IEF Options History — April 2011

In April 2011, IEF traded between $92.04 and $94.47. ATM implied volatility averaged 6.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.2% (HV 20d: 5.8%). Max pain ranged from $92.00 to $94.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.49.

Notable Days

2011-04-27: Highest Volume — 10,288 contracts
2011-04-14: Largest IV spike — 14.0% change
2011-04-06: Highest IV Rank — 23.4%
2011-04-06: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.22	$92.04	$94.47	$92.96	$94.47
Max Pain	$92.90	$92.00	$94.00	$94.00	$93.00
ATM IV	6.9%	6.3%	7.4%	6.9%	6.8%
Expected Move	2.1%	1.9%	2.3%	2.0%	1.9%
HV 20d	5.8%	5.0%	6.6%	6.4%	5.6%
HV 60d	6.8%	6.6%	7.1%	7.1%	6.6%
IV Rank	16.6%	7.7%	23.4%	17.1%	13.8%
IV Percentile	22.7%	7.9%	37.3%	23.4%	17.5%
Term Structure	0.5%	-0.1%	1.2%	1.2%	-0.1%
VWIV	7.1%	5.0%	8.1%	5.0%	5.8%
Skew 25d	0.8%	-0.6%	1.3%	-0.6%	1.0%
Skew 10d	1.7%	-0.7%	4.0%	3.3%	2.1%
Call IV 25d	7.0%	5.8%	7.8%	7.7%	5.9%
Put IV 25d	7.8%	7.0%	8.5%	7.1%	7.0%
Bid-Ask Spread %	19.74	12.63	28.89	12.63	16.10
Gamma HHI	0.25	0.21	0.36	0.22	0.26
Net GEX	-18.6M	-26.0M	-7.7M	-22.0M	-10.0M
Net DEX	166.4M	43.3M	254.5M	205.4M	43.3M
Net VEX	-1.1M	-1.2M	-792.8K	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.49	0.09	13.85	0.15	1.03
Total Volume	1,862.75	178	10,288	2,199	881
Total OI	74,669.3	67,004	84,154	73,681	84,154

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
2011-04-01	$92.96	$94.00	6.9%	2.0%	6.4%	17.1%	5.0%	-0.6%	1.2%	-22.0M	205.4M	-1.2M	0.15	12.63	1,911	288	11,540	62,141
2011-04-04	$93.17	$92.00	7.3%	2.2%	6.4%	23.2%	7.8%	0.5%	0.3%	-20.3M	190.3M	-1.2M	0.09	28.89	221	20	13,269	62,201
2011-04-05	$92.70	$92.00	6.9%	2.3%	6.6%	16.7%	8.1%	0.8%	0.4%	-21.8M	213.6M	-1.2M	1.81	16.90	254	459	13,326	61,806
2011-04-06	$92.30	$92.00	7.4%	2.3%	6.5%	23.4%	8.1%	0.7%	0.4%	-23.5M	236.5M	-1.2M	11.15	14.88	258	2,876	13,491	62,181
2011-04-07	$92.31	$93.00	6.6%	2.3%	5.6%	12.8%	7.7%	0.9%	0.2%	-24.8M	238.9M	-1.2M	13.13	20.20	111	1,457	13,488	62,644
2011-04-08	$92.04	$93.00	6.4%	2.2%	5.6%	9.6%	8.0%	0.9%	0.4%	-25.7M	252.1M	-1.2M	13.31	24.25	144	1,916	13,566	62,661
2011-04-11	$92.16	$93.00	6.8%	2.1%	5.5%	15.4%	7.4%	0.8%	0.4%	-26.0M	254.5M	-1.1M	3.99	26.08	308	1,230	13,666	62,859
2011-04-12	$92.68	$93.00	7.0%	2.1%	5.8%	18.3%	7.2%	0.7%	0.5%	-22.6M	220.6M	-1.2M	0.80	18.31	1,304	1,042	13,860	63,394
2011-04-13	$93.04	$93.00	6.3%	2.1%	5.0%	7.7%	7.6%	0.6%	0.6%	-16.2M	169.8M	-849.0K	1.43	15.51	482	691	14,815	63,891
2011-04-14	$92.73	$93.00	7.2%	2.1%	5.0%	20.5%	7.3%	1.0%	0.4%	-20.9M	225.8M	-1.2M	1.20	15.62	623	748	15,225	64,435
2011-04-15	$93.41	$93.00	7.3%	2.1%	5.8%	23.2%	6.8%	0.8%	0.7%	-14.5M	143.5M	-879.9K	0.84	28.36	565	473	15,818	64,902
2011-04-18	$93.64	$93.00	7.3%	2.1%	5.6%	22.4%	7.4%	0.8%	0.6%	-16.7M	116.7M	-849.3K	0.90	16.59	827	748	10,313	56,691
2011-04-19	$93.76	$93.00	7.0%	2.0%	5.6%	18.0%	6.8%	0.9%	0.8%	-14.2M	108.6M	-806.0K	0.55	16.79	259	143	10,996	57,316
2011-04-20	$93.39	$93.00	7.0%	2.0%	5.8%	18.3%	7.1%	1.0%	0.7%	-21.5M	157.1M	-1.2M	2.09	16.06	96	201	11,227	57,392
2011-04-21	$93.46	$93.00	7.1%	2.0%	5.5%	19.7%	6.9%	0.7%	0.5%	-21.8M	155.0M	-1.2M	0.73	16.61	559	406	11,305	57,480
2011-04-25	$93.79	$93.00	6.7%	1.9%	5.6%	13.0%	7.2%	1.3%	0.5%	-13.0M	106.2M	-806.7K	2.18	22.76	56	122	11,690	57,775
2011-04-26	$94.19	$93.00	6.7%	1.9%	5.7%	12.0%	6.8%	1.1%	1.1%	-11.6M	91.7M	-792.8K	13.85	23.39	134	1,856	11,746	57,830
2011-04-27	$93.92	$93.00	6.8%	1.9%	5.7%	13.7%	6.8%	1.0%	0.5%	-16.8M	134.7M	-1.1M	0.41	17.95	7,313	2,975	11,806	59,381
2011-04-28	$94.28	$93.00	6.7%	1.9%	5.7%	12.4%	5.8%	1.2%	0.4%	-7.7M	63.8M	-951.9K	0.13	26.93	2,913	385	19,005	62,100
2011-04-29	$94.47	$93.00	6.8%	1.9%	5.6%	13.8%	5.8%	1.0%	-0.1%	-10.0M	43.3M	-1.1M	1.03	16.10	435	446	21,703	62,451