IEF Options History — November 2013

In November 2013, IEF traded between $101.05 and $102.34. ATM implied volatility averaged 5.5%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.8% (HV 20d: 6.3%). Max pain ranged from $103.00 to $109.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 42.60.

Notable Days

2013-11-13: Highest Volume — 11,363 contracts
2013-11-14: Largest IV spike — 61.3% change
2013-11-20: Highest IV Rank — 42.5%
2013-11-20: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.74	$101.05	$102.34	$102.02	$101.69
Max Pain	$105.70	$103.00	$109.00	$103.00	$104.00
ATM IV	5.5%	3.5%	6.3%	5.4%	6.0%
Expected Move	1.7%	1.5%	1.8%	1.6%	1.7%
HV 20d	6.3%	5.1%	6.9%	5.1%	6.6%
HV 60d	6.3%	5.8%	6.6%	6.4%	5.8%
IV Rank	30.7%	0.0%	42.5%	28.1%	38.8%
IV Percentile	48.9%	0.0%	65.5%	45.2%	61.9%
Term Structure	0.1%	-0.4%	0.7%	0.7%	-0.4%
VWIV	6.0%	5.2%	6.6%	5.5%	6.6%
Skew 25d	0.9%	0.4%	1.7%	0.4%	1.1%
Skew 10d	3.5%	0.7%	9.3%	0.7%	3.2%
Call IV 25d	5.5%	4.5%	6.0%	5.5%	6.0%
Put IV 25d	6.4%	5.5%	7.0%	5.9%	7.0%
Bid-Ask Spread %	10.94	7.83	17.25	10.03	9.97
Gamma HHI	0.25	0.17	0.32	0.32	0.18
Net GEX	-18.4M	-23.1M	-14.8M	-16.3M	-22.5M
Net DEX	116.4M	94.1M	145.7M	106.2M	129.6M
Net VEX	-432.8K	-675.0K	-259.2K	-319.2K	-633.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	42.60	0.07	447.00	11.17	0.78
Total Volume	1,621.9	32	11,363	73	80
Total OI	48,150.45	37,286	58,769	37,286	58,761

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
2013-11-01	$102.02	$103.00	5.4%	1.6%	5.1%	28.1%	5.5%	0.4%	0.7%	-16.3M	106.2M	-319.2K	11.17	10.03	6	67	6,953	30,333
2013-11-04	$102.22	$109.00	5.6%	1.7%	5.2%	31.2%	6.6%	1.1%	-0.1%	-17.3M	102.5M	-313.2K	0.07	11.65	873	62	6,949	30,379
2013-11-05	$101.76	$109.00	5.7%	1.7%	5.4%	32.2%	6.1%	0.8%	0.0%	-17.1M	113.4M	-303.0K	17.13	17.25	15	257	7,052	30,402
2013-11-06	$102.07	$109.00	5.5%	1.7%	5.5%	29.4%	0.0%	0.8%	0.1%	-18.0M	107.1M	-302.8K	447.00	16.51	1	447	7,061	30,293
2013-11-07	$102.34	$109.00	5.2%	1.7%	5.5%	24.9%	5.7%	1.2%	-0.1%	-18.3M	99.8M	-316.4K	0.23	12.68	1,302	300	7,060	30,706
2013-11-08	$101.19	$109.00	5.7%	1.7%	6.9%	32.2%	5.7%	0.9%	0.1%	-16.1M	130.4M	-269.6K	2.18	10.29	730	1,594	8,361	30,680
2013-11-11	$101.14	$107.00	5.7%	1.7%	6.8%	31.8%	6.3%	0.7%	0.3%	-15.9M	130.7M	-275.9K	1.29	10.57	14	18	9,007	31,121
2013-11-12	$101.05	$107.00	5.3%	1.7%	6.8%	25.9%	6.6%	1.7%	0.4%	-14.8M	134.9M	-259.2K	40.16	14.26	62	2,490	9,014	31,131
2013-11-13	$101.47	$107.00	3.5%	1.7%	6.7%	0.0%	5.6%	0.9%	0.1%	-20.5M	129.5M	-309.5K	0.52	8.73	7,498	3,865	9,058	33,163
2013-11-14	$101.96	$105.00	5.7%	1.6%	6.6%	34.1%	5.7%	0.6%	0.4%	-23.0M	98.0M	-441.4K	1.15	10.76	913	1,054	16,377	36,163
2013-11-15	$101.88	$104.00	5.4%	1.5%	6.6%	29.1%	5.4%	0.5%	0.1%	-23.1M	102.2M	-462.1K	1.86	10.30	273	508	17,086	37,065
2013-11-18	$102.24	$104.00	5.2%	1.5%	6.7%	25.9%	5.2%	1.0%	0.3%	-16.6M	94.1M	-535.0K	2.27	8.63	218	495	14,842	36,545
2013-11-19	$101.86	$104.00	5.5%	1.6%	6.3%	30.7%	5.7%	0.9%	0.1%	-15.7M	99.8M	-459.8K	0.00	10.75	0	321	14,946	36,973
2013-11-20	$101.30	$104.00	6.3%	1.8%	6.5%	42.5%	6.5%	1.2%	-0.0%	-16.9M	128.2M	-518.7K	133.20	8.83	55	7,326	14,946	37,264
2013-11-21	$101.39	$104.00	6.2%	1.8%	6.5%	42.0%	6.4%	0.9%	-0.1%	-20.4M	145.7M	-675.0K	7.06	7.83	72	508	14,941	43,712
2013-11-22	$101.68	$104.00	5.6%	1.6%	6.6%	31.8%	0.0%	1.1%	0.3%	-20.3M	131.9M	-667.1K	0.00	9.68	0	140	14,998	43,549
2013-11-25	$101.76	$104.00	5.8%	1.6%	6.6%	34.6%	5.7%	0.9%	0.1%	-20.5M	130.5M	-657.7K	71.00	11.18	1	71	14,998	43,672
2013-11-26	$101.98	$104.00	5.7%	1.6%	6.7%	33.7%	5.8%	1.1%	-0.2%	-18.3M	106.4M	-510.0K	23.45	9.24	31	727	14,998	43,681
2013-11-27	$101.75	$104.00	5.7%	1.6%	6.6%	34.6%	6.3%	0.9%	-0.1%	-16.7M	106.2M	-427.6K	6.33	9.69	6	38	15,023	43,746
2013-11-29	$101.69	$104.00	6.0%	1.7%	6.6%	38.8%	6.6%	1.1%	-0.4%	-22.5M	129.6M	-633.8K	0.78	9.97	45	35	15,020	43,741