IEF Options History — November 2015

In November 2015, IEF traded between $105.19 and $106.53. ATM implied volatility averaged 6.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.2% (HV 20d: 4.8%). Max pain ranged from $106.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.06.

Notable Days

2015-11-20: Highest Volume — 58,898 contracts
2015-11-06: Largest IV drop — 8.9% change
2015-11-04: Highest IV Rank — 35.8%
2015-11-05: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.94	$105.19	$106.53	$106.53	$106.40
Max Pain	$108.10	$106.00	$120.00	$120.00	$106.00
ATM IV	6.0%	5.5%	6.5%	6.3%	5.8%
Expected Move	1.7%	1.6%	1.9%	1.8%	1.7%
HV 20d	4.8%	3.7%	5.4%	5.1%	3.7%
HV 60d	5.5%	5.3%	5.8%	5.8%	5.3%
IV Rank	18.9%	2.0%	35.8%	32.9%	9.1%
IV Percentile	19.8%	1.2%	42.1%	36.5%	6.7%
Term Structure	0.2%	-0.1%	0.4%	0.3%	0.1%
VWIV	6.2%	5.0%	8.8%	5.0%	6.4%
Skew 25d	0.2%	-0.3%	0.7%	0.5%	0.0%
Skew 10d	-0.0%	-2.3%	3.1%	0.6%	-2.3%
Call IV 25d	6.0%	5.7%	6.5%	6.0%	6.4%
Put IV 25d	6.3%	5.5%	7.1%	6.6%	6.5%
Bid-Ask Spread %	97.71	94.05	112.50	96.31	101.18
Gamma HHI	0.26	0.18	0.38	0.21	0.38
Net GEX	39.2M	6.8M	94.5M	6.8M	94.5M
Net DEX	9.3M	-208.1M	210.0M	-31.1M	-208.1M
Net VEX	-2.1M	-2.4M	-1.8M	-2.0M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.38	5.55	0.70	0.64
Total Volume	32,128.05	110	58,898	41,202	12,862
Total OI	189,394.3	169,537	204,137	169,537	184,863

Daily Data (20 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
2015-11-02	$106.53	$120.00	6.3%	1.8%	5.1%	32.9%	5.0%	0.5%	0.3%	6.8M	-31.1M	-2.0M	0.70	96.31	24,299	16,903	93,813	75,724
2015-11-03	$106.27	$120.00	6.3%	1.8%	5.1%	32.7%	5.3%	0.4%	0.1%	11.2M	-2.4M	-2.3M	0.70	96.67	24,301	16,897	105,797	77,758
2015-11-04	$106.16	$120.00	6.5%	1.8%	5.0%	35.8%	6.4%	0.3%	0.2%	10.7M	31.6M	-2.2M	0.85	100.12	20,060	17,034	105,795	77,759
2015-11-05	$106.11	$106.00	6.4%	1.9%	5.0%	33.9%	6.8%	0.7%	-0.1%	8.9M	48.9M	-2.2M	0.85	94.05	20,043	16,971	105,741	77,760
2015-11-06	$105.37	$106.00	5.8%	1.8%	5.4%	20.4%	6.4%	0.7%	0.2%	10.8M	171.3M	-2.0M	4.27	94.31	171	731	105,588	77,779
2015-11-09	$105.19	$106.00	6.0%	1.7%	5.3%	25.1%	6.1%	0.6%	0.1%	10.9M	210.0M	-1.9M	0.55	94.15	71	39	105,637	78,194
2015-11-10	$105.41	$106.00	5.9%	1.8%	5.3%	22.5%	6.2%	0.3%	0.4%	13.6M	170.0M	-1.9M	0.80	112.50	20,050	15,966	105,808	78,203
2015-11-11	$105.35	$106.00	6.1%	1.8%	4.8%	24.8%	6.3%	0.1%	0.0%	19.3M	180.3M	-1.8M	0.80	94.78	20,050	15,966	105,844	78,204
2015-11-12	$105.43	$106.00	6.2%	1.8%	4.8%	26.8%	6.2%	0.6%	0.2%	15.3M	179.2M	-1.9M	0.39	95.57	40,062	15,675	105,844	78,209
2015-11-13	$105.78	$106.00	6.1%	1.7%	5.0%	17.8%	6.0%	0.4%	0.1%	35.3M	49.6M	-2.4M	0.53	95.89	29,800	15,673	125,824	78,197
2015-11-16	$105.94	$106.00	5.9%	1.7%	5.1%	13.6%	5.6%	0.0%	0.3%	34.8M	12.6M	-2.3M	5.55	94.49	49	272	125,672	78,196
2015-11-17	$105.94	$106.00	6.1%	1.8%	5.0%	19.1%	6.2%	0.7%	-0.0%	35.2M	22.3M	-2.3M	0.53	97.73	29,719	15,822	125,820	78,283
2015-11-18	$105.87	$106.00	6.2%	1.8%	4.9%	20.5%	6.2%	0.1%	0.1%	46.2M	37.4M	-2.3M	0.53	97.33	29,705	15,728	125,833	78,276
2015-11-19	$106.11	$106.00	5.6%	1.6%	5.0%	5.9%	5.9%	-0.1%	0.3%	55.5M	-7.6M	-2.3M	0.61	100.89	35,679	21,814	125,858	78,279
2015-11-20	$105.98	$106.00	5.5%	1.6%	4.7%	2.0%	6.0%	0.1%	0.4%	43.6M	-8.9M	-2.3M	0.60	96.95	36,886	22,012	125,835	78,204
2015-11-23	$106.09	$106.00	5.8%	1.7%	4.6%	10.4%	5.8%	0.0%	0.3%	80.9M	-137.0M	-2.2M	0.62	98.26	142	88	123,155	61,450
2015-11-24	$106.19	$106.00	5.9%	1.7%	4.5%	11.8%	5.7%	-0.3%	0.0%	82.3M	-166.6M	-2.2M	0.38	95.81	141	53	123,218	61,497
2015-11-25	$106.24	$106.00	5.6%	1.6%	4.2%	5.4%	8.8%	-0.1%	0.3%	86.0M	-174.1M	-2.2M	0.82	100.98	26,654	21,757	123,493	61,483
2015-11-27	$106.36	$106.00	5.7%	1.6%	3.8%	8.0%	6.2%	-0.2%	0.0%	83.1M	-190.7M	-2.1M	0.59	96.19	26,655	15,761	123,488	61,505
2015-11-30	$106.40	$106.00	5.8%	1.7%	3.7%	9.1%	6.4%	0.0%	0.1%	94.5M	-208.1M	-2.1M	0.64	101.18	7,826	5,036	123,354	61,509