IEF Options History — November 2014

In November 2014, IEF traded between $104.49 and $106.19. ATM implied volatility averaged 5.5%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.2% (HV 20d: 4.3%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 3.48.

Notable Days

2014-11-07: Highest Volume — 6,196 contracts
2014-11-13: Largest IV spike — 15.8% change
2014-11-13: Highest IV Rank — 43.5%
2014-11-06: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.06	$104.49	$106.19	$104.79	$106.19
Max Pain	$104.11	$104.00	$105.00	$104.00	$105.00
ATM IV	5.5%	4.9%	5.9%	5.6%	5.5%
Expected Move	1.8%	1.7%	1.8%	1.8%	1.7%
HV 20d	4.3%	3.7%	5.5%	5.5%	3.9%
HV 60d	4.8%	4.6%	5.0%	4.8%	4.6%
IV Rank	38.3%	30.9%	43.5%	39.0%	37.6%
IV Percentile	61.1%	18.3%	83.3%	66.7%	56.3%
Term Structure	0.1%	-0.4%	0.5%	0.5%	0.1%
VWIV	6.2%	4.7%	6.5%	6.4%	4.7%
Skew 25d	-0.1%	-0.8%	0.2%	-0.3%	-0.8%
Skew 10d	0.1%	-2.1%	3.0%	-0.5%	3.0%
Call IV 25d	5.9%	5.4%	6.2%	5.9%	6.2%
Put IV 25d	5.7%	5.4%	6.0%	5.6%	5.4%
Bid-Ask Spread %	66.50	62.03	71.15	63.18	68.65
Gamma HHI	0.29	0.20	0.60	0.24	0.60
Net GEX	-15.7M	-22.6M	-11.8M	-22.6M	-12.5M
Net DEX	42.1M	-4.7M	64.8M	62.5M	-4.7M
Net VEX	-325.6K	-381.7K	-240.9K	-358.2K	-240.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.48	0.08	6.84	2.13	0.28
Total Volume	3,859.895	64	6,196	5,961	64
Total OI	40,566.789	39,329	42,070	39,451	39,433

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
2014-11-03	$104.79	$104.00	5.6%	1.8%	5.5%	39.0%	6.4%	-0.3%	0.5%	-22.6M	62.5M	-358.2K	2.13	63.18	1,903	4,058	5,421	34,030
2014-11-04	$104.79	$104.00	5.7%	1.8%	5.1%	40.7%	6.5%	0.0%	0.3%	-19.0M	55.3M	-374.5K	4.39	63.60	861	3,779	6,579	33,904
2014-11-05	$104.81	$104.00	5.8%	1.8%	4.9%	42.0%	6.5%	-0.4%	0.2%	-18.7M	55.8M	-370.6K	5.14	62.03	729	3,746	6,549	33,870
2014-11-06	$104.49	$104.00	5.6%	1.8%	5.0%	39.0%	6.4%	0.1%	0.5%	-19.9M	64.8M	-381.7K	4.04	64.52	987	3,988	6,604	33,844
2014-11-07	$105.14	$104.00	5.0%	1.7%	5.5%	31.2%	6.2%	-0.2%	0.2%	-16.2M	41.0M	-344.4K	6.02	64.83	883	5,313	6,825	34,059
2014-11-10	$104.77	$104.00	4.9%	1.7%	4.9%	30.9%	6.3%	-0.1%	0.1%	-17.8M	52.4M	-333.5K	4.32	67.55	963	4,156	6,764	34,031
2014-11-11	$104.71	$104.00	5.2%	1.8%	4.9%	34.3%	6.2%	-0.1%	-0.2%	-18.2M	56.3M	-327.2K	6.76	68.71	613	4,143	6,606	33,049
2014-11-12	$104.71	$104.00	5.1%	1.7%	3.7%	33.2%	6.3%	0.2%	0.1%	-18.2M	55.7M	-342.8K	6.84	67.42	610	4,174	6,922	34,110
2014-11-13	$104.86	$104.00	5.9%	1.8%	3.8%	43.5%	6.4%	-0.0%	-0.0%	-16.3M	49.4M	-325.1K	6.37	71.15	658	4,190	6,930	34,104
2014-11-14	$105.10	$104.00	5.7%	1.8%	3.8%	40.6%	6.2%	-0.4%	0.2%	-15.2M	42.4M	-325.1K	0.42	65.27	140	59	6,913	34,122
2014-11-17	$104.97	$104.00	5.7%	1.8%	3.8%	40.4%	6.4%	-0.3%	0.2%	-13.5M	42.2M	-305.1K	4.43	63.81	997	4,412	7,007	34,165
2014-11-18	$105.10	$104.00	5.7%	1.8%	3.8%	40.2%	6.3%	-0.3%	0.2%	-13.0M	38.8M	-308.0K	3.91	65.09	1,135	4,435	7,148	34,350
2014-11-19	$104.82	$104.00	5.7%	1.8%	3.9%	40.7%	0.0%	0.1%	0.1%	-15.2M	50.7M	-346.3K	0.58	68.02	231	134	7,381	34,689
2014-11-20	$104.98	$104.00	5.5%	1.8%	3.7%	38.6%	6.2%	0.0%	0.1%	-12.3M	42.5M	-314.9K	3.64	68.94	1,170	4,259	7,066	34,200
2014-11-21	$105.19	$104.00	5.6%	1.7%	3.8%	38.8%	6.1%	0.0%	0.0%	-11.8M	35.6M	-302.1K	4.35	65.61	901	3,915	7,081	34,284
2014-11-24	$105.34	$104.00	5.5%	1.7%	3.8%	38.6%	6.0%	0.1%	-0.4%	-12.8M	27.4M	-292.4K	0.96	70.01	292	279	6,734	32,595
2014-11-25	$105.60	$104.00	5.6%	1.7%	3.8%	39.2%	6.0%	-0.1%	-0.2%	-12.5M	18.2M	-299.6K	1.46	68.27	1,842	2,681	6,951	32,824
2014-11-26	$105.78	$105.00	5.6%	1.7%	3.7%	38.9%	6.1%	-0.1%	-0.3%	-12.8M	14.4M	-294.4K	0.08	66.75	592	46	6,598	33,027
2014-11-28	$106.19	$105.00	5.5%	1.7%	3.9%	37.6%	4.7%	-0.8%	0.1%	-12.5M	-4.7M	-240.9K	0.28	68.65	50	14	6,408	33,025