IEF Options History — June 2014

In June 2014, IEF traded between $102.38 and $103.58. ATM implied volatility averaged 5.2%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.5% (HV 20d: 4.7%). Max pain ranged from $100.00 to $107.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.96.

Notable Days

2014-06-04: Highest Volume — 90,048 contracts
2014-06-06: Largest IV drop — 11.9% change
2014-06-02: Highest IV Rank — 58.1%
2014-06-02: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.92	$102.38	$103.58	$103.33	$103.58
Max Pain	$105.65	$100.00	$107.00	$103.00	$107.00
ATM IV	5.2%	4.5%	6.8%	6.8%	4.6%
Expected Move	1.8%	1.5%	1.9%	1.9%	1.9%
HV 20d	4.7%	4.2%	5.1%	4.5%	4.2%
HV 60d	4.4%	4.1%	4.8%	4.7%	4.1%
IV Rank	36.7%	26.9%	58.1%	58.1%	27.9%
IV Percentile	23.5%	4.8%	73.4%	73.4%	6.0%
Term Structure	0.2%	-1.0%	0.7%	-1.0%	0.3%
VWIV	6.2%	5.3%	7.1%	6.8%	6.5%
Skew 25d	0.4%	-0.2%	0.7%	0.5%	0.7%
Skew 10d	1.2%	-1.3%	4.6%	-1.3%	2.2%
Call IV 25d	5.0%	4.2%	6.3%	6.3%	4.4%
Put IV 25d	5.4%	4.8%	6.9%	6.9%	5.1%
Bid-Ask Spread %	36.73	16.25	89.28	88.66	19.79
Gamma HHI	0.34	0.21	0.47	0.24	0.46
Net GEX	56.8M	-28.8M	111.2M	-13.4M	111.2M
Net DEX	-117.0M	-219.9M	45.9M	11.1M	-219.9M
Net VEX	-1.3M	-1.7M	-303.9K	-303.9K	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.96	0.01	14.19	5.66	3.59
Total Volume	4,931.524	58	90,048	3,159	263
Total OI	124,633.905	53,875	150,024	53,875	112,998

Daily Data (21 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
2014-06-02	$103.33	$103.00	6.8%	1.9%	4.5%	58.1%	6.8%	0.5%	-1.0%	-13.4M	11.1M	-303.9K	5.66	88.66	474	2,685	14,994	38,881
2014-06-03	$102.81	$103.00	6.2%	1.8%	4.9%	50.0%	6.2%	0.6%	-0.4%	-28.7M	45.9M	-376.8K	0.73	88.72	620	455	15,388	40,830
2014-06-04	$102.73	$103.00	6.1%	1.7%	4.9%	48.1%	6.7%	-0.1%	-0.3%	-28.8M	45.7M	-378.2K	0.01	89.28	89,581	467	15,759	41,157
2014-06-05	$102.88	$103.00	6.2%	1.8%	4.9%	50.1%	5.9%	-0.2%	-0.7%	57.8M	-151.7M	-1.7M	0.26	89.16	46	12	105,310	41,356
2014-06-06	$102.80	$103.00	5.5%	1.5%	4.9%	40.2%	5.3%	0.3%	0.4%	57.7M	-145.0M	-1.6M	1.25	89.17	75	94	105,332	41,288
2014-06-09	$102.65	$0.00	5.4%	1.9%	4.9%	38.9%	7.1%	0.5%	0.4%	47.0M	-112.6M	-1.5M	4.93	29.04	161	793	105,383	41,368
2014-06-10	$102.47	$100.00	5.4%	1.9%	4.8%	38.8%	5.3%	0.5%	0.2%	36.9M	-82.6M	-1.4M	1.25	21.45	314	393	105,483	41,710
2014-06-11	$102.61	$107.00	4.9%	1.8%	4.6%	32.9%	0.0%	0.1%	0.4%	47.3M	-104.7M	-1.4M	3.93	23.98	60	236	105,736	41,857
2014-06-12	$103.01	$107.00	4.9%	1.9%	4.6%	32.6%	0.0%	0.4%	0.3%	72.0M	-155.0M	-1.5M	2.80	19.32	85	238	105,781	42,058
2014-06-13	$102.81	$107.00	5.1%	1.8%	4.4%	34.8%	0.0%	0.3%	0.3%	60.5M	-142.3M	-1.5M	0.40	18.98	626	250	105,815	42,082
2014-06-16	$102.81	$107.00	5.2%	1.8%	4.3%	36.8%	0.0%	0.4%	0.3%	64.6M	-148.8M	-1.5M	0.69	17.11	94	65	106,264	42,330
2014-06-17	$102.38	$107.00	5.4%	1.9%	4.5%	39.6%	0.0%	0.4%	0.1%	35.9M	-89.9M	-1.4M	5.05	17.48	282	1,424	106,336	42,346
2014-06-18	$102.92	$107.00	4.9%	1.9%	4.8%	32.4%	0.0%	0.4%	0.4%	75.1M	-137.4M	-1.4M	14.19	23.83	32	454	106,332	43,692
2014-06-19	$102.66	$107.00	4.7%	1.7%	4.9%	29.1%	0.0%	0.4%	0.7%	47.5M	-101.1M	-1.3M	11.80	20.45	60	708	105,179	43,371
2014-06-20	$102.78	$107.00	4.5%	1.9%	4.9%	27.8%	0.0%	0.2%	0.7%	61.8M	-116.1M	-1.2M	7.34	21.46	41	301	105,179	43,939
2014-06-23	$102.71	$107.00	4.5%	1.8%	4.8%	26.9%	0.0%	0.4%	0.7%	78.3M	-117.2M	-1.2M	0.20	19.44	305	60	98,572	13,303
2014-06-24	$103.13	$107.00	4.6%	1.9%	5.1%	28.0%	6.5%	0.5%	0.4%	95.0M	-154.9M	-1.3M	0.17	19.78	179	30	98,857	13,328
2014-06-25	$103.23	$107.00	4.9%	1.9%	4.7%	31.8%	0.0%	0.3%	0.3%	98.5M	-176.4M	-1.3M	2.69	17.70	194	521	98,744	13,378
2014-06-26	$103.50	$107.00	5.1%	1.9%	4.8%	34.7%	0.0%	0.5%	-0.1%	108.2M	-201.4M	-1.4M	12.35	20.32	37	457	98,720	13,878
2014-06-27	$103.50	$107.00	4.8%	1.9%	4.8%	30.5%	0.0%	0.7%	0.3%	107.5M	-202.3M	-1.4M	3.59	16.25	85	305	98,703	14,295
2014-06-30	$103.58	$107.00	4.6%	1.9%	4.2%	27.9%	0.0%	0.7%	0.3%	111.2M	-219.9M	-1.5M	0.00	19.79	0	263	98,703	14,295