IEF Options History — February 2011

In February 2011, IEF traded between $91.14 and $93.41. ATM implied volatility averaged 8.0%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.5% (HV 20d: 7.5%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 22.36.

Notable Days

2011-02-11: Highest Volume — 8,897 contracts
2011-02-10: Largest IV spike — 15.3% change
2011-02-03: Highest IV Rank — 43.4%
2011-02-03: Largest Expected Move — 2.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.31	$91.14	$93.41	$93.13	$93.37
Max Pain	$94.84	$94.00	$95.00	$94.00	$95.00
ATM IV	8.0%	7.4%	8.7%	7.8%	7.9%
Expected Move	2.3%	2.2%	2.5%	2.2%	2.3%
HV 20d	7.5%	6.9%	8.4%	8.4%	7.2%
HV 60d	9.8%	9.1%	10.1%	10.1%	9.1%
IV Rank	34.0%	24.5%	43.4%	31.1%	32.5%
IV Percentile	66.4%	50.0%	80.2%	65.1%	62.3%
Term Structure	0.7%	-0.0%	1.4%	0.4%	0.4%
VWIV	8.4%	7.7%	9.3%	8.3%	7.7%
Skew 25d	0.8%	0.2%	1.2%	0.6%	0.5%
Skew 10d	1.1%	-2.7%	3.3%	1.5%	1.1%
Call IV 25d	7.9%	7.5%	8.2%	7.6%	7.6%
Put IV 25d	8.6%	8.1%	9.1%	8.2%	8.1%
Bid-Ask Spread %	12.92	8.71	25.54	25.54	10.77
Gamma HHI	0.28	0.20	0.38	0.24	0.20
Net GEX	-28.4M	-33.8M	-18.1M	-18.1M	-30.5M
Net DEX	168.5M	106.5M	201.3M	106.5M	201.3M
Net VEX	-680.9K	-1.2M	-445.5K	-523.3K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	22.36	0.28	82.93	5.25	32.50
Total Volume	2,406.526	341	8,897	1,276	1,742
Total OI	55,349.105	43,372	74,058	43,372	74,058

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
2011-02-01	$93.13	$94.00	7.8%	2.2%	8.4%	31.1%	8.3%	0.6%	0.4%	-18.1M	106.5M	-523.3K	5.25	25.54	204	1,072	8,956	34,416
2011-02-02	$92.91	$94.00	8.1%	2.3%	8.4%	34.7%	8.1%	1.2%	0.1%	-19.7M	119.1M	-505.4K	8.71	24.99	112	975	9,160	35,408
2011-02-03	$92.38	$94.00	8.7%	2.5%	7.7%	43.4%	8.5%	0.7%	-0.0%	-21.7M	134.9M	-514.9K	1.44	15.35	140	201	9,200	36,246
2011-02-04	$91.81	$95.00	7.9%	2.3%	7.7%	32.4%	8.5%	0.7%	0.9%	-25.2M	157.1M	-490.8K	2.61	11.69	170	443	9,307	36,384
2011-02-07	$91.77	$95.00	8.1%	2.3%	7.2%	34.4%	8.8%	0.8%	0.6%	-25.9M	158.6M	-483.3K	2.44	9.29	174	425	9,333	36,747
2011-02-08	$91.14	$95.00	8.1%	2.4%	7.2%	34.5%	8.2%	0.7%	0.4%	-27.3M	179.8M	-445.5K	11.82	12.16	124	1,466	9,425	36,972
2011-02-09	$91.66	$95.00	7.4%	2.3%	7.6%	24.5%	8.5%	1.1%	0.9%	-28.8M	165.1M	-464.5K	13.28	12.63	235	3,120	9,522	37,519
2011-02-10	$91.36	$95.00	8.5%	2.4%	7.7%	40.7%	8.7%	1.0%	0.4%	-28.8M	179.4M	-482.4K	1.65	11.29	337	557	9,666	39,720
2011-02-11	$91.78	$95.00	8.0%	2.3%	7.4%	33.5%	8.2%	0.8%	1.0%	-28.8M	163.2M	-505.5K	82.93	10.19	106	8,791	9,958	40,035
2011-02-14	$91.81	$95.00	7.9%	2.3%	7.4%	32.6%	8.4%	0.6%	1.2%	-32.2M	194.6M	-713.6K	44.81	13.48	48	2,151	10,019	47,789
2011-02-15	$92.02	$95.00	8.0%	2.3%	7.5%	34.1%	8.6%	0.7%	1.0%	-32.4M	192.3M	-714.9K	53.40	12.57	10	534	10,054	49,132
2011-02-16	$91.89	$95.00	8.1%	2.3%	7.4%	34.5%	9.3%	0.5%	1.0%	-33.4M	196.5M	-711.2K	62.26	10.06	23	1,432	10,057	49,500
2011-02-17	$92.23	$95.00	7.8%	2.2%	7.1%	30.5%	8.6%	1.1%	1.3%	-33.8M	184.3M	-725.8K	0.28	10.23	2,154	596	10,079	50,085
2011-02-18	$92.21	$95.00	7.7%	2.2%	6.9%	28.6%	8.3%	0.2%	1.4%	-33.5M	180.5M	-741.7K	15.62	14.50	37	578	12,070	50,464
2011-02-22	$93.10	$95.00	8.3%	2.4%	7.9%	37.5%	8.3%	0.9%	0.2%	-28.0M	147.2M	-730.2K	9.25	11.51	466	4,312	8,437	49,451
2011-02-23	$92.87	$95.00	8.2%	2.4%	7.6%	36.5%	8.5%	0.7%	0.8%	-28.8M	161.1M	-800.3K	11.16	10.40	418	4,664	8,733	51,228
2011-02-24	$93.11	$95.00	8.3%	2.4%	7.4%	37.2%	8.4%	0.6%	0.2%	-30.5M	186.2M	-1.0M	61.98	8.71	104	6,446	9,116	59,680
2011-02-25	$93.41	$95.00	7.9%	2.3%	7.4%	31.8%	7.7%	1.0%	0.4%	-33.0M	194.2M	-1.2M	3.38	10.21	310	1,047	9,178	64,529
2011-02-28	$93.37	$95.00	7.9%	2.3%	7.2%	32.5%	7.7%	0.5%	0.4%	-30.5M	201.3M	-1.2M	32.50	10.77	52	1,690	8,916	65,142