IEF Options History — January 2016

In January 2016, IEF traded between $106.01 and $108.99. ATM implied volatility averaged 6.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.2% (HV 20d: 5.3%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.63.

Notable Days

2016-01-06: Highest Volume — 14,343 contracts
2016-01-28: Largest IV spike — 11.4% change
2016-01-20: Highest IV Rank — 51.7%
2016-01-20: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.61	$106.01	$108.99	$106.04	$108.99
Max Pain	$107.00	$106.00	$108.00	$106.00	$108.00
ATM IV	6.4%	6.0%	7.1%	6.0%	6.2%
Expected Move	1.8%	1.7%	2.0%	1.7%	1.8%
HV 20d	5.3%	4.4%	6.1%	5.8%	4.5%
HV 60d	5.5%	5.3%	5.6%	5.3%	5.3%
IV Rank	36.3%	25.3%	51.7%	27.0%	30.3%
IV Percentile	40.4%	17.1%	68.3%	19.8%	28.6%
Term Structure	0.4%	-0.2%	1.1%	0.3%	0.6%
VWIV	6.6%	5.9%	7.6%	5.9%	6.4%
Skew 25d	-0.2%	-0.8%	0.3%	-0.0%	-0.6%
Skew 10d	-0.2%	-3.3%	3.1%	-0.1%	-1.1%
Call IV 25d	6.6%	6.0%	7.8%	6.0%	6.4%
Put IV 25d	6.3%	5.8%	7.0%	6.0%	5.8%
Bid-Ask Spread %	98.60	92.19	115.22	98.08	95.32
Gamma HHI	0.25	0.17	0.76	0.17	0.19
Net GEX	51.0M	22.9M	246.6M	23.5M	34.4M
Net DEX	-178.6M	-258.0M	-65.5M	-74.2M	-258.0M
Net VEX	-1.5M	-1.7M	-1.2M	-1.7M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.88	2.64	2.22	0.89
Total Volume	11,297.842	6,474	14,343	13,142	6,491
Total OI	90,336.526	77,858	100,632	99,835	80,252

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
2016-01-04	$106.04	$106.00	6.0%	1.7%	5.8%	27.0%	5.9%	-0.0%	0.3%	23.5M	-74.2M	-1.7M	2.22	98.08	4,082	9,060	58,209	41,626
2016-01-05	$106.01	$106.00	6.2%	1.7%	5.7%	30.3%	6.0%	0.3%	0.5%	22.9M	-65.5M	-1.6M	1.78	95.63	5,093	9,052	58,229	41,695
2016-01-06	$106.65	$106.00	6.3%	1.7%	6.0%	33.1%	6.0%	-0.2%	0.9%	34.0M	-106.0M	-1.6M	1.78	100.94	5,160	9,183	58,233	41,700
2016-01-07	$106.81	$106.00	6.4%	1.8%	6.0%	34.5%	6.1%	-0.4%	0.4%	39.0M	-117.9M	-1.6M	1.78	95.10	5,140	9,173	58,183	41,694
2016-01-08	$107.14	$106.00	6.3%	1.8%	6.1%	31.9%	6.0%	-0.2%	0.0%	55.4M	-162.8M	-1.5M	1.84	95.31	4,776	8,775	58,183	41,702
2016-01-11	$106.82	$106.00	6.5%	1.8%	6.1%	38.5%	6.2%	0.0%	0.1%	39.9M	-128.5M	-1.6M	2.29	94.67	3,879	8,880	58,881	41,751
2016-01-12	$107.22	$106.00	6.2%	1.7%	5.6%	30.5%	6.2%	-0.1%	1.1%	59.9M	-170.0M	-1.5M	2.53	99.44	3,471	8,782	58,793	41,819
2016-01-13	$107.70	$106.00	6.4%	1.8%	5.0%	34.7%	6.7%	-0.2%	0.2%	84.5M	-209.0M	-1.5M	2.57	112.41	3,445	8,852	58,675	41,858
2016-01-14	$107.48	$107.00	6.0%	1.7%	4.9%	25.3%	6.1%	0.1%	0.7%	72.7M	-185.3M	-1.5M	2.64	96.21	3,354	8,849	58,716	41,852
2016-01-15	$108.03	$107.00	6.4%	1.8%	5.0%	36.2%	6.7%	0.1%	0.3%	246.6M	-248.5M	-1.6M	1.54	94.23	5,485	8,454	58,727	41,887
2016-01-19	$107.85	$107.00	7.0%	2.0%	4.9%	49.3%	7.3%	-0.2%	0.1%	26.1M	-180.9M	-1.5M	1.25	100.08	5,212	6,540	46,240	31,618
2016-01-20	$108.38	$108.00	7.1%	2.0%	5.0%	51.7%	7.6%	-0.8%	-0.2%	29.8M	-218.1M	-1.5M	1.30	92.19	4,991	6,497	46,370	31,621
2016-01-21	$108.13	$108.00	7.0%	2.0%	5.2%	48.6%	7.1%	-0.6%	0.2%	31.9M	-213.7M	-1.4M	1.69	92.78	4,603	7,785	46,983	31,667
2016-01-22	$107.88	$108.00	6.7%	1.9%	5.1%	41.4%	7.3%	-0.4%	0.4%	30.8M	-187.3M	-1.4M	0.89	94.96	4,534	4,019	47,473	32,298
2016-01-25	$108.22	$108.00	6.6%	1.9%	5.0%	39.4%	7.2%	-0.4%	0.5%	34.1M	-209.0M	-1.4M	0.92	94.13	4,521	4,149	47,476	31,925
2016-01-26	$108.31	$108.00	6.4%	1.8%	5.0%	35.6%	7.0%	-0.1%	0.6%	34.8M	-213.3M	-1.3M	1.15	102.26	3,815	4,377	47,473	32,071
2016-01-27	$108.38	$108.00	6.1%	1.7%	5.0%	27.4%	6.9%	-0.5%	0.7%	35.3M	-220.3M	-1.4M	1.02	115.22	3,823	3,883	47,853	32,394
2016-01-28	$108.51	$108.00	6.8%	1.9%	4.4%	43.7%	6.7%	-0.5%	0.1%	33.6M	-224.4M	-1.3M	0.88	104.46	3,441	3,033	47,854	32,413
2016-01-29	$108.99	$108.00	6.2%	1.8%	4.5%	30.3%	6.4%	-0.6%	0.6%	34.4M	-258.0M	-1.2M	0.89	95.32	3,443	3,048	47,828	32,424