IEF Options History — February 2012

In February 2012, IEF traded between $104.50 and $106.07. ATM implied volatility averaged 6.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded below realized volatility by 0.0% (HV 20d: 6.4%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.92.

Notable Days

2012-02-01: Highest Volume — 1,182 contracts
2012-02-29: Largest IV spike — 12.1% change
2012-02-09: Highest IV Rank — 15.3%
2012-02-03: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.20	$104.50	$106.07	$105.92	$105.12
Max Pain	$105.05	$105.00	$106.00	$106.00	$105.00
ATM IV	6.3%	5.6%	6.7%	6.2%	6.3%
Expected Move	1.8%	1.6%	2.0%	1.8%	1.8%
HV 20d	6.4%	5.7%	6.9%	5.9%	5.8%
HV 60d	6.5%	6.2%	6.8%	6.6%	6.2%
IV Rank	9.5%	0.0%	15.3%	4.1%	10.2%
IV Percentile	5.9%	0.0%	11.1%	1.2%	7.9%
Term Structure	0.7%	0.1%	1.3%	0.6%	0.2%
VWIV	6.3%	5.4%	6.9%	6.2%	6.3%
Skew 25d	0.5%	-0.1%	1.4%	-0.1%	0.1%
Skew 10d	1.5%	-0.9%	3.9%	0.2%	-0.1%
Call IV 25d	6.2%	5.3%	6.9%	6.3%	6.2%
Put IV 25d	6.8%	5.9%	7.6%	6.2%	6.4%
Bid-Ask Spread %	12.24	8.37	41.26	41.26	9.90
Gamma HHI	0.20	0.16	0.24	0.16	0.22
Net GEX	491.0K	-2.1M	3.5M	975.1K	-385.0K
Net DEX	14.8M	575.4K	26.6M	14.0M	9.6M
Net VEX	-257.9K	-401.0K	-159.2K	-385.0K	-179.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.92	0.00	89.00	4.58	0.44
Total Volume	335.75	32	1,182	1,182	422
Total OI	25,663.8	23,866	26,451	23,866	26,231

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
2012-02-01	$105.92	$106.00	6.2%	1.8%	5.9%	4.1%	6.2%	-0.1%	0.6%	975.1K	14.0M	-385.0K	4.58	41.26	212	970	4,774	19,092
2012-02-02	$106.07	$105.00	5.7%	1.6%	5.7%	0.0%	5.7%	0.5%	1.0%	1.6M	17.0M	-393.5K	1.35	15.53	37	50	4,972	20,040
2012-02-03	$105.23	$105.00	6.2%	2.0%	6.5%	8.0%	6.6%	0.5%	0.8%	-1.2M	22.3M	-379.1K	4.84	13.87	31	150	5,005	20,074
2012-02-06	$105.52	$105.00	6.2%	1.9%	6.4%	8.3%	6.7%	0.6%	0.7%	500.9K	25.5M	-401.0K	1.39	12.98	164	228	5,013	20,031
2012-02-07	$104.84	$105.00	6.6%	1.9%	6.9%	14.3%	6.8%	0.4%	0.5%	95.5K	11.1M	-181.9K	6.08	12.79	53	322	5,105	20,197
2012-02-08	$104.89	$105.00	6.2%	1.9%	6.8%	7.4%	6.6%	1.4%	1.0%	-176.9K	12.9M	-188.2K	0.50	9.75	354	178	5,141	20,398
2012-02-09	$104.65	$105.00	6.7%	1.9%	6.5%	15.3%	6.0%	0.4%	0.6%	-819.0K	14.2M	-171.6K	0.25	10.34	303	76	5,333	20,485
2012-02-10	$105.24	$105.00	6.7%	1.9%	6.8%	15.2%	6.9%	0.5%	0.9%	1.6M	5.8M	-176.5K	2.63	8.72	131	344	5,403	20,553
2012-02-13	$105.17	$105.00	6.6%	1.9%	6.6%	13.9%	6.7%	0.7%	1.0%	1.6M	6.2M	-168.2K	0.49	9.87	41	20	5,466	20,855
2012-02-14	$105.39	$105.00	6.6%	1.9%	6.7%	13.8%	6.6%	0.7%	0.8%	2.9M	3.4M	-169.5K	9.50	10.15	10	95	5,487	20,864
2012-02-15	$105.47	$105.00	6.5%	1.9%	6.6%	11.8%	6.3%	0.1%	0.8%	3.5M	575.4K	-162.7K	2.59	9.17	17	44	5,494	20,904
2012-02-16	$104.99	$105.00	6.6%	1.9%	6.4%	13.1%	6.6%	0.3%	0.9%	1.2M	11.0M	-184.6K	0.17	12.51	105	18	5,506	20,938
2012-02-17	$104.88	$105.00	6.4%	1.8%	6.3%	10.3%	6.3%	0.7%	1.3%	306.5K	13.4M	-179.1K	7.22	11.39	18	130	5,509	20,942
2012-02-21	$104.50	$105.00	6.5%	1.8%	6.4%	11.6%	6.3%	0.4%	0.4%	-1.7M	16.9M	-159.2K	0.71	10.39	250	177	4,600	20,319
2012-02-22	$104.91	$105.00	6.5%	1.8%	6.5%	11.5%	6.5%	1.2%	0.1%	-94.9K	13.0M	-184.1K	2.61	8.37	214	558	4,845	20,390
2012-02-23	$105.06	$105.00	6.2%	1.8%	6.3%	7.8%	6.0%	0.6%	0.6%	-2.1M	26.6M	-374.1K	0.19	8.99	27	5	4,988	20,740
2012-02-24	$105.14	$105.00	6.1%	1.8%	6.0%	6.5%	5.4%	1.1%	0.5%	-1.3M	24.8M	-363.1K	0.00	9.72	76	0	5,015	20,735
2012-02-27	$105.49	$105.00	6.1%	1.8%	6.0%	6.5%	6.1%	0.1%	0.5%	1.5M	23.0M	-378.6K	3.81	10.32	53	202	5,083	20,735
2012-02-28	$105.54	$105.00	5.6%	1.6%	5.9%	0.0%	5.9%	0.3%	0.6%	1.6M	23.8M	-378.0K	89.00	8.84	7	623	5,118	20,896
2012-02-29	$105.12	$105.00	6.3%	1.8%	5.8%	10.2%	6.3%	0.1%	0.2%	-385.0K	9.6M	-179.6K	0.44	9.90	293	129	5,119	21,112