IEF Options History — March 2016

In March 2016, IEF traded between $108.40 and $110.36. ATM implied volatility averaged 6.1%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.1% (HV 20d: 6.0%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.57.

Notable Days

2016-03-18: Highest Volume — 45,254 contracts
2016-03-04: Largest IV drop — 10.9% change
2016-03-08: Highest IV Rank — 43.7%
2016-03-08: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.22	$108.40	$110.36	$109.56	$110.36
Max Pain	$109.27	$109.00	$110.00	$109.00	$109.00
ATM IV	6.1%	5.4%	6.8%	6.5%	5.4%
Expected Move	1.8%	1.5%	2.0%	1.9%	1.5%
HV 20d	6.0%	5.2%	6.9%	6.9%	5.3%
HV 60d	5.7%	5.5%	6.3%	6.3%	5.7%
IV Rank	28.1%	11.7%	43.7%	37.1%	11.7%
IV Percentile	26.6%	1.6%	59.5%	46.0%	1.6%
Term Structure	0.0%	-1.0%	0.8%	0.2%	0.5%
VWIV	6.2%	3.9%	7.3%	6.9%	5.7%
Skew 25d	-0.1%	-0.7%	0.4%	-0.7%	-0.5%
Skew 10d	-0.5%	-2.3%	1.5%	-2.1%	1.5%
Call IV 25d	6.4%	5.8%	7.3%	7.3%	6.2%
Put IV 25d	6.3%	5.3%	7.0%	6.5%	5.8%
Bid-Ask Spread %	66.68	11.33	118.58	100.38	99.95
Gamma HHI	0.37	0.28	0.53	0.37	0.30
Net GEX	45.9M	25.0M	107.0M	35.9M	40.1M
Net DEX	-226.4M	-356.7M	-113.8M	-250.3M	-327.3M
Net VEX	-2.2M	-2.4M	-1.9M	-2.1M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.58	3.34	0.58	2.57
Total Volume	28,930.273	24,696	45,254	26,322	24,986
Total OI	108,614.227	102,585	130,852	107,915	103,867

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
2016-03-01	$109.56	$109.00	6.5%	1.9%	6.9%	37.1%	6.9%	-0.7%	0.2%	35.9M	-250.3M	-2.1M	0.58	100.38	16,672	9,650	59,062	48,853
2016-03-02	$109.37	$109.00	6.3%	1.8%	6.5%	31.9%	6.1%	-0.2%	0.3%	32.7M	-195.6M	-2.2M	0.62	97.59	15,654	9,649	59,047	48,899
2016-03-03	$109.47	$110.00	6.5%	1.9%	6.5%	38.3%	6.9%	-0.3%	-0.0%	34.6M	-224.8M	-2.1M	0.63	96.24	15,616	9,786	59,064	48,911
2016-03-04	$109.15	$110.00	5.8%	1.8%	6.5%	21.6%	6.5%	-0.2%	-0.0%	38.0M	-222.8M	-2.1M	0.81	89.28	15,640	12,637	59,065	48,936
2016-03-07	$108.91	$110.00	6.3%	1.9%	6.5%	31.9%	6.7%	-0.1%	-0.9%	32.8M	-189.0M	-2.1M	0.63	90.26	15,631	9,848	59,096	51,902
2016-03-08	$109.54	$110.00	6.8%	2.0%	6.3%	43.7%	7.1%	-0.2%	-1.0%	41.4M	-283.5M	-2.0M	0.63	107.12	15,666	9,894	59,170	49,473
2016-03-09	$109.13	$110.00	6.7%	1.9%	6.4%	41.2%	6.9%	-0.2%	0.1%	37.7M	-233.2M	-2.0M	0.60	86.69	17,818	10,676	59,150	49,449
2016-03-10	$108.71	$110.00	6.6%	1.9%	6.3%	40.6%	7.3%	-0.3%	-0.3%	36.0M	-191.5M	-2.0M	0.65	94.48	16,573	10,832	59,752	50,412
2016-03-11	$108.40	$109.00	6.6%	1.9%	6.0%	38.6%	6.7%	0.1%	-0.1%	25.0M	-115.2M	-2.1M	0.61	44.13	16,597	10,177	59,770	50,502
2016-03-14	$108.63	$109.00	6.6%	1.9%	5.7%	39.3%	6.9%	-0.1%	-0.4%	38.4M	-170.9M	-2.0M	0.61	11.33	16,526	10,162	59,774	50,898
2016-03-15	$108.49	$109.00	6.5%	1.9%	5.6%	38.3%	6.7%	-0.0%	-0.1%	32.7M	-113.8M	-2.0M	0.58	26.21	16,567	9,637	59,791	50,846
2016-03-16	$108.93	$109.00	5.9%	1.7%	5.8%	23.4%	6.2%	-0.4%	0.1%	69.9M	-167.1M	-1.9M	1.35	118.58	16,542	22,379	59,864	50,840
2016-03-17	$109.14	$109.00	6.0%	1.7%	5.5%	25.8%	5.6%	-0.3%	-0.4%	98.9M	-250.9M	-2.0M	0.86	29.06	23,018	19,800	59,890	60,790
2016-03-18	$109.38	$109.00	5.9%	1.7%	5.6%	22.3%	6.1%	0.1%	-0.2%	107.0M	-330.1M	-2.2M	1.88	56.79	15,734	29,520	74,879	55,973
2016-03-21	$109.04	$109.00	5.9%	1.7%	5.7%	23.5%	5.6%	0.3%	0.1%	38.8M	-189.5M	-2.4M	3.25	76.67	6,878	22,375	65,234	37,351
2016-03-22	$108.83	$109.00	5.6%	1.6%	5.6%	16.6%	3.9%	-0.1%	0.6%	42.9M	-173.9M	-2.4M	3.31	21.52	6,851	22,699	65,285	37,374
2016-03-23	$109.32	$109.00	5.7%	1.6%	5.9%	18.5%	5.8%	-0.1%	0.5%	47.4M	-243.5M	-2.4M	3.33	33.15	6,834	22,739	65,297	37,583
2016-03-24	$109.18	$109.00	5.6%	1.6%	5.8%	16.7%	5.3%	0.2%	0.5%	43.0M	-212.6M	-2.4M	3.34	21.93	6,883	22,988	65,304	37,633
2016-03-28	$109.34	$109.00	5.9%	1.7%	5.6%	22.8%	5.2%	0.1%	0.5%	44.6M	-218.6M	-2.3M	2.61	27.74	6,881	17,955	65,345	37,901
2016-03-29	$110.07	$109.00	5.7%	1.6%	6.1%	18.5%	5.8%	0.4%	0.8%	42.3M	-356.7M	-2.0M	2.56	33.77	6,958	17,842	65,352	38,160
2016-03-30	$109.95	$109.00	5.6%	1.6%	5.2%	16.2%	5.7%	-0.7%	0.3%	50.3M	-319.8M	-2.3M	2.54	104.01	6,968	17,728	65,529	38,240
2016-03-31	$110.36	$109.00	5.4%	1.5%	5.3%	11.7%	5.7%	-0.5%	0.5%	40.1M	-327.3M	-2.2M	2.57	99.95	7,007	17,979	65,586	38,281