IEF Options History — December 2012

In December 2012, IEF traded between $107.12 and $108.96. ATM implied volatility averaged 4.6%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.0% (HV 20d: 3.5%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 58.52.

Notable Days

2012-12-13: Highest Volume — 6,406 contracts
2012-12-11: Largest IV drop — 20.1% change
2012-12-31: Highest IV Rank — 37.8%
2012-12-31: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.03	$107.12	$108.96	$108.62	$107.49
Max Pain	$109.30	$109.00	$110.00	$109.00	$109.00
ATM IV	4.6%	3.7%	5.4%	4.1%	5.4%
Expected Move	1.3%	1.2%	1.5%	1.2%	1.5%
HV 20d	3.5%	2.6%	4.5%	4.5%	4.2%
HV 60d	4.9%	4.7%	5.3%	5.3%	4.9%
IV Rank	15.5%	0.0%	37.8%	0.0%	37.8%
IV Percentile	5.1%	0.0%	22.2%	0.0%	22.2%
Term Structure	0.6%	-0.3%	1.3%	0.6%	-0.0%
VWIV	4.6%	3.7%	5.1%	4.6%	5.1%
Skew 25d	0.8%	0.1%	1.4%	0.7%	1.4%
Skew 10d	1.9%	-0.1%	13.1%	0.6%	0.9%
Call IV 25d	4.3%	3.4%	5.0%	3.7%	4.3%
Put IV 25d	5.2%	4.4%	5.7%	4.4%	5.7%
Bid-Ask Spread %	7.46	5.88	10.86	6.11	6.56
Gamma HHI	0.51	0.22	0.63	0.43	0.22
Net GEX	-12.9M	-19.8M	-3.6M	-12.3M	-3.6M
Net DEX	69.8M	7.9M	143.6M	19.8M	11.6M
Net VEX	-681.5K	-1.3M	-73.5K	-174.0K	-73.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	58.52	0.04	799.75	140.00	11.00
Total Volume	573.45	1	6,406	1,128	72
Total OI	44,186.9	38,935	49,182	38,935	43,927

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
2012-12-03	$108.62	$109.00	4.1%	1.2%	4.5%	0.0%	4.6%	0.7%	0.6%	-12.3M	19.8M	-174.0K	140.00	6.11	8	1,120	3,018	35,917
2012-12-04	$108.81	$109.00	4.4%	1.3%	4.4%	5.0%	4.5%	1.3%	-0.1%	-10.6M	17.4M	-176.3K	0.43	6.41	96	41	3,026	38,060
2012-12-05	$108.90	$109.00	4.2%	1.2%	4.0%	2.0%	4.7%	1.3%	0.4%	-7.2M	8.5M	-112.2K	0.42	8.96	69	29	3,071	37,030
2012-12-06	$108.96	$109.00	4.4%	1.3%	2.9%	4.5%	0.0%	1.4%	0.1%	-6.3M	7.9M	-112.4K	34.69	9.99	59	2,047	3,063	37,059
2012-12-07	$108.65	$110.00	4.5%	1.3%	2.6%	6.9%	4.5%	0.5%	1.0%	-11.3M	19.2M	-177.3K	0.04	8.62	90	4	3,075	39,095
2012-12-10	$108.75	$110.00	4.6%	1.3%	2.6%	8.4%	0.0%	0.7%	1.1%	-7.9M	12.1M	-124.0K	1.00	8.36	1	1	3,127	39,099
2012-12-11	$108.54	$110.00	3.7%	1.3%	2.7%	0.0%	4.7%	0.8%	0.3%	-10.0M	15.9M	-127.3K	33.50	10.86	2	67	3,128	39,100
2012-12-12	$108.08	$110.00	4.1%	1.3%	3.0%	5.9%	4.6%	0.6%	1.0%	-14.6M	120.8M	-1.2M	4.40	9.03	35	154	3,130	39,165
2012-12-13	$107.87	$110.00	4.5%	1.3%	3.1%	12.5%	4.5%	0.1%	1.0%	-16.3M	124.9M	-1.2M	799.75	7.86	8	6,398	3,127	39,305
2012-12-14	$108.11	$110.00	4.2%	1.2%	3.2%	11.0%	4.2%	0.1%	1.3%	-14.6M	25.4M	-161.8K	0.11	6.56	94	10	3,129	45,636
2012-12-17	$107.54	$109.00	5.0%	1.4%	3.6%	26.6%	5.1%	0.3%	0.7%	-16.6M	131.8M	-1.2M	2.75	7.63	20	55	3,222	45,646
2012-12-18	$107.12	$109.00	5.0%	1.4%	3.8%	25.6%	3.7%	0.9%	0.9%	-19.8M	143.6M	-1.3M	7.93	5.89	29	230	3,230	45,683
2012-12-19	$107.27	$109.00	5.0%	1.4%	3.6%	28.9%	5.0%	1.3%	0.6%	-19.2M	140.5M	-1.3M	56.00	6.90	2	112	3,246	45,862
2012-12-20	$107.34	$109.00	4.9%	1.4%	3.6%	25.6%	4.8%	0.9%	0.7%	-16.7M	127.9M	-1.3M	3.80	6.29	10	38	3,246	45,936
2012-12-21	$107.63	$109.00	4.6%	1.3%	3.8%	19.4%	4.7%	0.5%	1.1%	-15.2M	120.1M	-1.2M	1.58	6.46	52	82	3,256	45,921
2012-12-24	$107.52	$109.00	4.5%	1.3%	3.7%	18.8%	4.5%	1.1%	0.4%	-12.0M	13.3M	-87.2K	0.00	5.88	0	1	1,957	41,560
2012-12-26	$107.59	$109.00	4.6%	1.3%	3.6%	19.3%	0.0%	1.3%	0.2%	-15.0M	115.8M	-1.2M	2.50	6.20	20	50	1,944	41,560
2012-12-27	$107.81	$109.00	4.7%	1.4%	3.7%	23.2%	0.0%	0.9%	0.1%	-14.5M	112.0M	-1.2M	0.06	7.16	36	2	1,964	41,610
2012-12-28	$108.06	$109.00	5.0%	1.4%	3.8%	28.8%	5.1%	0.7%	-0.3%	-14.4M	108.5M	-1.2M	12.00	7.43	25	300	1,996	41,612
2012-12-31	$107.49	$109.00	5.4%	1.5%	4.2%	37.8%	0.0%	1.4%	-0.0%	-3.6M	11.6M	-73.5K	11.00	6.56	6	66	2,015	41,912