5.2%	2.4%
Call IV 25d	7.7%	6.7%	8.8%	8.2%	7.9%
Put IV 25d	8.5%	7.2%	9.9%	9.4%	8.1%
Bid-Ask Spread %	25.95	6.40	44.67	8.30	21.14
Gamma HHI	0.24	0.22	0.29	0.22	0.22
Net GEX	-24.2M	-32.2M	-15.4M	-29.5M	-15.4M
Net DEX	146.7M	69.1M	198.3M	164.1M	90.7M
Net VEX	-562.6K	-644.0K	-460.8K	-619.4K	-521.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.99	0.26	45.60	1.53	6.26
Total Volume	814	202	2,099	1,072	1,720
Total OI	54,889.65	40,810	64,363	57,857	42,031

Daily Data (20 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
2011-01-03	$93.53	$96.00	8.8%	2.5%	11.9%	45.3%	8.9%	1.1%	-0.1%	-29.5M	164.1M	-619.4K	1.53	8.30	424	648	9,889	47,968
2011-01-04	$93.75	$96.00	8.6%	2.5%	11.6%	41.4%	8.7%	0.8%	0.2%	-29.1M	158.4M	-617.4K	4.59	8.18	251	1,152	10,021	48,083
2011-01-05	$92.74	$96.00	9.3%	2.7%	10.8%	51.9%	9.3%	1.0%	0.1%	-28.4M	198.3M	-631.0K	0.42	9.20	219	93	10,223	49,089
2011-01-06	$93.22	$96.00	9.4%	2.7%	10.6%	53.8%	8.2%	1.1%	-0.2%	-26.6M	188.3M	-644.0K	15.20	6.40	40	608	10,388	49,104
2011-01-07	$93.84	$92.00	8.3%	2.5%	10.9%	38.4%	9.3%	1.2%	0.1%	-28.8M	162.6M	-633.0K	1.36	41.35	377	512	10,408	49,290
2011-01-10	$94.16	$92.00	8.6%	2.6%	10.5%	41.7%	8.2%	1.1%	0.1%	-30.7M	153.1M	-605.1K	2.10	43.81	120	252	10,686	49,503
2011-01-11	$93.79	$92.00	7.7%	2.4%	10.5%	28.6%	8.1%	1.0%	0.6%	-29.6M	167.3M	-600.1K	1.33	44.67	257	341	10,699	49,669
2011-01-12	$93.52	$92.00	7.6%	2.4%	9.8%	28.5%	8.1%	0.9%	0.6%	-28.5M	175.4M	-587.3K	45.60	40.70	5	228	10,863	49,733
2011-01-13	$94.15	$92.00	8.4%	2.4%	9.9%	39.7%	8.0%	0.8%	0.3%	-32.2M	153.9M	-582.5K	1.77	37.18	73	129	10,867	49,766
2011-01-14	$93.89	$92.00	7.6%	2.2%	9.8%	27.2%	7.0%	0.9%	0.7%	-30.9M	165.9M	-580.3K	0.28	36.53	445	126	10,905	49,789
2011-01-18	$93.66	$92.00	7.8%	2.2%	9.4%	30.9%	7.8%	0.7%	0.2%	-25.2M	176.0M	-525.7K	0.26	32.56	1,585	410	11,286	49,783
2011-01-19	$93.90	$92.00	7.2%	2.1%	9.4%	21.5%	7.3%	0.9%	0.7%	-22.4M	165.5M	-546.3K	0.90	35.54	1,105	994	12,794	49,973
2011-01-20	$93.17	$93.00	7.8%	2.2%	9.8%	31.2%	8.2%	1.2%	0.2%	-19.3M	193.0M	-539.5K	2.75	21.09	161	443	13,775	50,588
2011-01-21	$93.48	$93.00	7.9%	2.3%	9.8%	32.6%	7.7%	0.7%	0.0%	-19.0M	182.4M	-536.6K	10.30	26.43	47	484	13,750	50,498
2011-01-24	$93.49	$93.00	7.5%	2.1%	9.8%	26.1%	7.5%	1.0%	0.5%	-17.2M	101.3M	-519.7K	0.49	20.76	377	184	8,147	32,663
2011-01-25	$93.96	$93.00	7.1%	2.0%	9.8%	20.9%	7.1%	0.7%	0.5%	-16.5M	82.3M	-512.4K	0.32	13.79	451	146	8,279	32,820
2011-01-26	$93.39	$93.00	7.3%	2.1%	8.8%	23.4%	6.6%	1.0%	0.4%	-19.3M	101.9M	-513.3K	0.65	24.40	326	212	8,488	32,794
2011-01-27	$93.74	$93.00	6.7%	1.9%	8.0%	14.9%	6.8%	0.4%	0.4%	-20.0M	84.3M	-460.8K	3.11	24.81	66	205	8,696	32,788
2011-01-28	$94.17	$93.00	7.3%	2.1%	8.1%	23.0%	7.8%	-0.4%	0.8%	-16.0M	69.1M	-475.7K	0.53	22.17	695	369	8,722	32,975
2011-01-31	$93.80	$93.00	7.4%	2.1%	8.0%	24.9%	8.0%	0.3%	0.8%	-15.4M	90.7M	-521.6K	6.26	21.14	237	1,483	8,925	33,106