IEF Options History — August 2016

In August 2016, IEF traded between $111.49 and $112.59. ATM implied volatility averaged 5.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.7% (HV 20d: 5.0%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 6.95.

Notable Days

2016-08-03: Highest Volume — 77,550 contracts
2016-08-12: Largest IV spike — 9.0% change
2016-08-02: Highest IV Rank — 22.2%
2016-08-02: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.08	$111.49	$112.59	$112.53	$111.81
Max Pain	$112.96	$112.00	$113.00	$113.00	$113.00
ATM IV	5.7%	5.2%	6.2%	5.9%	5.3%
Expected Move	1.6%	1.5%	1.8%	1.7%	1.5%
HV 20d	5.0%	4.7%	5.4%	5.3%	4.7%
HV 60d	6.0%	5.7%	6.2%	6.0%	5.7%
IV Rank	16.9%	10.6%	22.2%	18.6%	11.7%
IV Percentile	21.1%	3.6%	43.7%	27.0%	4.8%
Term Structure	0.2%	-0.1%	0.8%	-0.1%	0.5%
VWIV	5.7%	4.1%	7.1%	6.1%	6.0%
Skew 25d	0.3%	-0.3%	0.7%	0.2%	0.4%
Skew 10d	0.6%	-2.2%	2.5%	0.6%	0.6%
Call IV 25d	5.8%	5.6%	6.3%	5.9%	5.7%
Put IV 25d	6.1%	5.4%	6.7%	6.2%	6.1%
Bid-Ask Spread %	90.42	27.78	109.15	27.78	95.04
Gamma HHI	0.23	0.15	0.30	0.19	0.26
Net GEX	-54.9M	-102.2M	-24.0M	-25.7M	-31.1M
Net DEX	6.5M	-84.8M	78.4M	-84.8M	30.8M
Net VEX	-2.4M	-2.6M	-2.2M	-2.2M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.95	0.04	16.16	4.24	4.37
Total Volume	35,900.739	119	77,550	22,825	23,690
Total OI	151,840.391	131,082	169,188	131,082	139,806

Daily Data (23 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
2016-08-01	$112.53	$113.00	5.9%	1.7%	5.3%	18.6%	6.1%	0.2%	-0.1%	-25.7M	-84.8M	-2.2M	4.24	27.78	4,355	18,470	46,310	84,772
2016-08-02	$112.26	$113.00	6.2%	1.8%	4.9%	22.2%	5.4%	0.4%	0.3%	-46.9M	-7.9M	-2.5M	3.67	94.88	4,528	16,625	46,288	90,608
2016-08-03	$112.32	$112.00	5.9%	1.7%	4.9%	18.4%	4.1%	0.1%	0.0%	-51.1M	-22.1M	-2.4M	16.16	100.42	4,518	73,032	46,244	90,686
2016-08-04	$112.59	$113.00	5.9%	1.7%	5.0%	19.2%	5.9%	0.3%	0.2%	-41.7M	-40.3M	-2.5M	10.21	89.28	4,308	44,000	46,265	113,303
2016-08-05	$111.90	$113.00	6.0%	1.6%	5.4%	19.7%	5.5%	0.1%	0.2%	-78.1M	36.3M	-2.6M	8.15	85.14	5,543	45,185	46,275	113,361
2016-08-08	$111.83	$113.00	6.1%	1.7%	5.1%	20.8%	5.7%	0.1%	0.4%	-89.6M	62.9M	-2.5M	7.95	86.58	5,704	45,365	47,456	114,541
2016-08-09	$112.22	$113.00	5.8%	1.6%	4.9%	17.6%	5.9%	0.5%	0.6%	-66.1M	11.0M	-2.4M	11.43	90.34	4,405	50,340	47,527	114,629
2016-08-10	$112.52	$113.00	5.3%	1.5%	4.9%	12.1%	5.9%	0.4%	0.8%	-45.6M	-37.7M	-2.4M	11.22	89.41	4,490	50,372	47,539	117,709
2016-08-11	$111.94	$113.00	5.2%	1.5%	5.0%	10.6%	4.4%	-0.3%	0.6%	-78.0M	23.0M	-2.4M	10.30	109.15	4,893	50,384	47,543	117,727
2016-08-12	$112.38	$113.00	5.7%	1.6%	5.0%	16.3%	4.6%	0.1%	0.4%	-53.5M	-35.5M	-2.4M	8.41	86.38	5,989	50,387	47,432	117,757
2016-08-15	$112.05	$113.00	5.7%	1.6%	5.1%	16.8%	6.6%	0.3%	0.1%	-83.9M	-2.0M	-2.3M	7.93	89.60	5,979	47,396	49,050	117,762
2016-08-16	$111.88	$113.00	5.9%	1.7%	5.0%	18.8%	6.5%	0.6%	-0.0%	-102.2M	37.9M	-2.4M	4.47	89.64	9,736	43,472	49,054	117,766
2016-08-17	$112.04	$113.00	5.8%	1.7%	5.0%	18.1%	5.8%	0.5%	0.1%	-100.8M	20.9M	-2.4M	8.92	95.83	12	107	45,117	123,764
2016-08-18	$112.24	$113.00	5.6%	1.6%	5.0%	15.8%	5.7%	0.6%	0.4%	-91.1M	-10.5M	-2.3M	0.04	89.84	554	23	45,114	123,782
2016-08-19	$111.85	$113.00	5.7%	1.6%	5.1%	15.9%	6.8%	0.7%	0.2%	-45.1M	78.4M	-2.4M	6.52	90.90	4,683	30,553	45,398	123,790
2016-08-22	$112.11	$113.00	5.8%	1.7%	5.2%	17.2%	7.1%	0.6%	0.2%	-34.5M	13.9M	-2.6M	6.71	91.97	4,330	29,038	41,445	95,274
2016-08-23	$112.12	$113.00	5.5%	1.6%	5.2%	14.5%	5.7%	0.4%	0.3%	-24.0M	-28.7M	-2.2M	7.26	96.21	4,317	31,339	41,556	95,427
2016-08-24	$112.06	$113.00	5.9%	1.7%	5.0%	18.7%	6.0%	0.4%	-0.1%	-31.0M	2.2M	-2.5M	5.87	92.24	71	417	41,310	96,801
2016-08-25	$111.91	$113.00	5.7%	1.6%	5.0%	17.0%	5.3%	0.7%	-0.0%	-34.9M	23.2M	-2.5M	4.46	92.88	4,364	19,457	41,537	97,216
2016-08-26	$111.49	$113.00	6.0%	1.7%	4.8%	19.6%	4.9%	0.1%	-0.1%	-52.6M	69.6M	-2.5M	4.55	107.70	4,286	19,507	41,555	97,220
2016-08-29	$111.92	$113.00	5.5%	1.6%	4.8%	14.7%	5.8%	0.3%	0.3%	-26.8M	-16.1M	-2.2M	3.60	93.96	5,386	19,364	41,577	97,297
2016-08-30	$111.89	$113.00	5.5%	1.6%	4.7%	13.6%	5.9%	0.5%	0.3%	-29.1M	25.6M	-2.4M	3.50	94.53	5,503	19,240	42,324	97,415
2016-08-31	$111.81	$113.00	5.3%	1.5%	4.7%	11.7%	6.0%	0.4%	0.5%	-31.1M	30.8M	-2.4M	4.37	95.04	4,409	19,281	42,383	97,423