IEF Options History — February 2015

In February 2015, IEF traded between $106.37 and $110.23. ATM implied volatility averaged 7.3%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.9% (HV 20d: 8.2%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.38.

Notable Days

2015-02-10: Highest Volume — 9,499 contracts
2015-02-18: Largest IV spike — 10.9% change
2015-02-20: Highest IV Rank — 65.5%
2015-02-20: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.77	$106.37	$110.23	$110.23	$107.63
Max Pain	$108.16	$108.00	$109.00	$109.00	$108.00
ATM IV	7.3%	6.6%	7.9%	7.1%	7.3%
Expected Move	2.1%	2.0%	2.3%	2.0%	2.1%
HV 20d	8.2%	7.7%	9.0%	7.7%	7.9%
HV 60d	7.1%	6.5%	7.5%	6.5%	7.5%
IV Rank	57.1%	47.6%	65.5%	54.2%	57.5%
IV Percentile	93.6%	87.3%	98.8%	93.3%	91.3%
Term Structure	-0.0%	-0.5%	0.9%	0.5%	-0.4%
VWIV	7.5%	6.8%	8.2%	6.8%	7.4%
Skew 25d	-0.4%	-0.8%	0.1%	-0.2%	-0.5%
Skew 10d	-0.9%	-4.0%	2.5%	2.5%	-0.4%
Call IV 25d	7.9%	7.4%	8.6%	7.7%	7.8%
Put IV 25d	7.5%	7.2%	8.0%	7.5%	7.3%
Bid-Ask Spread %	53.24	24.92	83.80	74.28	24.92
Gamma HHI	0.30	0.14	0.57	0.50	0.21
Net GEX	-4.1M	-9.4M	1.3M	-5.9M	1.3M
Net DEX	16.9M	-1.4M	36.2M	1.1M	3.7M
Net VEX	-286.6K	-314.1K	-235.9K	-235.9K	-288.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.78	9.58	9.58	2.14
Total Volume	6,063.053	335	9,499	1,196	7,184
Total OI	30,416.789	26,257	33,554	26,257	33,554

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
2015-02-02	$110.23	$109.00	7.1%	2.0%	7.7%	54.2%	6.8%	-0.2%	0.5%	-5.9M	1.1M	-235.9K	9.58	74.28	113	1,083	4,180	22,077
2015-02-03	$109.32	$109.00	7.1%	2.0%	8.3%	53.5%	7.9%	-0.5%	0.9%	-7.0M	6.3M	-282.7K	1.89	76.61	2,068	3,899	5,080	23,000
2015-02-04	$109.45	$109.00	7.4%	2.1%	8.0%	58.6%	7.5%	-0.3%	-0.0%	-6.7M	3.9M	-266.7K	1.78	74.70	2,178	3,872	5,134	22,938
2015-02-05	$109.09	$108.00	7.1%	2.2%	8.1%	53.5%	7.7%	-0.5%	-0.1%	-7.3M	8.4M	-274.3K	1.66	67.68	2,307	3,829	5,230	22,933
2015-02-06	$107.87	$108.00	6.6%	2.1%	9.0%	47.6%	7.5%	0.1%	0.1%	-9.4M	27.4M	-292.7K	1.91	37.12	2,287	4,361	5,249	22,953
2015-02-09	$107.82	$108.00	7.0%	2.1%	8.8%	51.9%	8.0%	-0.3%	0.1%	-9.1M	26.1M	-287.0K	1.78	70.30	2,224	3,966	5,495	22,843
2015-02-10	$107.54	$108.00	6.8%	2.1%	8.8%	50.0%	7.5%	-0.2%	0.1%	-8.9M	32.1M	-284.9K	0.78	32.41	5,345	4,154	5,539	22,856
2015-02-11	$107.51	$108.00	7.1%	2.0%	8.8%	54.2%	7.1%	-0.1%	0.3%	-4.5M	21.2M	-314.1K	1.84	66.85	2,421	4,458	7,932	22,633
2015-02-12	$107.53	$108.00	7.4%	2.1%	8.6%	57.6%	6.9%	-0.5%	-0.1%	-3.6M	16.1M	-302.4K	1.45	47.99	2,424	3,524	7,956	22,145
2015-02-13	$107.18	$108.00	7.2%	2.1%	7.9%	55.9%	7.2%	-0.2%	0.2%	-4.0M	22.8M	-298.5K	1.64	58.85	2,485	4,078	7,993	22,112
2015-02-17	$106.37	$108.00	7.0%	2.0%	7.9%	53.1%	7.5%	-0.7%	0.1%	-4.7M	36.2M	-285.3K	1.90	58.62	3,121	5,925	8,186	22,529
2015-02-18	$106.88	$108.00	7.8%	2.2%	8.1%	63.8%	8.0%	-0.4%	-0.5%	-2.9M	24.5M	-293.6K	1.45	83.80	3,162	4,595	8,634	22,362
2015-02-19	$106.66	$108.00	7.9%	2.3%	8.0%	65.0%	8.2%	-0.5%	-0.1%	-3.5M	30.5M	-285.3K	3.15	35.23	528	1,662	8,793	23,203
2015-02-20	$106.60	$108.00	7.9%	2.3%	8.0%	65.5%	8.2%	-0.8%	-0.2%	-3.0M	30.0M	-282.6K	0.89	38.68	177	158	9,246	24,159
2015-02-23	$107.06	$108.00	7.8%	2.2%	7.8%	63.3%	7.0%	-0.6%	-0.1%	-860.2K	16.9M	-292.0K	2.96	39.00	1,570	4,643	9,231	23,200
2015-02-24	$107.76	$108.00	7.8%	2.2%	8.2%	64.2%	7.5%	-0.4%	-0.5%	576.2K	3.1M	-295.9K	3.17	27.58	1,851	5,868	9,233	23,220
2015-02-25	$107.91	$108.00	7.4%	2.1%	8.2%	58.2%	7.4%	-0.1%	-0.3%	1.2M	-1.4M	-290.8K	3.04	28.34	1,723	5,242	9,378	23,581
2015-02-26	$107.30	$108.00	7.4%	2.1%	7.8%	57.8%	7.7%	-0.1%	-0.4%	278.1K	12.0M	-292.5K	2.26	68.64	2,059	4,654	9,530	23,602
2015-02-27	$107.63	$108.00	7.3%	2.1%	7.9%	57.5%	7.4%	-0.5%	-0.4%	1.3M	3.7M	-288.5K	2.14	24.92	2,288	4,896	9,707	23,847