IEF Options History — December 2015

In December 2015, IEF traded between $105.42 and $107.01. ATM implied volatility averaged 5.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.0% (HV 20d: 5.9%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2015-12-18: Highest Volume — 61,064 contracts
2015-12-18: Largest IV drop — 15.5% change
2015-12-07: Highest IV Rank — 38.8%
2015-12-15: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.07	$105.42	$107.01	$106.80	$105.63
Max Pain	$105.41	$105.00	$106.00	$106.00	$105.00
ATM IV	5.9%	4.9%	6.9%	6.5%	5.6%
Expected Move	1.7%	1.4%	1.9%	1.9%	1.6%
HV 20d	5.9%	3.7%	7.0%	3.7%	6.8%
HV 60d	5.5%	5.2%	5.7%	5.3%	5.3%
IV Rank	16.6%	0.0%	38.8%	28.3%	16.0%
IV Percentile	19.7%	0.0%	56.7%	43.3%	3.6%
Term Structure	0.3%	-0.4%	1.1%	-0.4%	0.2%
VWIV	6.7%	5.2%	14.9%	6.4%	5.4%
Skew 25d	0.3%	-0.2%	1.0%	0.0%	0.0%
Skew 10d	0.6%	-1.2%	2.6%	1.8%	1.0%
Call IV 25d	5.8%	4.9%	6.8%	6.3%	5.8%
Put IV 25d	6.1%	5.5%	7.5%	6.3%	5.8%
Bid-Ask Spread %	100.81	93.98	117.06	95.11	95.43
Gamma HHI	0.31	0.16	0.63	0.36	0.17
Net GEX	65.7M	14.3M	189.9M	93.5M	17.7M
Net DEX	-101.8M	-333.6M	72.9M	-243.2M	-35.8M
Net VEX	-1.8M	-2.1M	-1.5M	-2.1M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.25	1.75	1.75	0.90
Total Volume	26,329	108	61,064	542	19,175
Total OI	162,716.455	94,986	205,612	194,261	99,808

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
2015-12-01	$106.80	$106.00	6.5%	1.9%	3.7%	28.3%	6.4%	0.0%	-0.4%	93.5M	-243.2M	-2.1M	1.75	95.11	197	345	127,758	66,503
2015-12-02	$106.55	$106.00	6.0%	1.7%	3.7%	16.0%	14.9%	0.1%	0.2%	95.4M	-213.5M	-2.1M	1.30	102.77	16,278	21,151	127,929	66,802
2015-12-03	$105.42	$105.00	6.5%	1.7%	5.3%	28.9%	6.0%	0.1%	0.3%	76.9M	7.5M	-1.9M	1.23	101.28	16,323	20,067	127,941	66,491
2015-12-04	$105.76	$105.00	6.1%	1.7%	5.5%	17.6%	5.8%	0.3%	0.5%	75.0M	-18.0M	-2.0M	0.84	95.07	17,222	14,527	128,015	70,262
2015-12-07	$106.11	$105.00	6.9%	1.7%	4.9%	38.8%	5.6%	0.0%	0.4%	84.8M	-118.7M	-2.0M	0.48	97.41	73	35	128,777	71,166
2015-12-08	$106.21	$105.00	6.7%	1.7%	4.9%	32.5%	6.7%	0.4%	0.4%	91.9M	-129.0M	-2.0M	0.83	98.29	17,257	14,408	128,880	71,189
2015-12-09	$106.31	$105.00	5.9%	1.7%	4.9%	11.6%	7.7%	0.3%	0.4%	90.4M	-159.6M	-1.9M	0.84	112.79	17,257	14,468	128,880	71,308
2015-12-10	$106.16	$105.00	5.8%	1.7%	4.9%	9.3%	7.4%	0.4%	0.2%	86.8M	-120.4M	-1.9M	0.84	110.59	17,309	14,507	128,880	71,342
2015-12-11	$107.01	$105.00	6.3%	1.8%	5.6%	21.6%	8.7%	0.6%	0.3%	82.4M	-271.9M	-1.9M	0.86	95.18	19,220	16,550	128,840	71,276
2015-12-14	$106.19	$105.00	6.6%	1.9%	6.2%	29.2%	6.9%	-0.1%	0.2%	86.3M	-138.8M	-1.9M	0.92	93.98	18,429	16,869	128,548	76,733
2015-12-15	$105.82	$106.00	6.7%	1.9%	6.3%	32.8%	7.0%	1.0%	-0.0%	83.6M	-22.4M	-1.9M	0.62	95.86	18,550	11,544	128,520	76,774
2015-12-16	$105.60	$106.00	5.9%	1.7%	6.4%	11.5%	7.9%	0.5%	0.3%	101.2M	72.9M	-1.7M	0.63	117.06	18,309	11,528	128,674	76,874
2015-12-17	$106.06	$105.00	6.2%	1.8%	6.6%	19.8%	5.8%	0.2%	0.3%	189.9M	-95.4M	-1.7M	0.60	97.70	19,562	11,650	128,727	76,885
2015-12-18	$106.43	$106.00	5.3%	1.5%	6.6%	0.0%	5.4%	0.5%	1.1%	32.4M	-333.6M	-1.7M	0.25	97.12	49,026	12,038	128,476	77,005
2015-12-21	$106.46	$106.00	5.5%	1.6%	6.6%	7.3%	5.6%	0.3%	0.2%	32.6M	-97.8M	-1.7M	0.39	98.99	14,061	5,427	57,851	37,146
2015-12-22	$106.15	$106.00	5.2%	1.5%	6.7%	0.0%	6.0%	0.0%	0.5%	26.5M	-80.0M	-1.7M	0.39	105.40	14,071	5,418	57,880	37,191
2015-12-23	$105.93	$106.00	5.0%	1.4%	6.7%	0.0%	5.2%	0.8%	0.5%	17.3M	-47.2M	-1.6M	0.38	101.07	14,091	5,397	57,891	37,173
2015-12-24	$105.97	$106.00	4.9%	1.4%	6.7%	0.0%	5.4%	0.7%	0.5%	22.4M	-58.6M	-1.6M	0.34	100.24	14,349	4,923	57,803	37,183
2015-12-28	$105.99	$105.00	5.4%	1.6%	6.7%	12.7%	5.3%	-0.2%	0.3%	26.5M	-70.2M	-1.6M	0.36	97.50	14,117	5,020	58,013	37,219
2015-12-29	$105.43	$105.00	5.5%	1.6%	7.0%	14.1%	5.6%	-0.0%	-0.2%	17.7M	-43.8M	-1.5M	0.91	102.50	10,117	9,185	58,089	37,304
2015-12-30	$105.44	$105.00	5.6%	1.6%	6.8%	17.1%	6.4%	0.1%	0.0%	14.3M	-23.1M	-1.6M	0.91	106.49	10,066	9,122	58,177	41,579
2015-12-31	$105.63	$105.00	5.6%	1.6%	6.8%	16.0%	5.4%	0.0%	0.2%	17.7M	-35.8M	-1.6M	0.90	95.43	10,066	9,109	58,199	41,609