IEF Options History — June 2013

In June 2013, IEF traded between $101.66 and $105.70. ATM implied volatility averaged 7.5%, placing in the 80.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.2% (HV 20d: 7.6%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 6.18.

Notable Days

2013-06-24: Highest Volume — 20,564 contracts
2013-06-07: Largest IV drop — 21.3% change
2013-06-24: Highest IV Rank — 100.0%
2013-06-24: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.02	$101.66	$105.70	$105.33	$102.50
Max Pain	$105.20	$103.00	$107.00	$107.00	$103.00
ATM IV	7.5%	6.5%	9.0%	7.7%	8.0%
Expected Move	2.1%	1.8%	2.6%	2.2%	2.3%
HV 20d	7.6%	6.5%	8.8%	6.5%	8.4%
HV 60d	6.0%	5.3%	6.8%	5.4%	6.7%
IV Rank	80.5%	61.1%	100.0%	89.2%	82.0%
IV Percentile	97.2%	91.3%	100.0%	98.4%	98.4%
Term Structure	-0.1%	-1.3%	0.3%	-0.7%	-0.1%
VWIV	7.5%	6.6%	9.3%	7.0%	7.7%
Skew 25d	0.8%	0.1%	1.5%	0.6%	0.9%
Skew 10d	2.5%	0.0%	4.7%	4.5%	4.1%
Call IV 25d	7.3%	6.0%	8.7%	7.6%	7.8%
Put IV 25d	8.1%	6.8%	10.1%	8.2%	8.7%
Bid-Ask Spread %	16.25	11.15	25.21	13.32	12.60
Gamma HHI	0.60	0.48	0.77	0.57	0.49
Net GEX	-17.4M	-22.7M	-8.6M	-17.7M	-10.2M
Net DEX	143.5M	98.6M	262.8M	122.5M	98.6M
Net VEX	-739.0K	-1.0M	-403.3K	-777.0K	-424.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.18	0.24	32.66	2.73	0.93
Total Volume	1,613.65	64	20,564	179	398
Total OI	31,206.6	22,243	43,539	29,971	22,353

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
2013-06-03	$105.33	$107.00	7.7%	2.2%	6.5%	89.2%	7.0%	0.6%	-0.7%	-17.7M	122.5M	-777.0K	2.73	13.32	48	131	3,427	26,544
2013-06-04	$105.06	$107.00	7.4%	2.1%	6.5%	81.4%	0.0%	1.1%	-0.5%	-18.2M	127.6M	-783.3K	21.56	15.72	16	345	3,464	26,602
2013-06-05	$105.57	$107.00	7.5%	2.2%	6.9%	85.0%	8.3%	0.5%	-0.9%	-18.0M	121.7M	-782.8K	1.25	13.33	104	130	3,475	26,919
2013-06-06	$105.70	$107.00	8.2%	2.4%	6.9%	99.8%	8.3%	0.1%	-1.3%	-16.8M	114.6M	-798.6K	4.10	14.71	126	516	3,579	26,964
2013-06-07	$104.88	$106.00	6.5%	1.9%	7.3%	61.1%	6.6%	0.9%	0.3%	-19.0M	132.0M	-801.0K	1.12	24.48	143	160	3,670	27,281
2013-06-10	$104.62	$106.00	6.9%	1.8%	7.1%	71.2%	6.6%	0.7%	0.3%	-20.1M	141.2M	-780.6K	8.81	19.87	81	714	3,652	27,407
2013-06-11	$104.88	$105.00	6.9%	1.9%	7.2%	70.8%	6.9%	0.7%	0.2%	-21.1M	139.1M	-798.3K	1.01	25.21	693	697	3,703	27,994
2013-06-12	$104.41	$105.00	7.1%	2.0%	7.2%	76.3%	6.9%	0.4%	0.1%	-19.8M	147.0M	-820.6K	1.28	20.72	331	425	4,166	28,394
2013-06-13	$105.20	$105.00	6.8%	1.9%	7.8%	68.4%	6.9%	0.7%	0.2%	-19.5M	134.1M	-825.1K	7.10	22.11	71	504	4,323	28,584
2013-06-14	$105.34	$105.00	6.9%	2.0%	7.5%	71.0%	6.8%	0.7%	0.2%	-19.3M	128.6M	-814.2K	31.00	19.16	2	62	4,367	28,979
2013-06-17	$105.09	$105.00	6.8%	1.9%	7.4%	68.7%	0.0%	0.9%	0.2%	-20.3M	135.2M	-804.5K	0.65	14.63	124	81	4,332	28,955
2013-06-18	$105.03	$105.00	6.8%	1.9%	7.4%	68.1%	6.8%	0.9%	0.1%	-20.3M	138.0M	-810.4K	0.24	16.11	395	94	4,439	28,978
2013-06-19	$103.59	$105.00	7.1%	2.0%	8.6%	75.6%	7.0%	0.3%	0.1%	-19.2M	168.3M	-781.3K	0.47	14.52	1,217	571	4,822	28,982
2013-06-20	$103.12	$105.00	7.5%	2.2%	8.3%	84.7%	7.2%	0.6%	-0.3%	-18.4M	175.3M	-747.9K	2.26	13.85	345	778	5,675	28,648
2013-06-21	$102.03	$105.00	7.9%	2.3%	8.8%	93.9%	8.0%	0.9%	-0.3%	-16.0M	191.8M	-692.0K	4.01	12.06	220	883	5,989	28,299
2013-06-24	$101.78	$105.00	9.0%	2.6%	8.8%	100.0%	9.3%	1.5%	-0.1%	-15.2M	182.0M	-692.0K	32.66	12.45	611	19,953	4,023	27,113
2013-06-25	$101.66	$104.00	8.6%	2.5%	8.0%	93.4%	8.8%	1.4%	-0.1%	-22.7M	262.8M	-1.0M	1.04	11.15	187	194	4,409	39,130
2013-06-26	$102.07	$104.00	8.3%	2.4%	8.0%	87.7%	8.3%	0.9%	0.1%	-8.6M	109.2M	-403.3K	0.80	14.96	400	318	4,543	17,705
2013-06-27	$102.62	$103.00	8.0%	2.3%	8.4%	81.3%	8.1%	1.1%	-0.1%	-8.6M	100.3M	-436.1K	0.55	14.06	132	73	4,874	17,369
2013-06-28	$102.50	$103.00	8.0%	2.3%	8.4%	82.0%	7.7%	0.9%	-0.1%	-10.2M	98.6M	-424.3K	0.93	12.60	206	192	4,938	17,415