IEF Options History — April 2015

In April 2015, IEF traded between $107.51 and $108.97. ATM implied volatility averaged 6.1%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.6% (HV 20d: 5.5%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2015-04-01: Highest Volume — 52,084 contracts
2015-04-02: Largest IV drop — 8.4% change
2015-04-01: Highest IV Rank — 48.5%
2015-04-02: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.39	$107.51	$108.97	$108.75	$107.54
Max Pain	$108.86	$108.00	$109.00	$108.00	$108.00
ATM IV	6.1%	5.6%	6.7%	6.7%	5.6%
Expected Move	1.8%	1.6%	2.1%	1.9%	1.6%
HV 20d	5.5%	4.2%	7.5%	7.4%	4.5%
HV 60d	7.2%	6.6%	7.7%	7.7%	6.6%
IV Rank	39.8%	32.8%	48.5%	48.5%	32.8%
IV Percentile	62.2%	42.1%	76.6%	76.6%	42.1%
Term Structure	0.1%	-0.2%	0.5%	0.5%	0.1%
VWIV	6.1%	5.4%	6.9%	6.2%	5.4%
Skew 25d	-0.1%	-0.6%	0.4%	-0.5%	0.3%
Skew 10d	-0.4%	-2.3%	2.3%	2.3%	0.1%
Call IV 25d	6.2%	5.7%	7.1%	7.1%	6.0%
Put IV 25d	6.2%	5.8%	6.6%	6.6%	6.3%
Bid-Ask Spread %	55.50	14.28	97.49	90.65	14.28
Gamma HHI	0.34	0.31	0.41	0.33	0.31
Net GEX	80.6M	54.2M	104.2M	90.9M	54.4M
Net DEX	-312.8M	-418.7M	-155.5M	-398.1M	-155.5M
Net VEX	-2.5M	-2.8M	-2.2M	-2.8M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.06	2.39	0.09	0.74
Total Volume	10,939.095	309	52,084	52,084	12,716
Total OI	128,200.857	123,202	138,113	123,202	137,009

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
2015-04-01	$108.75	$108.00	6.7%	1.9%	7.4%	48.5%	6.2%	-0.5%	0.5%	90.9M	-398.1M	-2.8M	0.09	90.65	47,610	4,474	105,013	18,189
2015-04-02	$108.41	$109.00	6.1%	2.1%	7.5%	40.7%	6.9%	-0.4%	-0.2%	88.0M	-361.7M	-2.7M	0.06	14.56	47,790	2,888	105,203	20,029
2015-04-06	$108.55	$109.00	6.6%	1.9%	6.3%	47.6%	6.7%	-0.6%	0.2%	92.8M	-372.1M	-2.7M	1.14	35.66	2,926	3,343	105,309	20,361
2015-04-07	$108.69	$109.00	6.4%	1.9%	6.2%	43.8%	6.4%	-0.1%	0.1%	94.6M	-374.2M	-2.6M	1.18	26.93	2,806	3,308	105,627	20,789
2015-04-08	$108.55	$109.00	6.5%	1.9%	6.2%	45.1%	6.5%	-0.3%	-0.0%	95.6M	-358.8M	-2.6M	1.07	25.12	149	160	105,161	21,291
2015-04-09	$108.09	$109.00	6.1%	1.7%	6.4%	39.8%	6.0%	-0.3%	0.4%	96.5M	-304.0M	-2.5M	1.24	16.38	2,231	2,772	105,499	21,347
2015-04-10	$108.10	$109.00	5.8%	1.7%	6.4%	35.8%	5.8%	-0.3%	0.4%	98.5M	-300.5M	-2.5M	1.36	44.60	2,104	2,857	105,713	21,744
2015-04-13	$108.35	$109.00	6.1%	1.8%	6.4%	40.5%	6.2%	-0.1%	0.1%	104.2M	-326.9M	-2.5M	1.46	18.93	1,882	2,755	105,747	21,936
2015-04-14	$108.62	$109.00	5.9%	1.7%	6.4%	37.0%	6.2%	-0.1%	0.1%	99.8M	-366.4M	-2.5M	2.39	93.05	2,344	5,606	105,908	22,464
2015-04-15	$108.66	$109.00	6.0%	1.7%	6.3%	38.6%	5.9%	-0.4%	0.2%	94.8M	-379.0M	-2.6M	1.42	74.83	2,086	2,969	106,502	24,288
2015-04-16	$108.80	$109.00	5.9%	1.7%	4.9%	36.9%	6.0%	-0.1%	0.1%	80.7M	-395.3M	-2.6M	1.52	89.39	2,277	3,463	106,562	24,449
2015-04-17	$108.97	$109.00	6.1%	1.7%	4.6%	39.7%	6.2%	-0.2%	-0.1%	79.7M	-418.7M	-2.6M	0.85	74.93	3,773	3,212	106,809	25,346
2015-04-20	$108.79	$109.00	6.2%	1.8%	4.5%	41.0%	6.1%	-0.2%	-0.1%	72.8M	-323.9M	-2.5M	0.83	93.68	3,058	2,530	100,195	23,201
2015-04-21	$108.57	$109.00	5.9%	1.7%	4.5%	37.3%	5.7%	0.1%	0.4%	69.4M	-299.4M	-2.5M	1.33	96.60	1,857	2,468	100,208	23,238
2015-04-22	$107.92	$109.00	5.9%	1.7%	4.8%	37.9%	5.9%	0.1%	0.2%	59.7M	-225.5M	-2.3M	1.40	18.47	1,984	2,772	100,243	23,261
2015-04-23	$108.21	$109.00	5.8%	1.7%	4.7%	35.7%	6.0%	0.4%	0.4%	65.0M	-253.7M	-2.4M	1.28	34.59	2,004	2,572	100,449	23,711
2015-04-24	$108.61	$109.00	5.9%	1.7%	4.4%	37.2%	6.0%	0.3%	0.1%	73.8M	-289.2M	-2.4M	2.22	90.56	2,522	5,591	100,477	23,673
2015-04-27	$108.51	$109.00	6.1%	1.8%	4.2%	40.6%	6.1%	0.2%	0.1%	67.4M	-277.9M	-2.5M	0.32	94.35	9,343	2,944	105,166	26,779
2015-04-28	$107.93	$109.00	6.1%	1.7%	4.6%	40.1%	6.2%	0.3%	0.0%	60.7M	-227.5M	-2.4M	0.58	20.43	7,018	4,045	108,037	27,172
2015-04-29	$107.51	$108.00	6.0%	1.7%	4.7%	38.3%	6.0%	0.4%	-0.2%	54.2M	-161.5M	-2.3M	0.64	97.49	6,418	4,094	109,842	28,271
2015-04-30	$107.54	$108.00	5.6%	1.6%	4.5%	32.8%	5.4%	0.3%	0.1%	54.4M	-155.5M	-2.2M	0.74	14.28	7,295	5,421	109,974	27,035