IEF Options History — July 2015

In July 2015, IEF traded between $104.32 and $106.48. ATM implied volatility averaged 7.1%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.7% (HV 20d: 7.8%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2015-07-14: Highest Volume — 87,705 contracts
2015-07-15: Largest IV drop — 11.6% change
2015-07-08: Highest IV Rank — 78.2%
2015-07-01: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.33	$104.32	$106.48	$104.32	$106.48
Max Pain	$106.82	$105.00	$108.00	$105.00	$106.00
ATM IV	7.1%	5.9%	9.0%	8.2%	6.1%
Expected Move	1.9%	1.7%	2.4%	2.4%	1.8%
HV 20d	7.8%	5.9%	8.5%	8.1%	6.2%
HV 60d	7.4%	7.1%	7.6%	7.1%	7.4%
IV Rank	48.4%	30.6%	78.2%	66.2%	34.3%
IV Percentile	65.7%	32.9%	99.2%	97.2%	43.7%
Term Structure	0.2%	-0.9%	0.7%	-0.9%	0.5%
VWIV	7.1%	4.2%	9.4%	8.5%	6.8%
Skew 25d	-0.1%	-0.6%	0.3%	-0.1%	-0.0%
Skew 10d	0.5%	-1.1%	7.3%	-1.1%	7.3%
Call IV 25d	6.9%	5.9%	8.6%	8.3%	6.2%
Put IV 25d	6.9%	5.9%	8.2%	8.2%	6.2%
Bid-Ask Spread %	69.02	13.90	91.33	81.92	87.30
Gamma HHI	0.19	0.16	0.23	0.20	0.20
Net GEX	82.4M	29.1M	146.4M	29.1M	146.4M
Net DEX	-218.8M	-442.4M	-25.8M	-25.8M	-442.4M
Net VEX	-2.4M	-3.0M	-1.6M	-1.6M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.10	1.90	1.90	0.18
Total Volume	46,061.955	11,036	87,705	13,859	47,423
Total OI	212,208	155,487	243,198	155,487	238,741

Daily Data (22 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
2015-07-01	$104.32	$105.00	8.2%	2.4%	8.1%	66.2%	8.5%	-0.1%	-0.9%	29.1M	-25.8M	-1.6M	1.90	81.92	4,774	9,085	123,373	32,114
2015-07-02	$104.67	$105.00	8.1%	2.3%	8.0%	63.8%	9.4%	-0.6%	-0.8%	36.8M	-54.1M	-1.7M	0.73	82.91	11,518	8,387	123,461	32,396
2015-07-06	$105.40	$105.00	8.1%	2.2%	8.0%	64.5%	7.6%	-0.1%	0.1%	63.5M	-118.6M	-1.8M	0.96	70.22	5,679	5,465	130,132	33,432
2015-07-07	$105.69	$105.00	8.2%	2.2%	8.0%	66.5%	7.4%	-0.3%	0.2%	75.1M	-149.8M	-1.9M	0.76	64.35	6,259	4,777	130,531	33,476
2015-07-08	$106.14	$106.00	9.0%	2.2%	8.0%	78.2%	7.7%	-0.4%	0.4%	91.9M	-210.2M	-2.0M	0.37	83.79	14,744	5,522	133,836	33,600
2015-07-09	$105.38	$106.00	8.9%	2.2%	8.3%	77.4%	8.2%	-0.2%	0.2%	63.8M	-116.0M	-1.8M	0.50	73.06	14,777	7,416	133,987	34,483
2015-07-10	$104.59	$106.00	8.6%	2.2%	8.5%	72.0%	8.1%	-0.3%	0.4%	36.8M	-47.0M	-1.6M	0.12	36.60	69,338	8,234	134,097	36,386
2015-07-13	$104.37	$106.00	8.1%	2.0%	8.5%	64.5%	7.6%	-0.0%	0.5%	47.7M	-121.2M	-2.4M	0.12	69.21	69,594	8,250	194,882	36,932
2015-07-14	$104.70	$106.00	7.6%	2.0%	8.5%	56.8%	7.3%	-0.1%	0.2%	52.3M	-154.2M	-2.5M	0.10	86.45	79,720	7,985	194,634	37,046
2015-07-15	$105.07	$108.00	6.7%	1.9%	8.5%	43.2%	7.1%	-0.2%	0.2%	74.6M	-244.9M	-2.8M	0.11	89.17	69,606	7,918	205,195	37,767
2015-07-16	$105.10	$108.00	6.4%	1.8%	8.5%	38.6%	6.8%	0.2%	0.3%	63.4M	-240.5M	-2.8M	0.18	89.74	39,264	7,171	205,225	37,973
2015-07-17	$105.07	$108.00	6.3%	1.8%	8.5%	37.3%	7.0%	0.1%	0.3%	37.6M	-213.3M	-2.5M	0.18	91.33	39,278	7,219	205,180	37,961
2015-07-20	$104.83	$108.00	6.1%	1.8%	8.2%	34.1%	7.2%	0.3%	0.3%	81.7M	-193.7M	-2.5M	0.16	88.12	44,479	7,253	192,494	31,647
2015-07-21	$105.11	$108.00	6.2%	1.8%	7.9%	35.5%	4.2%	-0.0%	0.3%	92.5M	-232.4M	-2.6M	0.17	47.62	41,560	7,018	198,607	31,788
2015-07-22	$105.26	$108.00	6.0%	1.7%	7.7%	32.3%	7.1%	0.2%	0.3%	97.8M	-252.3M	-2.6M	0.17	38.84	41,559	7,030	198,860	31,849
2015-07-23	$105.67	$108.00	6.2%	1.8%	7.8%	35.7%	6.5%	0.1%	0.2%	112.0M	-305.2M	-2.8M	0.17	41.45	41,641	7,029	198,875	31,902
2015-07-24	$105.78	$108.00	6.2%	1.8%	7.7%	35.1%	6.4%	0.0%	0.3%	116.3M	-321.1M	-2.8M	0.24	65.57	41,468	9,951	198,786	32,000
2015-07-27	$106.17	$108.00	5.9%	1.7%	7.5%	31.1%	6.5%	-0.1%	0.7%	134.4M	-386.7M	-2.9M	0.30	46.46	41,407	12,518	198,699	34,921
2015-07-28	$105.89	$108.00	6.3%	1.8%	6.5%	36.1%	6.6%	-0.2%	0.2%	118.0M	-337.2M	-2.8M	0.24	80.00	41,488	9,880	198,730	37,560
2015-07-29	$105.71	$108.00	6.0%	1.7%	6.5%	31.7%	6.2%	0.2%	0.5%	114.5M	-315.3M	-2.7M	0.17	90.53	42,491	7,355	198,727	37,562
2015-07-30	$105.80	$106.00	5.9%	1.7%	5.9%	30.6%	5.3%	0.0%	0.5%	126.9M	-331.3M	-2.8M	0.17	13.90	42,478	7,355	201,129	37,600
2015-07-31	$106.48	$106.00	6.1%	1.8%	6.2%	34.3%	6.8%	-0.0%	0.5%	146.4M	-442.4M	-3.0M	0.18	87.30	40,090	7,333	201,141	37,600