IEF Options History — January 2012

In January 2012, IEF traded between $104.22 and $106.48. ATM implied volatility averaged 6.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.4% (HV 20d: 6.5%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2012-01-23: Highest Volume — 1,188 contracts
2012-01-12: Largest IV spike — 27.7% change
2012-01-12: Highest IV Rank — 25.5%
2012-01-09: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.14	$104.22	$106.48	$104.90	$106.48
Max Pain	$103.90	$103.00	$105.00	$104.00	$103.00
ATM IV	6.9%	5.9%	7.6%	7.6%	6.2%
Expected Move	2.0%	1.7%	2.3%	2.2%	1.8%
HV 20d	6.5%	5.9%	7.3%	7.2%	6.0%
HV 60d	7.7%	6.5%	8.3%	8.3%	6.6%
IV Rank	15.4%	0.0%	25.5%	25.0%	4.2%
IV Percentile	13.8%	0.0%	26.2%	25.8%	1.2%
Term Structure	0.6%	0.2%	1.0%	0.9%	0.9%
VWIV	7.1%	5.7%	9.3%	7.5%	6.1%
Skew 25d	0.7%	-0.2%	1.4%	0.4%	-0.1%
Skew 10d	1.8%	-3.1%	4.5%	-0.5%	3.3%
Call IV 25d	6.9%	5.8%	7.7%	7.5%	5.8%
Put IV 25d	7.5%	5.7%	8.5%	8.0%	5.7%
Bid-Ask Spread %	64.44	14.61	87.33	21.99	49.54
Gamma HHI	0.18	0.14	0.23	0.16	0.19
Net GEX	871.8K	-2.7M	3.4M	2.3M	3.4M
Net DEX	3.3M	-23.6M	23.1M	-11.9M	-4.4M
Net VEX	-348.3K	-528.6K	-141.1K	-183.7K	-390.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.02	5.95	0.12	0.07
Total Volume	406.25	16	1,188	227	145
Total OI	39,871	23,736	49,353	47,028	25,435

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
2012-01-03	$104.90	$104.00	7.6%	2.2%	7.2%	25.0%	7.5%	0.4%	0.9%	2.3M	-11.9M	-183.7K	0.12	21.99	203	24	7,198	39,830
2012-01-04	$104.57	$104.00	7.6%	2.2%	7.3%	24.6%	7.6%	-0.2%	0.7%	365.2K	13.5M	-420.2K	0.57	17.30	384	218	7,270	39,851
2012-01-05	$104.59	$104.00	7.5%	2.2%	7.2%	23.8%	7.6%	0.5%	0.4%	448.7K	11.3M	-395.9K	3.44	14.61	9	31	7,199	39,888
2012-01-06	$105.00	$104.00	6.8%	2.2%	7.2%	12.4%	7.6%	1.1%	0.7%	52.9K	13.9M	-528.6K	0.39	80.54	44	17	7,198	39,889
2012-01-09	$105.02	$104.00	7.1%	2.3%	7.0%	16.4%	9.3%	1.1%	0.4%	35.6K	11.9M	-515.8K	4.24	76.00	144	611	7,207	39,906
2012-01-10	$104.81	$104.00	6.8%	2.2%	6.5%	12.0%	7.6%	1.1%	0.3%	-639.6K	16.1M	-514.3K	0.03	80.18	106	3	7,325	40,475
2012-01-11	$105.42	$104.00	5.9%	2.2%	6.7%	0.0%	7.3%	0.8%	0.4%	1.1M	5.2M	-399.6K	5.95	83.30	135	803	7,385	40,475
2012-01-12	$105.20	$104.00	7.5%	2.2%	6.6%	25.5%	7.3%	0.7%	0.5%	1.0M	9.9M	-412.0K	0.23	82.58	13	3	7,519	41,166
2012-01-13	$105.67	$104.00	7.2%	2.1%	6.6%	20.2%	8.6%	0.8%	0.6%	3.1M	-23.6M	-166.1K	0.65	82.32	181	117	7,522	41,166
2012-01-17	$105.77	$104.00	7.0%	2.0%	6.6%	17.1%	7.3%	0.5%	0.8%	2.1M	-1.5M	-391.5K	0.35	85.28	43	15	7,550	41,160
2012-01-18	$105.44	$104.00	6.9%	2.0%	6.5%	15.8%	6.9%	0.5%	0.4%	2.9M	-23.2M	-141.1K	0.17	81.01	394	66	7,510	41,164
2012-01-19	$104.81	$104.00	7.0%	2.0%	6.6%	17.1%	7.4%	0.4%	0.2%	1.5M	13.5M	-401.8K	4.43	84.31	91	403	7,890	41,126
2012-01-20	$104.45	$105.00	7.4%	2.1%	6.0%	23.9%	7.5%	0.7%	0.2%	334.5K	-1.0M	-184.2K	0.89	87.33	606	539	7,894	41,459
2012-01-23	$104.22	$104.00	7.4%	2.1%	5.9%	23.2%	6.8%	1.4%	0.3%	-2.7M	23.1M	-394.8K	0.71	64.60	693	495	5,364	18,372
2012-01-24	$104.34	$104.00	7.0%	2.0%	5.9%	17.6%	6.6%	1.1%	0.4%	-574.6K	1.4M	-160.8K	0.86	69.57	145	124	5,608	18,839
2012-01-25	$104.84	$104.00	6.6%	1.9%	6.0%	11.4%	6.5%	0.8%	1.0%	306.3K	-4.2M	-176.5K	0.68	64.75	174	119	5,676	18,947
2012-01-26	$105.40	$104.00	6.7%	1.9%	6.2%	11.9%	5.7%	1.0%	0.5%	-129.3K	13.5M	-408.8K	0.17	55.11	417	70	5,722	18,991
2012-01-27	$105.72	$103.00	6.0%	1.7%	5.9%	2.3%	5.9%	0.4%	1.0%	929.8K	4.2M	-388.1K	1.08	59.66	62	67	6,084	19,017
2012-01-30	$106.08	$103.00	6.2%	1.8%	6.0%	4.5%	5.7%	0.6%	0.9%	1.5M	-403.1K	-391.9K	0.02	48.79	401	10	6,071	19,072
2012-01-31	$106.48	$103.00	6.2%	1.8%	6.0%	4.2%	6.1%	-0.1%	0.9%	3.4M	-4.4M	-390.6K	0.07	49.54	135	10	6,353	19,082