IEF Options History — April 2012

In April 2012, IEF traded between $102.59 and $105.69. ATM implied volatility averaged 6.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.7% (HV 20d: 7.2%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 6.81.

Notable Days

2012-04-20: Highest Volume — 2,075 contracts
2012-04-09: Largest IV drop — 13.6% change
2012-04-04: Highest IV Rank — 29.6%
2012-04-04: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.77	$102.59	$105.69	$103.35	$105.69
Max Pain	$103.60	$102.00	$105.00	$105.00	$104.00
ATM IV	6.4%	5.1%	7.5%	7.0%	5.1%
Expected Move	1.9%	1.5%	2.2%	2.0%	1.5%
HV 20d	7.2%	6.2%	8.7%	6.9%	6.2%
HV 60d	6.6%	6.2%	6.9%	6.2%	6.4%
IV Rank	13.8%	0.0%	29.6%	22.8%	0.0%
IV Percentile	16.2%	0.0%	44.0%	33.3%	0.0%
Term Structure	0.2%	-0.3%	0.8%	0.1%	0.5%
VWIV	6.5%	5.4%	8.4%	6.7%	5.4%
Skew 25d	1.1%	0.4%	2.2%	2.2%	0.9%
Skew 10d	2.1%	-1.5%	4.4%	3.8%	1.3%
Call IV 25d	5.9%	4.6%	7.1%	5.4%	4.8%
Put IV 25d	7.0%	5.6%	8.3%	7.5%	5.6%
Bid-Ask Spread %	41.30	11.01	78.15	31.29	12.34
Gamma HHI	0.32	0.14	0.52	0.20	0.28
Net GEX	2.2M	-5.1M	7.9M	-4.7M	3.2M
Net DEX	14.3M	-5.8M	53.0M	44.3M	20.3M
Net VEX	-230.8K	-378.9K	-146.6K	-342.1K	-344.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.81	0.06	28.63	0.71	4.67
Total Volume	415.2	12	2,075	12	255
Total OI	24,146.25	22,769	25,674	22,792	23,821

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
2012-04-02	$103.35	$105.00	7.0%	2.0%	6.9%	22.8%	6.7%	2.2%	0.1%	-4.7M	44.3M	-342.1K	0.71	31.29	7	5	3,951	18,841
2012-04-03	$102.59	$105.00	7.4%	2.1%	7.1%	28.3%	7.1%	0.7%	0.1%	-5.1M	53.0M	-338.8K	1.11	19.34	9	10	3,953	18,837
2012-04-04	$103.11	$105.00	7.5%	2.2%	7.4%	29.6%	6.2%	1.4%	-0.3%	-4.8M	46.7M	-329.7K	15.33	18.08	3	46	3,953	18,847
2012-04-05	$103.57	$105.00	7.3%	2.1%	7.6%	26.1%	7.7%	0.8%	-0.2%	-2.2M	24.7M	-146.6K	2.50	18.27	20	50	3,956	18,813
2012-04-09	$104.63	$102.00	6.3%	1.9%	8.5%	11.5%	8.4%	1.0%	-0.2%	-688.8K	11.8M	-150.3K	0.06	71.56	1,773	100	3,966	18,839
2012-04-10	$105.12	$102.00	6.3%	2.0%	8.7%	11.8%	7.1%	1.1%	-0.2%	3.9M	-2.8M	-159.7K	7.90	78.15	109	861	5,636	18,870
2012-04-11	$104.71	$103.00	6.3%	1.9%	8.4%	11.6%	7.4%	1.2%	0.2%	2.9M	5.5M	-185.3K	13.56	69.30	9	122	5,695	19,402
2012-04-12	$104.50	$103.00	6.8%	2.0%	7.2%	19.7%	6.3%	1.1%	0.4%	2.3M	10.3M	-183.7K	12.39	59.54	18	223	5,686	19,496
2012-04-13	$105.13	$103.00	6.5%	1.9%	7.4%	15.5%	6.1%	1.1%	0.3%	2.7M	20.5M	-365.7K	28.63	60.33	8	229	5,685	19,637
2012-04-16	$105.10	$103.00	6.8%	1.9%	7.4%	19.3%	6.9%	1.1%	-0.1%	4.7M	-2.7M	-163.2K	16.60	57.34	15	249	5,690	19,624
2012-04-17	$104.99	$103.00	6.5%	1.9%	6.9%	15.5%	6.4%	0.9%	0.2%	5.0M	334.8K	-161.3K	3.02	62.57	42	127	5,690	19,738
2012-04-18	$105.20	$103.00	6.4%	1.8%	6.9%	13.4%	6.4%	1.5%	0.4%	7.2M	-4.3M	-156.7K	5.48	68.00	23	126	5,711	19,845
2012-04-19	$105.32	$103.00	6.3%	1.8%	6.8%	12.1%	0.0%	1.1%	0.7%	7.9M	-5.8M	-165.6K	4.76	54.75	21	100	5,690	19,923
2012-04-20	$105.33	$103.00	6.3%	1.8%	6.8%	11.5%	6.2%	1.4%	0.1%	5.4M	15.9M	-355.9K	0.21	53.23	1,720	355	5,709	19,965
2012-04-23	$105.54	$104.00	5.9%	1.7%	6.7%	5.3%	6.2%	1.2%	0.6%	3.6M	84.2K	-158.4K	6.07	20.19	123	746	4,536	18,307
2012-04-24	$105.27	$104.00	6.5%	1.9%	6.8%	14.5%	6.4%	1.3%	-0.0%	3.5M	6.7M	-181.2K	5.49	27.53	41	225	4,609	18,829
2012-04-25	$105.14	$104.00	5.9%	1.7%	6.6%	5.5%	6.0%	0.4%	0.4%	1.7M	32.0M	-378.9K	2.76	16.32	70	193	4,635	19,009
2012-04-26	$105.49	$104.00	5.6%	1.6%	6.6%	1.5%	5.5%	1.0%	0.3%	3.9M	5.9M	-175.5K	0.74	11.01	95	70	4,670	19,105
2012-04-27	$105.60	$104.00	5.5%	1.6%	6.5%	0.6%	5.6%	1.0%	0.8%	4.1M	4.1M	-172.9K	4.30	16.81	20	86	4,696	19,060
2012-04-30	$105.69	$104.00	5.1%	1.5%	6.2%	0.0%	5.4%	0.9%	0.5%	3.2M	20.3M	-344.5K	4.67	12.34	45	210	4,703	19,118