IEF Options History — January 2013

In January 2013, IEF traded between $105.95 and $107.27. ATM implied volatility averaged 5.1%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.5% (HV 20d: 4.6%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 8.08.

Notable Days

2013-01-25: Highest Volume — 1,063 contracts
2013-01-18: Largest IV drop — 11.2% change
2013-01-29: Highest IV Rank — 46.2%
2013-01-29: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.70	$105.95	$107.27	$106.99	$106.10
Max Pain	$106.95	$106.00	$109.00	$109.00	$107.00
ATM IV	5.1%	4.4%	5.8%	4.9%	5.6%
Expected Move	1.5%	1.3%	1.7%	1.4%	1.6%
HV 20d	4.6%	4.3%	5.0%	4.4%	4.3%
HV 60d	4.7%	4.4%	5.0%	4.9%	4.4%
IV Rank	30.1%	15.4%	46.2%	26.3%	42.9%
IV Percentile	17.3%	2.8%	43.7%	9.5%	37.7%
Term Structure	0.2%	-0.3%	0.7%	-0.0%	-0.0%
VWIV	5.2%	4.3%	6.0%	4.9%	5.5%
Skew 25d	0.9%	0.3%	2.3%	0.7%	0.5%
Skew 10d	2.0%	0.1%	3.1%	0.5%	0.1%
Call IV 25d	4.8%	4.3%	5.6%	4.9%	5.6%
Put IV 25d	5.7%	4.9%	6.5%	5.6%	6.2%
Bid-Ask Spread %	19.80	6.23	24.96	6.97	21.68
Gamma HHI	0.58	0.18	0.75	0.18	0.73
Net GEX	-15.7M	-36.8M	-38.7K	-1.8M	-36.8M
Net DEX	104.0M	5.9M	148.2M	12.9M	102.4M
Net VEX	-965.8K	-1.2M	-61.2K	-64.5K	-887.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.08	0.00	105.30	0.81	3.15
Total Volume	192.095	32	1,063	38	166
Total OI	40,285.571	32,861	44,804	43,863	34,858

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
2013-01-02	$106.99	$109.00	4.9%	1.4%	4.4%	26.3%	4.9%	0.7%	-0.0%	-1.8M	12.9M	-64.5K	0.81	6.97	21	17	2,019	41,844
2013-01-03	$106.45	$109.00	5.3%	1.5%	4.5%	36.3%	5.2%	0.9%	0.1%	-19.4M	146.1M	-1.2M	0.43	6.23	214	91	2,040	41,849
2013-01-04	$106.49	$107.00	4.9%	1.6%	4.5%	27.7%	5.5%	0.8%	0.1%	-21.3M	148.2M	-1.2M	0.52	24.38	66	34	2,081	41,927
2013-01-07	$106.56	$107.00	5.0%	1.5%	4.5%	28.8%	5.4%	0.3%	0.0%	-21.0M	146.2M	-1.2M	0.83	19.73	42	35	2,142	41,961
2013-01-08	$106.82	$106.00	4.5%	1.5%	4.6%	19.0%	5.1%	0.8%	0.4%	-17.8M	126.3M	-1.2M	0.00	21.76	32	0	2,179	41,996
2013-01-09	$106.88	$106.00	4.9%	1.4%	4.6%	25.9%	0.0%	1.0%	0.6%	-18.8M	121.7M	-1.2M	0.79	21.41	19	15	2,211	41,996
2013-01-10	$106.57	$106.00	5.1%	1.5%	4.7%	31.2%	5.5%	0.9%	0.7%	-19.7M	144.4M	-1.2M	0.29	23.16	38	11	2,224	42,011
2013-01-11	$106.91	$106.00	4.8%	1.4%	4.7%	24.4%	4.7%	1.1%	0.2%	-16.3M	124.9M	-1.2M	0.20	20.83	128	25	2,262	42,016
2013-01-14	$106.87	$106.00	5.0%	1.4%	4.7%	28.3%	4.9%	0.5%	0.2%	-19.3M	134.6M	-1.2M	2.25	19.63	44	99	2,390	42,031
2013-01-15	$107.13	$107.00	4.8%	1.4%	4.7%	25.1%	0.0%	0.5%	0.6%	-17.1M	116.3M	-1.2M	10.00	18.09	15	150	2,432	42,110
2013-01-16	$107.27	$107.00	4.9%	1.4%	4.4%	26.4%	4.9%	0.7%	0.5%	-17.0M	116.6M	-1.2M	30.00	19.84	3	90	2,443	42,205
2013-01-17	$106.78	$107.00	5.2%	1.5%	4.5%	32.6%	5.5%	0.7%	0.3%	-18.8M	125.8M	-1.2M	1.08	18.89	48	52	2,435	42,272
2013-01-18	$107.08	$107.00	4.6%	1.3%	4.5%	19.7%	4.5%	0.9%	0.6%	-18.1M	119.8M	-1.2M	0.31	22.69	282	87	2,483	42,321
2013-01-22	$107.17	$107.00	4.4%	1.3%	4.6%	15.4%	4.3%	0.6%	0.6%	-15.2M	106.1M	-1.1M	0.27	21.00	110	30	1,643	31,218
2013-01-23	$107.22	$107.00	4.9%	1.4%	4.4%	26.4%	5.5%	1.4%	0.1%	-14.6M	108.3M	-1.2M	0.75	22.20	53	40	1,753	31,236
2013-01-24	$107.04	$107.00	5.1%	1.4%	4.5%	30.3%	5.1%	0.9%	-0.2%	-15.1M	111.4M	-1.2M	0.00	22.03	35	0	1,806	31,276
2013-01-25	$106.33	$107.00	5.5%	1.6%	5.0%	39.8%	5.7%	0.9%	0.1%	-38.7K	5.9M	-67.6K	105.30	16.47	10	1,053	1,836	31,276
2013-01-28	$106.11	$107.00	5.5%	1.6%	4.9%	39.4%	0.0%	1.1%	-0.3%	-712.6K	7.7M	-61.2K	0.71	22.33	93	66	1,828	32,310
2013-01-29	$105.95	$107.00	5.8%	1.7%	4.8%	46.2%	6.0%	1.0%	-0.3%	-19.7M	146.7M	-1.2M	10.84	21.44	55	596	1,896	32,362
2013-01-30	$106.01	$107.00	5.5%	1.6%	4.5%	40.5%	5.5%	2.3%	0.3%	-1.4M	10.9M	-71.2K	1.09	24.96	33	36	1,951	32,868
2013-01-31	$106.10	$107.00	5.6%	1.6%	4.3%	42.9%	0.0%	0.5%	-0.0%	-36.8M	102.4M	-887.3K	3.15	21.68	40	126	1,980	32,878