IEF Options History — March 2013

In March 2013, IEF traded between $105.65 and $107.54. ATM implied volatility averaged 5.2%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.6%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 92.77.

Notable Days

2013-03-08: Highest Volume — 1,617 contracts
2013-03-12: Largest IV drop — 18.8% change
2013-03-07: Highest IV Rank — 48.2%
2013-03-07: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.62	$105.65	$107.54	$107.30	$107.34
Max Pain	$106.55	$106.00	$107.00	$107.00	$107.00
ATM IV	5.2%	4.5%	5.9%	5.3%	4.9%
Expected Move	1.5%	1.4%	1.6%	1.5%	1.4%
HV 20d	4.6%	4.1%	5.0%	4.9%	4.4%
HV 60d	4.6%	4.6%	4.7%	4.6%	4.6%
IV Rank	33.4%	16.8%	48.2%	35.8%	25.8%
IV Percentile	26.0%	3.6%	56.0%	27.0%	12.3%
Term Structure	0.5%	-0.2%	1.1%	-0.2%	0.1%
VWIV	5.4%	4.5%	8.8%	5.6%	4.5%
Skew 25d	0.7%	-0.2%	1.4%	0.6%	0.6%
Skew 10d	2.5%	-0.3%	9.2%	0.4%	0.5%
Call IV 25d	5.0%	4.1%	5.6%	5.1%	4.6%
Put IV 25d	5.7%	5.0%	6.2%	5.6%	5.3%
Bid-Ask Spread %	17.07	12.13	24.14	12.13	14.33
Gamma HHI	0.67	0.56	0.78	0.62	0.72
Net GEX	-22.6M	-29.9M	-17.4M	-19.9M	-18.8M
Net DEX	133.0M	111.1M	159.1M	113.7M	111.1M
Net VEX	-1.2M	-1.2M	-1.1M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	92.77	0.00	1616.00	0.00	0.39
Total Volume	210.65	2	1,617	2	43
Total OI	36,874.95	36,037	38,608	36,039	37,025

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
2013-03-01	$107.30	$107.00	5.3%	1.5%	4.9%	35.8%	0.0%	0.6%	-0.2%	-19.9M	113.7M	-1.1M	0.00	12.13	2	0	2,119	33,920
2013-03-04	$107.05	$106.00	5.4%	1.5%	4.7%	37.8%	0.0%	0.6%	0.9%	-19.2M	115.9M	-1.2M	1.00	24.14	6	6	2,117	33,920
2013-03-05	$106.94	$106.00	5.6%	1.5%	4.3%	42.9%	0.0%	0.9%	1.0%	-21.5M	122.3M	-1.2M	0.05	15.43	20	1	2,120	33,926
2013-03-06	$106.60	$106.00	5.6%	1.5%	4.2%	42.3%	0.0%	0.9%	0.8%	-20.7M	129.1M	-1.2M	0.00	20.65	0	5	2,140	33,926
2013-03-07	$106.19	$106.00	5.9%	1.6%	4.4%	48.2%	5.6%	0.5%	0.8%	-21.9M	140.3M	-1.2M	0.00	17.66	0	34	2,140	33,931
2013-03-08	$105.65	$106.00	5.6%	1.5%	4.7%	42.0%	5.2%	0.6%	1.1%	-26.0M	152.0M	-1.2M	1616.00	19.41	1	1,616	2,140	33,965
2013-03-11	$105.70	$106.00	5.5%	1.5%	4.7%	39.6%	5.3%	0.7%	0.9%	-26.5M	159.1M	-1.2M	4.60	16.42	60	276	2,141	35,517
2013-03-12	$105.99	$106.00	4.5%	1.6%	4.8%	16.8%	5.4%	0.9%	0.5%	-28.1M	152.4M	-1.2M	2.08	15.68	88	183	2,201	35,792
2013-03-13	$105.90	$106.00	4.8%	1.6%	4.8%	24.1%	5.4%	0.9%	0.6%	-29.2M	155.0M	-1.2M	6.23	16.88	44	274	2,226	35,885
2013-03-14	$105.93	$106.00	4.9%	1.4%	4.7%	27.6%	4.9%	1.0%	1.0%	-29.9M	155.1M	-1.2M	0.94	16.75	246	231	2,269	35,867
2013-03-15	$106.30	$107.00	5.1%	1.5%	4.6%	30.7%	5.1%	1.4%	0.8%	-27.9M	141.9M	-1.2M	13.41	16.34	22	295	2,515	36,093
2013-03-18	$106.65	$107.00	5.0%	1.4%	4.7%	27.8%	5.1%	0.6%	0.2%	-23.2M	132.3M	-1.2M	0.98	18.49	59	58	1,824	34,580
2013-03-19	$106.98	$107.00	5.5%	1.6%	4.7%	39.6%	8.8%	0.3%	0.1%	-20.9M	127.7M	-1.2M	1.48	18.77	67	99	1,883	34,630
2013-03-20	$106.57	$107.00	5.1%	1.5%	4.9%	31.2%	0.0%	1.0%	0.4%	-20.7M	136.2M	-1.2M	4.45	17.29	11	49	1,938	34,727
2013-03-21	$106.85	$107.00	5.3%	1.5%	5.0%	36.2%	5.3%	0.5%	0.1%	-20.6M	130.8M	-1.2M	7.50	16.59	6	45	1,948	34,766
2013-03-22	$106.89	$107.00	5.3%	1.5%	5.0%	35.6%	5.4%	0.7%	0.1%	-20.6M	129.6M	-1.2M	9.67	15.36	3	29	1,954	34,809
2013-03-25	$106.97	$107.00	5.3%	1.5%	4.1%	34.8%	5.3%	0.5%	0.4%	-20.7M	127.5M	-1.2M	0.91	17.66	22	20	1,956	34,838
2013-03-26	$107.08	$107.00	4.9%	1.4%	4.1%	26.0%	4.6%	-0.2%	0.4%	-17.4M	115.3M	-1.2M	0.03	16.42	160	5	1,978	34,843
2013-03-27	$107.54	$107.00	4.8%	1.4%	4.4%	23.4%	4.5%	1.0%	0.8%	-19.0M	113.4M	-1.2M	0.23	14.93	103	24	2,087	34,843
2013-03-28	$107.34	$107.00	4.9%	1.4%	4.4%	25.8%	0.0%	0.6%	0.1%	-18.8M	111.1M	-1.1M	0.39	14.33	31	12	2,172	34,853