IEF Options History — February 2017

In February 2017, IEF traded between $104.48 and $106.11. ATM implied volatility averaged 6.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.7% (HV 20d: 5.5%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2017-02-22: Highest Volume — 16,081 contracts
2017-02-28: Largest IV spike — 7.5% change
2017-02-28: Highest IV Rank — 27.1%
2017-02-28: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.22	$104.48	$106.11	$104.68	$105.65
Max Pain	$105.05	$105.00	$106.00	$106.00	$105.00
ATM IV	6.2%	5.8%	6.6%	6.6%	6.6%
Expected Move	1.8%	1.7%	1.9%	1.9%	1.9%
HV 20d	5.5%	4.4%	6.1%	6.1%	5.0%
HV 60d	5.7%	5.5%	6.4%	6.4%	5.5%
IV Rank	22.0%	18.0%	27.1%	26.6%	27.1%
IV Percentile	53.2%	32.1%	76.6%	67.1%	76.6%
Term Structure	0.0%	-0.6%	0.5%	0.0%	-0.6%
VWIV	5.9%	4.6%	7.7%	6.9%	5.5%
Skew 25d	0.2%	-0.3%	0.6%	0.6%	0.3%
Skew 10d	0.5%	-1.2%	2.4%	-0.9%	0.7%
Call IV 25d	6.2%	5.7%	6.7%	6.4%	6.7%
Put IV 25d	6.4%	6.0%	7.0%	7.0%	6.9%
Bid-Ask Spread %	81.20	37.76	109.96	109.96	94.98
Gamma HHI	0.26	0.21	0.32	0.22	0.27
Net GEX	27.1M	-22.8M	59.9M	-2.4M	55.7M
Net DEX	20.0M	-133.6M	146.9M	137.6M	-89.4M
Net VEX	-3.6M	-3.7M	-3.3M	-3.6M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.14	3.18	0.57	0.62
Total Volume	8,533.842	3,255	16,081	9,394	10,513
Total OI	152,126.158	140,318	162,536	140,318	159,805

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
2017-02-01	$104.68	$106.00	6.6%	1.9%	6.1%	26.6%	6.9%	0.6%	0.0%	-2.4M	137.6M	-3.6M	0.57	109.96	5,983	3,411	70,819	69,499
2017-02-02	$104.74	$105.00	6.2%	1.8%	6.1%	22.8%	5.5%	0.3%	-0.1%	5.0M	81.1M	-3.7M	3.18	89.92	811	2,581	76,030	72,268
2017-02-03	$104.76	$105.00	5.8%	1.8%	5.7%	18.0%	6.5%	-0.0%	0.2%	701.3K	102.8M	-3.6M	0.81	85.83	1,802	1,453	76,052	73,244
2017-02-06	$105.32	$105.00	6.2%	1.8%	5.8%	22.7%	7.0%	0.4%	0.2%	25.8M	39.3M	-3.6M	1.21	89.52	1,951	2,357	75,667	73,280
2017-02-07	$105.49	$105.00	6.6%	1.8%	5.6%	27.0%	7.7%	0.3%	-0.0%	33.2M	5.0M	-3.6M	1.29	88.27	1,813	2,337	75,807	74,270
2017-02-08	$105.86	$105.00	6.3%	1.8%	5.8%	24.2%	6.6%	0.1%	0.0%	44.4M	-39.3M	-3.7M	1.32	83.25	1,840	2,431	75,816	74,292
2017-02-09	$105.31	$105.00	6.0%	1.7%	6.1%	19.5%	7.0%	0.2%	0.5%	35.3M	22.3M	-3.6M	0.45	90.35	5,027	2,277	75,913	74,362
2017-02-10	$105.23	$105.00	6.1%	1.8%	6.1%	21.4%	6.2%	0.4%	0.3%	24.8M	56.7M	-3.5M	0.22	75.44	9,904	2,220	74,065	74,367
2017-02-13	$105.03	$105.00	6.0%	1.7%	6.0%	20.3%	7.0%	0.5%	0.3%	24.8M	61.0M	-3.5M	0.46	86.55	5,028	2,315	79,074	74,385
2017-02-14	$104.69	$105.00	5.9%	1.7%	5.8%	19.1%	5.0%	-0.1%	0.3%	-7.4M	122.2M	-3.4M	0.48	78.54	5,120	2,445	79,088	74,483
2017-02-15	$104.48	$105.00	5.9%	1.7%	5.3%	18.4%	5.8%	0.4%	0.4%	-22.8M	146.9M	-3.3M	0.21	81.68	11,270	2,390	79,044	74,651
2017-02-16	$104.91	$105.00	5.9%	1.7%	5.4%	18.5%	5.3%	0.1%	0.4%	28.9M	36.3M	-3.5M	0.46	64.26	5,748	2,632	86,159	74,677
2017-02-17	$105.19	$105.00	6.1%	1.8%	5.4%	21.3%	5.7%	0.5%	-0.1%	39.6M	-9.8M	-3.6M	1.60	37.76	4,193	6,717	87,753	74,783
2017-02-21	$105.15	$105.00	6.1%	1.8%	5.0%	21.6%	5.5%	-0.0%	-0.3%	30.1M	7.4M	-3.5M	0.74	38.47	4,075	3,019	77,212	66,912
2017-02-22	$105.27	$105.00	6.3%	1.8%	4.7%	23.3%	4.6%	0.1%	-0.3%	30.7M	6.3M	-3.6M	0.14	67.90	14,060	2,021	77,231	66,912
2017-02-23	$105.55	$105.00	6.0%	1.7%	4.4%	20.4%	4.9%	0.4%	0.1%	52.3M	-71.7M	-3.7M	0.76	88.25	6,078	4,621	87,238	67,073
2017-02-24	$106.11	$105.00	6.3%	1.8%	4.7%	23.3%	5.0%	0.3%	-0.2%	56.1M	-133.6M	-3.7M	0.77	102.44	6,240	4,792	89,282	69,701
2017-02-27	$105.70	$105.00	6.1%	1.8%	5.0%	21.6%	4.6%	-0.3%	-0.0%	59.9M	-101.5M	-3.7M	0.61	89.48	6,615	4,053	89,374	69,809
2017-02-28	$105.65	$105.00	6.6%	1.9%	5.0%	27.1%	5.5%	0.3%	-0.6%	55.7M	-89.4M	-3.7M	0.62	94.98	6,497	4,016	89,947	69,858