IEF Options History — July 2011

In July 2011, IEF traded between $95.39 and $98.66. ATM implied volatility averaged 8.7%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.4% (HV 20d: 8.3%). Max pain ranged from $96.00 to $98.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 31.72.

Notable Days

2011-07-12: Highest Volume — 20,142 contracts
2011-07-11: Largest IV spike — 11.0% change
2011-07-12: Highest IV Rank — 53.7%
2011-07-26: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.18	$95.39	$98.66	$95.39	$98.66
Max Pain	$97.10	$96.00	$98.00	$96.00	$97.00
ATM IV	8.7%	7.7%	9.5%	8.0%	8.5%
Expected Move	2.5%	2.3%	2.7%	2.3%	2.4%
HV 20d	8.3%	7.5%	9.2%	7.6%	8.4%
HV 60d	6.7%	6.2%	7.2%	6.2%	7.2%
IV Rank	42.2%	27.7%	53.7%	32.0%	38.5%
IV Percentile	83.2%	54.4%	94.8%	66.7%	76.6%
Term Structure	0.2%	-0.2%	0.6%	0.6%	0.6%
VWIV	9.0%	8.0%	10.5%	8.0%	8.9%
Skew 25d	1.1%	0.7%	1.6%	1.0%	1.1%
Skew 10d	2.2%	0.9%	4.5%	3.4%	1.8%
Call IV 25d	8.4%	7.7%	9.0%	7.7%	8.3%
Put IV 25d	9.5%	8.7%	10.3%	8.7%	9.4%
Bid-Ask Spread %	36.43	17.13	78.38	17.13	41.58
Gamma HHI	0.22	0.16	0.31	0.26	0.16
Net GEX	-4.9M	-8.0M	-1.3M	-8.0M	-4.7M
Net DEX	48.4M	-4.2M	84.6M	84.6M	-4.2M
Net VEX	-966.5K	-1.1M	-768.5K	-926.9K	-768.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	31.72	0.26	502.55	4.22	3.08
Total Volume	1,511.1	36	20,142	579	1,402
Total OI	66,874.75	62,621	70,274	62,745	69,989

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
2011-07-01	$95.39	$96.00	8.0%	2.3%	7.6%	32.0%	8.0%	1.0%	0.6%	-8.0M	84.6M	-926.9K	4.22	17.13	111	468	17,921	44,824
2011-07-05	$95.99	$98.00	8.6%	2.5%	8.0%	40.5%	8.8%	1.1%	0.2%	-5.8M	64.6M	-877.1K	2.06	31.72	68	140	17,946	44,675
2011-07-06	$96.16	$98.00	8.4%	2.5%	8.0%	37.3%	9.1%	1.1%	0.2%	-5.6M	60.1M	-920.4K	4.20	33.06	92	386	17,950	44,689
2011-07-07	$95.79	$98.00	8.0%	2.4%	8.0%	30.9%	8.8%	1.4%	0.4%	-6.5M	70.6M	-879.3K	0.99	26.99	195	193	18,027	45,019
2011-07-08	$96.81	$97.00	7.7%	2.4%	8.9%	27.7%	8.2%	1.0%	0.1%	-3.8M	42.5M	-911.1K	1.97	23.59	256	505	18,100	45,063
2011-07-11	$97.55	$97.00	8.6%	2.4%	9.2%	40.2%	9.0%	0.7%	0.1%	-1.3M	16.9M	-874.7K	17.82	27.11	39	695	18,340	45,432
2011-07-12	$97.69	$97.00	9.5%	2.5%	9.2%	53.7%	10.5%	0.7%	-0.0%	-1.9M	17.5M	-919.1K	502.55	26.20	40	20,102	18,345	46,002
2011-07-13	$97.85	$97.00	8.6%	2.5%	8.6%	39.8%	9.2%	1.3%	0.1%	-1.7M	34.4M	-1.0M	0.58	27.13	355	205	18,323	51,543
2011-07-14	$97.29	$97.00	8.8%	2.5%	8.1%	43.4%	8.7%	0.7%	0.3%	-2.4M	48.7M	-1.1M	0.39	26.80	292	115	18,441	51,690
2011-07-15	$97.69	$97.00	8.8%	2.5%	8.2%	44.0%	8.7%	0.8%	0.1%	-1.6M	36.5M	-1.0M	0.26	27.65	400	103	18,506	51,768
2011-07-18	$97.63	$97.00	8.9%	2.5%	8.2%	44.2%	9.0%	0.8%	0.1%	-6.0M	49.5M	-1.1M	0.82	21.34	347	283	16,368	51,045
2011-07-19	$98.00	$97.00	8.5%	2.4%	8.3%	39.2%	8.4%	1.0%	0.3%	-4.5M	35.8M	-995.4K	5.07	20.91	43	218	16,709	51,181
2011-07-20	$97.52	$97.00	8.6%	2.5%	8.4%	40.0%	8.7%	0.9%	0.4%	-5.6M	51.0M	-1.0M	1.07	69.16	28	30	16,734	51,327
2011-07-21	$96.98	$97.00	8.9%	2.6%	8.7%	45.3%	8.6%	1.4%	-0.2%	-6.9M	68.1M	-1.0M	21.78	21.31	32	697	16,748	51,317
2011-07-22	$97.35	$97.00	8.9%	2.5%	8.6%	44.3%	0.0%	1.1%	-0.1%	-6.2M	55.0M	-999.1K	0.00	26.67	0	36	16,749	51,926
2011-07-25	$97.04	$97.00	9.3%	2.7%	8.5%	50.3%	9.5%	1.1%	-0.1%	-6.4M	64.2M	-1.0M	1.59	67.73	106	169	16,749	51,459
2011-07-26	$97.45	$97.00	9.3%	2.7%	8.6%	51.0%	9.8%	1.4%	-0.2%	-5.8M	53.4M	-997.6K	3.42	78.38	89	304	16,757	51,556
2011-07-27	$97.29	$97.00	9.2%	2.6%	7.9%	49.7%	9.3%	1.6%	0.1%	-5.9M	59.2M	-982.5K	28.45	64.08	42	1,195	16,776	51,778
2011-07-28	$97.48	$97.00	9.3%	2.7%	7.5%	51.0%	9.1%	0.8%	0.4%	-7.7M	58.8M	-1.0M	2.37	50.02	131	310	16,817	52,906
2011-07-29	$98.66	$97.00	8.5%	2.4%	8.4%	38.5%	8.9%	1.1%	0.6%	-4.7M	-4.2M	-768.5K	3.08	41.58	344	1,058	16,901	53,088