IEF Options History — October 2016

In October 2016, IEF traded between $109.95 and $111.47. ATM implied volatility averaged 5.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.7% (HV 20d: 3.7%). Max pain ranged from $110.00 to $112.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2016-10-18: Highest Volume — 33,929 contracts
2016-10-10: Largest IV spike — 12.7% change
2016-10-31: Highest IV Rank — 18.4%
2016-10-31: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.50	$109.95	$111.47	$111.47	$110.07
Max Pain	$111.71	$110.00	$112.00	$112.00	$110.00
ATM IV	5.4%	4.9%	5.9%	5.4%	5.9%
Expected Move	1.6%	1.4%	1.7%	1.5%	1.7%
HV 20d	3.7%	3.4%	4.3%	4.3%	3.4%
HV 60d	4.3%	3.9%	4.6%	4.6%	3.9%
IV Rank	12.7%	6.9%	18.4%	12.8%	18.4%
IV Percentile	14.5%	0.8%	42.9%	10.7%	42.9%
Term Structure	0.1%	-0.6%	0.5%	0.5%	-0.6%
VWIV	5.5%	4.9%	5.9%	5.5%	5.8%
Skew 25d	0.4%	-0.0%	0.8%	0.4%	0.7%
Skew 10d	0.9%	-1.9%	3.2%	0.1%	2.8%
Call IV 25d	5.4%	4.9%	5.8%	5.2%	5.8%
Put IV 25d	5.8%	5.3%	6.4%	5.6%	6.4%
Bid-Ask Spread %	101.89	71.42	116.76	105.61	99.61
Gamma HHI	0.26	0.21	0.32	0.25	0.29
Net GEX	-39.1M	-66.8M	-736.9K	-736.9K	-28.3M
Net DEX	50.4M	-54.1M	116.8M	-54.1M	-10.1M
Net VEX	-2.6M	-3.3M	-1.9M	-2.1M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.58	1.23	0.69	0.66
Total Volume	15,556.619	6,763	33,929	8,441	12,396
Total OI	117,318.048	106,747	137,768	112,085	116,122

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
2016-10-03	$111.47	$112.00	5.4%	1.5%	4.3%	12.8%	5.5%	0.4%	0.5%	-736.9K	-54.1M	-2.1M	0.69	105.61	4,988	3,453	44,084	68,001
2016-10-04	$110.97	$112.00	5.3%	1.5%	4.2%	12.1%	5.3%	0.5%	0.2%	-26.1M	27.9M	-2.4M	0.80	94.93	4,264	3,397	44,088	68,347
2016-10-05	$110.69	$112.00	5.2%	1.5%	4.2%	10.9%	5.2%	-0.0%	0.4%	-40.9M	61.1M	-2.4M	0.92	100.03	4,283	3,951	44,089	68,341
2016-10-06	$110.49	$112.00	5.4%	1.7%	3.8%	13.0%	5.7%	0.5%	0.0%	-39.5M	65.1M	-2.4M	0.60	81.76	4,285	2,570	44,133	69,075
2016-10-07	$110.64	$112.00	4.9%	1.6%	3.6%	6.9%	5.6%	0.3%	0.1%	-43.5M	62.8M	-2.3M	0.60	71.42	4,289	2,567	44,147	69,257
2016-10-10	$110.30	$112.00	5.5%	1.7%	3.7%	14.3%	5.8%	0.4%	0.1%	-62.8M	91.1M	-2.3M	0.59	88.66	4,291	2,511	44,153	69,374
2016-10-11	$110.36	$112.00	5.4%	1.6%	3.5%	13.4%	5.5%	0.5%	0.3%	-59.0M	95.6M	-2.3M	0.58	100.06	4,276	2,487	44,155	69,403
2016-10-12	$110.27	$112.00	5.6%	1.6%	3.4%	15.5%	5.7%	0.3%	0.2%	-66.8M	113.3M	-2.3M	0.62	114.86	4,366	2,697	44,160	69,383
2016-10-13	$110.58	$112.00	5.5%	1.6%	3.6%	14.4%	5.9%	0.4%	-0.1%	-44.9M	67.6M	-2.2M	0.61	114.31	4,362	2,653	44,180	69,235
2016-10-14	$110.21	$112.00	5.6%	1.6%	3.7%	14.9%	5.5%	0.5%	0.1%	-62.7M	100.2M	-2.2M	0.75	94.97	6,825	5,139	44,134	69,230
2016-10-17	$110.48	$112.00	5.9%	1.7%	3.8%	18.3%	5.8%	0.4%	-0.1%	-62.8M	71.1M	-1.9M	0.96	102.01	17,275	16,625	42,678	68,784
2016-10-18	$110.63	$112.00	5.4%	1.6%	3.8%	13.1%	5.5%	0.8%	0.1%	-40.9M	68.9M	-3.3M	0.96	100.23	17,341	16,588	55,654	81,831
2016-10-19	$110.62	$112.00	5.5%	1.6%	3.8%	13.8%	5.6%	0.4%	0.1%	-42.0M	10.7M	-3.0M	0.93	101.94	17,397	16,255	55,697	81,831
2016-10-20	$110.60	$112.00	5.2%	1.5%	3.6%	11.0%	5.4%	0.6%	0.3%	-38.0M	54.7M	-3.3M	0.93	116.76	17,424	16,212	55,815	81,946
2016-10-21	$110.75	$112.00	5.1%	1.5%	3.6%	9.0%	4.9%	0.5%	-0.0%	-38.3M	-23.6M	-2.9M	0.84	115.02	7,339	6,150	55,822	81,946
2016-10-24	$110.54	$112.00	4.9%	1.4%	3.5%	7.1%	4.9%	0.5%	0.4%	-22.1M	21.2M	-3.0M	1.16	113.40	7,532	8,721	46,111	60,636
2016-10-25	$110.61	$112.00	5.0%	1.4%	3.4%	8.1%	5.2%	0.5%	0.2%	-19.7M	21.6M	-3.0M	1.14	116.72	7,291	8,330	46,351	61,383
2016-10-26	$110.39	$112.00	5.4%	1.5%	3.4%	12.6%	5.4%	0.5%	0.0%	-21.6M	2.7M	-3.0M	1.09	99.31	11,272	12,246	46,375	61,622
2016-10-27	$109.97	$110.00	5.4%	1.6%	3.5%	13.1%	5.2%	0.4%	-0.2%	-30.7M	116.8M	-3.3M	1.23	109.15	7,359	9,058	50,401	65,623
2016-10-28	$109.95	$110.00	5.5%	1.6%	3.4%	14.2%	5.5%	0.3%	-0.0%	-29.5M	94.5M	-3.1M	1.22	99.01	7,314	8,910	50,452	65,630
2016-10-31	$110.07	$110.00	5.9%	1.7%	3.4%	18.4%	5.8%	0.7%	-0.6%	-28.3M	-10.1M	-2.9M	0.66	99.61	7,483	4,913	50,458	65,664