IEF Options History — May 2016

In May 2016, IEF traded between $109.43 and $110.91. ATM implied volatility averaged 5.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.6% (HV 20d: 5.1%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.31.

Notable Days

2016-05-04: Highest Volume — 21,380 contracts
2016-05-31: Largest IV spike — 9.4% change
2016-05-19: Highest IV Rank — 37.9%
2016-05-19: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.08	$109.43	$110.91	$109.55	$109.74
Max Pain	$108.14	$108.00	$109.00	$109.00	$108.00
ATM IV	5.7%	5.2%	6.1%	6.0%	5.7%
Expected Move	1.6%	1.5%	1.7%	1.7%	1.6%
HV 20d	5.1%	4.5%	5.7%	4.8%	5.1%
HV 60d	5.2%	5.0%	5.6%	5.5%	5.0%
IV Rank	29.4%	18.1%	37.9%	35.3%	29.2%
IV Percentile	15.0%	1.2%	36.1%	27.8%	11.5%
Term Structure	-0.0%	-3.0%	0.7%	-0.1%	0.3%
VWIV	5.9%	5.1%	6.6%	5.9%	6.1%
Skew 25d	-0.0%	-0.4%	0.3%	-0.2%	-0.1%
Skew 10d	-0.1%	-1.5%	3.1%	-1.5%	0.6%
Call IV 25d	5.9%	5.4%	6.4%	6.2%	6.1%
Put IV 25d	5.9%	5.3%	6.4%	6.0%	6.0%
Bid-Ask Spread %	89.49	76.37	103.63	86.67	90.76
Gamma HHI	0.26	0.21	0.35	0.22	0.29
Net GEX	49.7M	40.7M	63.4M	50.3M	42.7M
Net DEX	-283.0M	-391.1M	-198.0M	-243.3M	-234.8M
Net VEX	-2.4M	-2.7M	-2.0M	-2.7M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.31	1.29	4.68	1.92	3.90
Total Volume	14,137.143	11,248	21,380	20,551	11,515
Total OI	96,101.619	95,052	97,346	95,052	95,958

Daily Data (21 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
2016-05-02	$109.55	$109.00	6.0%	1.7%	4.8%	35.3%	5.9%	-0.2%	-0.1%	50.3M	-243.3M	-2.7M	1.92	86.67	7,040	13,511	61,959	33,093
2016-05-03	$110.12	$109.00	6.0%	1.7%	5.0%	35.1%	6.6%	0.2%	0.2%	46.9M	-293.5M	-2.5M	1.94	87.44	7,035	13,640	61,965	33,128
2016-05-04	$110.31	$109.00	5.8%	1.7%	5.0%	31.4%	5.1%	-0.1%	0.1%	45.4M	-272.1M	-2.5M	1.76	95.26	7,735	13,645	61,959	33,264
2016-05-05	$110.63	$108.00	5.7%	1.7%	4.7%	29.1%	6.3%	-0.0%	0.2%	46.3M	-312.0M	-2.5M	1.29	84.38	7,811	10,097	62,677	33,270
2016-05-06	$110.38	$108.00	5.4%	1.6%	4.7%	22.4%	5.9%	0.1%	-0.3%	53.7M	-339.1M	-2.5M	1.32	78.00	7,683	10,179	62,744	33,340
2016-05-09	$110.56	$108.00	5.7%	1.7%	4.8%	29.2%	5.9%	-0.1%	-0.4%	50.3M	-336.4M	-2.5M	3.46	76.37	2,938	10,159	62,678	33,420
2016-05-10	$110.60	$108.00	5.7%	1.7%	4.5%	29.2%	5.9%	-0.1%	-0.5%	59.7M	-387.9M	-2.0M	3.47	86.29	2,938	10,183	62,899	33,480
2016-05-11	$110.74	$108.00	5.9%	1.7%	4.6%	34.0%	5.9%	0.0%	-0.7%	54.0M	-366.2M	-2.3M	3.45	76.60	2,949	10,167	62,899	33,505
2016-05-12	$110.49	$108.00	5.8%	1.7%	4.6%	31.5%	6.2%	-0.2%	-0.4%	55.7M	-344.2M	-2.4M	3.82	95.87	2,675	10,227	62,910	33,510
2016-05-13	$110.91	$108.00	5.9%	1.7%	4.7%	32.9%	5.8%	-0.1%	0.0%	54.3M	-376.9M	-2.1M	3.61	89.96	2,681	9,684	62,915	33,687
2016-05-16	$110.46	$108.00	5.8%	1.7%	4.9%	32.3%	5.9%	0.2%	-3.0%	56.7M	-391.1M	-2.2M	3.68	88.70	2,672	9,831	62,922	33,754
2016-05-17	$110.48	$108.00	5.9%	1.7%	4.9%	32.5%	5.8%	0.2%	-0.5%	63.4M	-338.9M	-2.4M	3.69	83.15	2,662	9,831	62,928	33,911
2016-05-18	$109.46	$108.00	5.9%	1.7%	5.7%	34.1%	6.3%	0.3%	0.6%	52.7M	-198.0M	-2.4M	4.68	98.53	2,059	9,646	62,989	33,928
2016-05-19	$109.58	$108.00	6.1%	1.7%	5.7%	37.9%	6.3%	-0.2%	0.5%	60.7M	-214.2M	-2.4M	3.86	94.79	2,501	9,643	63,002	33,891
2016-05-20	$109.65	$108.00	6.0%	1.7%	5.7%	35.1%	5.8%	-0.4%	0.4%	40.7M	-214.1M	-2.4M	2.90	86.91	3,653	10,581	63,454	33,892
2016-05-23	$109.70	$108.00	5.4%	1.6%	5.7%	23.6%	5.8%	0.2%	0.7%	42.1M	-223.1M	-2.4M	4.35	88.34	2,401	10,434	61,288	34,006
2016-05-24	$109.50	$108.00	5.4%	1.6%	5.6%	23.9%	5.9%	-0.1%	0.7%	42.3M	-204.6M	-2.3M	4.14	97.84	2,392	9,902	61,519	34,007
2016-05-25	$109.43	$108.00	5.3%	1.5%	5.2%	21.8%	5.6%	0.2%	0.7%	42.1M	-207.4M	-2.4M	4.04	91.10	2,273	9,174	61,561	34,147
2016-05-26	$109.82	$108.00	5.2%	1.5%	5.2%	18.1%	5.4%	0.1%	0.5%	42.1M	-236.3M	-2.3M	4.03	103.63	2,283	9,202	61,611	34,188
2016-05-27	$109.57	$108.00	5.2%	1.5%	5.3%	18.8%	5.4%	-0.2%	0.6%	41.1M	-209.0M	-2.4M	4.19	98.71	2,169	9,079	61,680	34,196
2016-05-31	$109.74	$108.00	5.7%	1.6%	5.1%	29.2%	6.1%	-0.1%	0.3%	42.7M	-234.8M	-2.2M	3.90	90.76	2,352	9,163	61,763	34,195