IEF Options History — November 2012

In November 2012, IEF traded between $107.39 and $109.03. ATM implied volatility averaged 5.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.7% (HV 20d: 5.8%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 7.59.

Notable Days

2012-11-07: Highest Volume — 3,214 contracts
2012-11-05: Largest IV spike — 15.2% change
2012-11-06: Highest IV Rank — 21.8%
2012-11-06: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.47	$107.39	$109.03	$107.53	$108.80
Max Pain	$108.81	$107.00	$109.00	$107.00	$109.00
ATM IV	5.1%	4.4%	6.3%	5.3%	4.7%
Expected Move	1.5%	1.3%	1.7%	1.5%	1.3%
HV 20d	5.8%	4.4%	6.5%	5.9%	4.4%
HV 60d	5.5%	5.3%	5.8%	5.6%	5.3%
IV Rank	5.6%	0.0%	21.8%	6.5%	4.7%
IV Percentile	7.2%	0.0%	46.4%	5.6%	0.8%
Term Structure	0.3%	-0.1%	0.9%	0.4%	-0.1%
VWIV	5.2%	4.3%	5.9%	5.3%	4.3%
Skew 25d	0.7%	0.1%	1.5%	1.5%	1.4%
Skew 10d	3.0%	0.7%	21.6%	2.2%	21.6%
Call IV 25d	4.8%	3.7%	5.8%	4.7%	3.8%
Put IV 25d	5.5%	4.9%	6.3%	6.2%	5.1%
Bid-Ask Spread %	23.48	7.36	102.82	93.45	102.82
Gamma HHI	0.37	0.14	0.59	0.34	0.59
Net GEX	-7.5M	-13.2M	4.6M	-11.7M	-9.1M
Net DEX	65.1M	-1.8M	102.2M	89.2M	12.2M
Net VEX	-812.3K	-1.2M	-70.4K	-942.1K	-152.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.59	0.00	77.39	0.05	0.03
Total Volume	487.571	0	3,214	214	388
Total OI	37,166.905	32,056	39,481	32,056	39,040

Daily Data (21 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
2012-11-01	$107.53	$107.00	5.3%	1.5%	5.9%	6.5%	5.3%	1.5%	0.4%	-11.7M	89.2M	-942.1K	0.05	93.45	203	11	3,242	28,814
2012-11-02	$107.62	$107.00	5.4%	1.5%	5.9%	7.4%	5.9%	1.5%	0.4%	-11.1M	88.1M	-943.0K	9.48	92.09	21	199	3,445	28,820
2012-11-05	$107.88	$109.00	6.2%	1.7%	5.8%	20.8%	5.2%	0.7%	0.1%	-11.8M	74.9M	-884.1K	0.32	13.97	427	137	3,465	28,899
2012-11-06	$107.39	$109.00	6.3%	1.7%	5.8%	21.8%	5.9%	0.2%	0.0%	-13.2M	98.2M	-938.6K	0.08	9.91	102	8	3,600	28,923
2012-11-07	$108.29	$109.00	5.8%	1.7%	6.4%	13.9%	5.8%	0.3%	-0.0%	-9.3M	68.7M	-879.1K	77.39	10.93	41	3,173	3,702	28,928
2012-11-08	$108.77	$109.00	4.9%	1.5%	6.5%	0.5%	5.6%	0.4%	0.0%	-7.8M	72.0M	-972.7K	0.59	11.47	307	182	3,712	32,030
2012-11-09	$108.78	$109.00	4.8%	1.4%	6.5%	0.0%	5.2%	0.7%	0.9%	-5.5M	69.3M	-963.8K	31.94	8.93	97	3,098	3,967	32,210
2012-11-12	$108.85	$109.00	5.1%	1.4%	6.5%	5.5%	5.4%	0.4%	0.7%	4.6M	-1.8M	-107.5K	0.00	39.03	0	188	4,064	35,250
2012-11-13	$108.98	$109.00	5.1%	1.4%	6.5%	5.5%	5.1%	0.2%	0.7%	-7.1M	74.9M	-1.1M	11.33	9.09	3	34	4,054	35,396
2012-11-14	$109.01	$109.00	4.7%	1.4%	6.5%	0.0%	4.9%	0.9%	0.2%	-6.6M	76.3M	-1.1M	0.11	9.87	45	5	4,051	35,430
2012-11-15	$108.96	$109.00	5.2%	1.5%	6.2%	7.2%	5.3%	0.5%	0.1%	-6.9M	72.2M	-1.1M	0.15	9.74	54	8	4,019	35,422
2012-11-16	$109.03	$109.00	5.1%	1.5%	5.7%	6.1%	5.0%	0.5%	0.6%	-4.7M	69.0M	-1.1M	0.48	11.06	144	69	4,055	35,420
2012-11-19	$108.81	$109.00	4.9%	1.4%	5.7%	3.1%	5.1%	0.3%	0.2%	1.0M	4.1M	-86.5K	0.00	11.03	0	1,004	3,024	34,836
2012-11-20	$108.36	$109.00	5.0%	1.4%	5.8%	5.0%	4.8%	0.1%	0.3%	-12.1M	97.2M	-1.2M	0.08	9.28	96	8	3,024	35,836
2012-11-21	$108.20	$109.00	4.9%	1.4%	5.7%	3.3%	5.3%	0.9%	-0.0%	-12.9M	100.6M	-1.2M	0.67	9.39	3	2	3,116	35,836
2012-11-23	$108.14	$109.00	4.8%	1.4%	5.5%	1.2%	0.0%	0.7%	0.2%	-12.9M	102.2M	-1.2M	0.00	10.48	0	0	3,116	35,838
2012-11-26	$108.32	$109.00	4.9%	1.4%	5.4%	1.8%	4.9%	0.6%	0.1%	-10.8M	97.1M	-1.1M	0.23	7.43	39	9	3,116	35,838
2012-11-27	$108.57	$109.00	4.5%	1.3%	5.2%	0.0%	4.6%	0.9%	0.4%	-10.4M	94.5M	-1.1M	0.00	7.36	40	0	3,134	35,847
2012-11-28	$108.71	$109.00	4.7%	1.3%	4.8%	3.7%	0.0%	1.2%	0.0%	1.8M	3.6M	-70.4K	1.64	8.33	25	41	3,124	35,847
2012-11-29	$108.82	$109.00	4.4%	1.3%	4.6%	0.0%	4.9%	1.5%	0.4%	-276.7K	4.1M	-70.4K	2.11	7.40	9	19	3,127	35,888
2012-11-30	$108.80	$109.00	4.7%	1.3%	4.4%	4.7%	4.3%	1.4%	-0.1%	-9.1M	12.2M	-152.7K	0.03	102.82	378	10	3,133	35,907