IEF Options History — February 2014

In February 2014, IEF traded between $101.42 and $102.66. ATM implied volatility averaged 5.5%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.3% (HV 20d: 5.2%). Max pain ranged from $101.00 to $102.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 4.72.

Notable Days

2014-02-03: Highest Volume — 936 contracts
2014-02-07: Largest IV drop — 18.1% change
2014-02-04: Highest IV Rank — 55.5%
2014-02-04: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.04	$101.42	$102.66	$102.66	$102.47
Max Pain	$101.79	$101.00	$102.00	$101.00	$102.00
ATM IV	5.5%	4.8%	6.6%	6.0%	5.2%
Expected Move	1.6%	1.5%	1.9%	1.7%	1.5%
HV 20d	5.2%	4.4%	6.0%	5.6%	4.4%
HV 60d	5.3%	5.1%	5.8%	5.8%	5.1%
IV Rank	40.9%	30.5%	55.5%	47.4%	36.5%
IV Percentile	35.3%	4.0%	69.8%	57.9%	21.8%
Term Structure	0.2%	-0.2%	0.6%	0.3%	0.3%
VWIV	5.8%	4.9%	7.0%	6.0%	4.9%
Skew 25d	0.4%	-0.4%	1.4%	0.5%	0.5%
Skew 10d	1.3%	-1.1%	4.0%	4.0%	2.4%
Call IV 25d	5.5%	4.4%	6.6%	6.1%	4.9%
Put IV 25d	5.9%	5.4%	7.0%	6.6%	5.4%
Bid-Ask Spread %	12.58	8.17	18.42	11.09	10.58
Gamma HHI	0.26	0.20	0.34	0.22	0.27
Net GEX	-2.6M	-5.6M	-470.7K	-1.3M	-1.6M
Net DEX	8.6M	-4.3M	22.5M	-3.3M	-4.3M
Net VEX	-297.7K	-341.9K	-257.3K	-319.1K	-257.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.72	0.18	23.00	0.49	0.57
Total Volume	188.684	1	936	936	83
Total OI	37,535.632	36,502	38,429	36,502	37,172

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
2014-02-03	$102.66	$101.00	6.0%	1.7%	5.6%	47.4%	6.0%	0.5%	0.3%	-1.3M	-3.3M	-319.1K	0.49	11.09	628	308	10,447	26,055
2014-02-04	$102.35	$101.00	6.6%	1.9%	5.8%	55.5%	6.5%	0.5%	-0.0%	-1.7M	3.6M	-341.9K	0.94	14.71	106	100	11,048	26,315
2014-02-05	$101.98	$101.00	6.4%	1.8%	6.0%	52.7%	6.6%	0.5%	0.1%	-3.6M	10.9M	-341.0K	9.09	9.89	11	100	10,809	26,367
2014-02-06	$101.79	$101.00	6.5%	1.8%	5.7%	53.4%	6.4%	-0.4%	-0.2%	-4.3M	14.9M	-331.8K	0.65	11.27	201	130	10,815	26,385
2014-02-07	$102.06	$102.00	5.3%	1.7%	5.7%	37.6%	7.0%	0.7%	0.2%	-2.3M	8.3M	-324.8K	23.00	16.76	5	115	11,006	26,515
2014-02-10	$102.11	$102.00	5.0%	1.7%	5.1%	34.2%	0.0%	0.4%	0.1%	-1.6M	7.2M	-310.6K	0.00	15.11	0	20	11,005	26,629
2014-02-11	$101.66	$102.00	4.8%	1.6%	5.3%	30.5%	5.7%	0.6%	0.4%	-3.9M	16.9M	-314.3K	6.62	13.26	50	331	11,005	26,629
2014-02-12	$101.42	$102.00	5.3%	1.6%	5.2%	37.5%	5.9%	0.2%	0.4%	-5.6M	22.5M	-306.7K	7.10	11.69	10	71	11,005	26,898
2014-02-13	$101.90	$102.00	5.3%	1.5%	5.4%	38.4%	5.4%	0.4%	0.4%	-2.2M	11.5M	-298.0K	10.00	14.98	2	20	11,009	26,956
2014-02-14	$101.83	$102.00	5.3%	1.5%	5.3%	37.4%	5.5%	0.5%	0.5%	-2.9M	14.2M	-304.3K	14.17	14.87	6	85	11,007	26,966
2014-02-18	$102.08	$102.00	5.5%	1.6%	5.3%	41.1%	5.4%	0.4%	0.3%	-470.7K	6.3M	-285.1K	3.09	18.42	43	133	11,013	27,038
2014-02-19	$101.88	$102.00	5.5%	1.6%	5.4%	40.2%	5.7%	0.6%	0.3%	-1.9M	11.3M	-288.6K	0.18	9.86	321	57	11,034	27,137
2014-02-20	$101.77	$102.00	5.4%	1.5%	5.3%	39.2%	0.0%	0.2%	0.5%	-3.4M	13.9M	-280.9K	0.00	16.89	0	1	11,266	27,162
2014-02-21	$101.90	$102.00	5.3%	1.5%	4.8%	38.0%	5.4%	0.3%	0.6%	-1.2M	12.3M	-286.3K	0.68	12.32	145	99	11,266	27,163
2014-02-24	$101.80	$102.00	5.5%	1.6%	4.6%	40.2%	5.4%	0.1%	-0.1%	-4.9M	13.7M	-270.0K	1.17	9.88	12	14	10,326	26,574
2014-02-25	$102.15	$102.00	5.2%	1.5%	4.6%	36.9%	5.2%	-0.1%	0.2%	-2.9M	6.5M	-267.8K	0.52	9.82	145	76	10,338	26,574
2014-02-26	$102.45	$102.00	5.5%	1.6%	4.6%	40.9%	5.3%	0.7%	-0.1%	-1.7M	-532.2K	-260.6K	0.71	8.17	62	44	10,472	26,618
2014-02-27	$102.57	$102.00	5.5%	1.6%	4.4%	39.9%	5.5%	1.4%	-0.0%	-1.3M	-3.0M	-267.0K	1.32	9.36	22	29	10,511	26,642
2014-02-28	$102.47	$102.00	5.2%	1.5%	4.4%	36.5%	4.9%	0.5%	0.3%	-1.6M	-4.3M	-257.3K	0.57	10.58	53	30	10,517	26,655