IEF Options History — September 2012

In September 2012, IEF traded between $106.57 and $108.69. ATM implied volatility averaged 5.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.0% (HV 20d: 5.9%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 18.04.

Notable Days

2012-09-28: Highest Volume — 3,202 contracts
2012-09-13: Largest IV drop — 11.7% change
2012-09-12: Highest IV Rank — 29.4%
2012-09-17: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.79	$106.57	$108.69	$108.59	$108.46
Max Pain	$108.16	$108.00	$109.00	$109.00	$108.00
ATM IV	5.9%	5.2%	6.9%	5.9%	5.4%
Expected Move	1.7%	1.5%	1.9%	1.7%	1.6%
HV 20d	5.9%	5.1%	6.5%	5.5%	6.2%
HV 60d	5.3%	5.1%	5.5%	5.3%	5.3%
IV Rank	14.8%	5.0%	29.4%	15.2%	8.0%
IV Percentile	20.3%	2.4%	57.9%	17.5%	5.2%
Term Structure	0.5%	-0.2%	1.4%	0.3%	0.7%
VWIV	5.7%	4.6%	6.7%	5.5%	4.6%
Skew 25d	0.4%	-1.0%	1.2%	-1.0%	0.9%
Skew 10d	0.6%	-1.5%	1.9%	-1.5%	0.9%
Call IV 25d	5.4%	4.3%	6.5%	5.7%	4.7%
Put IV 25d	5.8%	4.7%	6.9%	4.7%	5.6%
Bid-Ask Spread %	21.38	11.99	34.28	15.48	13.11
Gamma HHI	0.29	0.12	0.42	0.12	0.20
Net GEX	-5.2M	-9.3M	1.5M	-3.0M	1.5M
Net DEX	50.0M	3.6M	85.4M	12.2M	3.6M
Net VEX	-456.3K	-676.5K	-83.3K	-110.9K	-107.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	18.04	0.14	233.40	0.14	28.93
Total Volume	560.684	0	3,202	79	3,202
Total OI	22,791.316	20,637	24,335	21,563	23,098

Daily Data (19 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
2012-09-04	$108.59	$109.00	5.9%	1.7%	5.5%	15.2%	5.5%	-1.0%	0.3%	-3.0M	12.2M	-110.9K	0.14	15.48	69	10	2,554	19,009
2012-09-05	$108.55	$109.00	5.8%	1.7%	5.1%	13.9%	0.0%	0.2%	-0.2%	-2.5M	12.8M	-109.6K	0.80	17.45	81	65	2,618	19,019
2012-09-06	$107.81	$109.00	5.6%	1.6%	5.7%	10.9%	5.5%	0.4%	0.3%	-6.8M	61.5M	-559.1K	233.40	12.77	5	1,167	2,679	19,043
2012-09-07	$107.95	$108.00	5.7%	1.7%	5.7%	12.0%	5.9%	0.1%	0.5%	-6.9M	64.1M	-613.7K	2.20	29.32	15	33	2,684	20,068
2012-09-10	$108.00	$108.00	6.0%	1.7%	5.6%	17.1%	5.9%	0.5%	0.6%	-7.2M	61.2M	-598.2K	1.28	27.66	93	119	2,683	20,101
2012-09-11	$107.80	$108.00	6.6%	1.7%	5.6%	24.7%	0.0%	0.3%	0.5%	-7.4M	67.7M	-607.4K	0.00	28.27	0	0	2,756	20,161
2012-09-12	$107.27	$108.00	6.9%	1.8%	5.6%	29.4%	0.0%	0.2%	0.2%	-8.4M	75.7M	-605.8K	4.33	25.01	6	26	2,756	20,161
2012-09-13	$107.58	$108.00	6.1%	1.7%	5.4%	17.6%	6.1%	0.4%	0.3%	-2.5M	23.5M	-95.0K	0.83	17.14	86	71	2,756	20,161
2012-09-14	$106.57	$108.00	6.5%	1.9%	6.4%	23.5%	6.5%	0.4%	0.5%	-9.0M	85.4M	-598.4K	11.62	17.16	144	1,673	2,751	20,173
2012-09-17	$106.79	$108.00	6.6%	1.9%	6.4%	24.8%	6.7%	0.5%	0.6%	-3.3M	29.6M	-83.3K	27.83	34.28	6	167	2,859	21,217
2012-09-18	$107.06	$108.00	6.1%	1.7%	6.5%	17.3%	5.8%	0.4%	0.6%	-9.3M	84.6M	-642.7K	0.29	19.72	170	49	2,859	21,122
2012-09-19	$107.31	$108.00	6.0%	1.7%	6.5%	15.9%	5.5%	0.3%	0.9%	-7.7M	74.6M	-641.7K	0.18	26.73	274	50	2,983	21,121
2012-09-20	$107.37	$108.00	5.9%	1.7%	5.9%	14.3%	5.6%	0.0%	1.0%	-1.7M	24.2M	-92.8K	0.56	29.28	146	82	3,175	21,160
2012-09-21	$107.60	$108.00	5.2%	1.5%	5.9%	5.0%	5.4%	0.5%	1.4%	-6.3M	66.6M	-616.8K	0.42	17.00	137	57	3,192	21,125
2012-09-24	$107.84	$108.00	5.3%	1.5%	5.9%	6.1%	5.6%	0.3%	0.6%	-5.0M	52.8M	-615.5K	1.36	19.88	56	76	2,467	18,170
2012-09-25	$108.24	$108.00	5.6%	1.6%	6.0%	10.3%	5.6%	0.5%	0.1%	-4.3M	50.5M	-626.0K	6.10	29.21	280	1,707	2,502	18,206
2012-09-26	$108.69	$108.00	5.4%	1.6%	6.2%	7.8%	0.0%	1.2%	0.5%	-4.4M	48.6M	-668.8K	3.71	11.99	87	323	2,782	19,864
2012-09-27	$108.46	$108.00	5.4%	1.6%	6.2%	8.3%	4.9%	0.8%	0.2%	-4.6M	51.5M	-676.5K	0.70	14.73	71	50	2,843	20,157
2012-09-28	$108.46	$108.00	5.4%	1.6%	6.2%	8.0%	4.6%	0.9%	0.7%	1.5M	3.6M	-107.3K	28.93	13.11	107	3,095	2,891	20,207