IEF Options History — February 2013

In February 2013, IEF traded between $105.60 and $107.26. ATM implied volatility averaged 5.6%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.7% (HV 20d: 4.8%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 7.14.

Notable Days

2013-02-21: Highest Volume — 825 contracts
2013-02-04: Largest IV spike — 13.8% change
2013-02-04: Highest IV Rank — 56.6%
2013-02-01: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.29	$105.60	$107.26	$105.60	$107.16
Max Pain	$106.26	$106.00	$107.00	$107.00	$106.00
ATM IV	5.6%	5.0%	6.3%	5.5%	5.2%
Expected Move	1.6%	1.4%	1.7%	1.7%	1.5%
HV 20d	4.8%	4.3%	5.0%	4.3%	4.9%
HV 60d	4.3%	4.2%	4.6%	4.5%	4.6%
IV Rank	41.2%	29.6%	56.6%	39.8%	33.2%
IV Percentile	36.9%	17.5%	68.3%	31.3%	23.4%
Term Structure	0.4%	-0.0%	1.1%	0.3%	0.0%
VWIV	5.4%	4.6%	6.0%	6.0%	5.3%
Skew 25d	0.9%	0.0%	2.1%	0.4%	0.4%
Skew 10d	2.2%	-0.2%	7.5%	1.5%	-0.1%
Call IV 25d	5.2%	4.4%	5.8%	5.8%	5.3%
Put IV 25d	6.1%	5.7%	6.5%	6.2%	5.7%
Bid-Ask Spread %	11.35	7.83	16.01	12.78	11.07
Gamma HHI	0.61	0.39	0.70	0.67	0.53
Net GEX	-21.3M	-27.3M	-13.6M	-20.8M	-15.9M
Net DEX	130.1M	10.3M	156.6M	151.9M	88.6M
Net VEX	-1.1M	-1.2M	-79.2K	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.14	0.00	102.13	0.79	0.06
Total Volume	171	20	825	147	137
Total OI	35,437.368	34,548	36,002	34,970	36,002

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
2013-02-01	$105.60	$107.00	5.5%	1.7%	4.3%	39.8%	6.0%	0.4%	0.3%	-20.8M	151.9M	-1.2M	0.79	12.78	82	65	1,967	33,003
2013-02-04	$106.21	$107.00	6.3%	1.6%	4.8%	56.6%	5.8%	2.1%	0.4%	-21.3M	142.7M	-1.2M	1.96	16.01	72	141	2,043	33,048
2013-02-05	$105.83	$107.00	5.8%	1.6%	4.9%	46.7%	5.5%	1.0%	0.6%	-21.6M	150.9M	-1.2M	0.24	12.35	21	5	2,114	33,188
2013-02-06	$106.15	$107.00	6.0%	1.7%	5.0%	51.1%	5.8%	0.9%	0.6%	-23.2M	141.6M	-1.2M	2.63	12.70	57	150	2,135	33,188
2013-02-07	$106.20	$106.00	5.7%	1.6%	5.0%	45.3%	0.0%	1.1%	0.5%	-20.1M	138.0M	-1.2M	1.72	13.45	76	131	2,171	33,307
2013-02-08	$106.28	$106.00	5.5%	1.6%	4.9%	39.7%	5.5%	1.3%	0.7%	-13.6M	10.3M	-79.2K	0.96	13.25	25	24	2,247	33,366
2013-02-11	$106.17	$106.00	5.9%	1.7%	4.7%	48.5%	5.4%	1.5%	0.2%	-21.4M	141.2M	-1.2M	0.00	9.89	61	0	2,271	33,388
2013-02-12	$106.06	$106.00	5.4%	1.6%	4.7%	38.4%	5.3%	0.7%	0.6%	-26.5M	145.1M	-1.2M	1.75	10.12	72	126	2,281	33,388
2013-02-13	$105.69	$106.00	5.1%	1.5%	4.7%	30.6%	5.0%	1.0%	1.1%	-26.5M	156.6M	-1.2M	13.13	12.81	8	105	2,342	33,428
2013-02-14	$106.14	$106.00	5.6%	1.6%	5.0%	42.1%	5.6%	1.1%	0.6%	-26.6M	142.3M	-1.2M	1.00	10.52	41	41	2,317	33,298
2013-02-15	$106.04	$106.00	5.0%	1.4%	4.8%	29.6%	5.3%	0.8%	1.1%	-27.3M	145.0M	-1.2M	1.28	10.64	46	59	2,358	33,327
2013-02-19	$105.87	$106.00	5.2%	1.5%	4.7%	33.9%	5.3%	0.2%	0.0%	-20.7M	142.5M	-1.2M	0.00	11.13	20	0	1,808	32,740
2013-02-20	$106.10	$106.00	5.5%	1.6%	4.7%	40.7%	5.1%	1.1%	-0.0%	-22.3M	141.4M	-1.2M	1.71	10.87	51	87	1,828	32,740
2013-02-21	$106.31	$106.00	5.4%	1.5%	4.8%	37.1%	5.4%	1.2%	0.2%	-20.6M	135.6M	-1.2M	102.13	7.83	8	817	1,877	32,826
2013-02-22	$106.44	$106.00	5.7%	1.6%	4.8%	43.4%	4.6%	1.1%	0.0%	-21.7M	137.1M	-1.2M	1.28	9.10	180	230	1,884	33,631
2013-02-25	$107.26	$106.00	5.8%	1.7%	5.0%	45.8%	5.7%	0.4%	0.0%	-16.5M	113.4M	-1.2M	0.82	11.78	60	49	2,054	33,846
2013-02-26	$107.06	$106.00	5.6%	1.6%	5.0%	43.1%	5.5%	0.0%	0.2%	-19.2M	123.6M	-1.2M	0.15	9.18	73	11	2,058	33,873
2013-02-27	$107.01	$107.00	5.3%	1.5%	4.9%	36.3%	5.3%	0.3%	0.4%	-19.0M	123.3M	-1.2M	4.13	10.21	23	95	2,084	33,884
2013-02-28	$107.16	$106.00	5.2%	1.5%	4.9%	33.2%	0.0%	0.4%	0.0%	-15.9M	88.6M	-1.1M	0.06	11.07	129	8	2,090	33,912