IEF Options History — April 2017

In April 2017, IEF traded between $105.64 and $107.39. ATM implied volatility averaged 6.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.8% (HV 20d: 4.2%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 7.17.

Notable Days

2017-04-28: Highest Volume — 40,702 contracts
2017-04-12: Largest IV spike — 19.7% change
2017-04-21: Highest IV Rank — 30.6%
2017-04-21: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.45	$105.64	$107.39	$105.94	$106.61
Max Pain	$106.16	$105.00	$107.00	$105.00	$107.00
ATM IV	6.0%	4.9%	7.1%	5.2%	5.8%
Expected Move	1.8%	1.4%	2.0%	1.5%	1.7%
HV 20d	4.2%	3.6%	4.7%	4.7%	4.2%
HV 60d	5.0%	4.7%	5.3%	5.3%	4.8%
IV Rank	16.6%	2.3%	30.6%	10.3%	14.0%
IV Percentile	43.7%	0.8%	85.7%	9.1%	33.7%
Term Structure	-0.1%	-0.9%	1.1%	0.9%	-0.3%
VWIV	6.3%	3.9%	7.5%	5.0%	5.5%
Skew 25d	-0.4%	-1.0%	0.5%	-0.2%	-0.3%
Skew 10d	-0.6%	-3.2%	3.0%	1.9%	3.0%
Call IV 25d	6.6%	5.2%	8.0%	5.4%	6.1%
Put IV 25d	6.1%	5.1%	7.0%	5.1%	5.8%
Bid-Ask Spread %	64.41	23.13	112.02	94.27	41.74
Gamma HHI	0.34	0.16	0.47	0.41	0.33
Net GEX	10.4M	-73.8M	72.6M	55.6M	-68.3M
Net DEX	-81.2M	-304.6M	248.6M	-110.7M	159.7M
Net VEX	-4.0M	-4.5M	-3.4M	-3.4M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.17	0.77	21.21	0.77	21.21
Total Volume	17,728.158	6,060	40,702	10,200	40,702
Total OI	170,622.211	139,741	200,662	139,741	188,132

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
2017-04-03	$105.94	$105.00	5.2%	1.5%	4.7%	10.3%	5.0%	-0.2%	0.9%	55.6M	-110.7M	-3.4M	0.77	94.27	5,756	4,444	77,860	61,881
2017-04-04	$105.83	$105.00	5.0%	1.4%	4.6%	8.1%	4.8%	-0.3%	0.8%	66.7M	-129.0M	-3.5M	0.77	35.16	6,218	4,766	82,661	63,272
2017-04-05	$106.04	$105.00	5.1%	1.5%	4.4%	8.8%	5.1%	0.3%	1.1%	65.3M	-144.9M	-3.5M	4.58	112.02	1,137	5,203	83,150	63,780
2017-04-06	$105.95	$106.00	5.2%	1.7%	4.2%	6.4%	6.0%	-0.4%	0.1%	63.5M	-113.3M	-3.6M	6.14	79.13	1,161	7,134	83,154	68,212
2017-04-07	$105.64	$106.00	4.9%	1.7%	4.5%	2.3%	6.3%	-0.2%	0.1%	72.4M	-81.2M	-3.6M	4.00	63.89	1,212	4,848	83,173	67,647
2017-04-10	$105.80	$106.00	5.2%	1.8%	4.3%	5.9%	6.4%	-0.5%	-0.2%	72.6M	-107.0M	-3.6M	11.64	23.59	1,257	14,636	83,264	67,904
2017-04-11	$106.29	$106.00	5.8%	1.9%	4.5%	13.6%	7.5%	-0.6%	-0.1%	59.9M	-150.9M	-4.1M	2.05	88.15	5,806	11,926	83,251	77,761
2017-04-12	$106.62	$106.00	6.9%	2.0%	3.7%	27.9%	7.1%	-0.9%	-0.6%	58.9M	-202.7M	-4.0M	2.90	87.57	4,284	12,405	87,193	77,898
2017-04-13	$106.89	$105.00	6.7%	1.9%	3.6%	24.6%	6.6%	-0.8%	-0.2%	48.2M	-263.5M	-4.0M	12.23	83.67	1,803	22,043	89,859	78,470
2017-04-17	$106.98	$106.00	6.6%	1.9%	3.6%	23.4%	7.3%	-0.7%	-0.2%	25.5M	-251.1M	-4.1M	6.44	23.13	1,868	12,036	90,173	88,505
2017-04-18	$107.39	$106.00	7.0%	2.0%	3.7%	28.9%	7.2%	-0.8%	-0.9%	4.1M	-304.6M	-4.0M	3.63	71.06	3,388	12,298	90,969	88,548
2017-04-19	$107.12	$106.00	6.6%	1.9%	3.8%	24.0%	6.6%	-0.6%	-0.4%	5.4M	-271.5M	-4.0M	7.30	74.73	3,021	22,041	91,779	88,731
2017-04-20	$106.86	$107.00	7.0%	2.0%	4.0%	28.8%	6.7%	-0.6%	-0.7%	-19.0M	-175.2M	-4.1M	7.91	66.11	2,772	21,921	91,713	98,773
2017-04-21	$106.92	$107.00	7.1%	2.0%	3.9%	30.6%	7.4%	-1.0%	-0.6%	-31.7M	-154.1M	-4.2M	6.14	78.02	2,929	17,992	91,880	108,782
2017-04-24	$106.64	$107.00	6.1%	1.8%	4.1%	17.8%	7.4%	-0.5%	0.0%	-62.2M	116.3M	-4.1M	9.56	39.11	1,873	17,900	70,215	109,492
2017-04-25	$106.11	$107.00	5.7%	1.6%	4.5%	12.7%	5.9%	-0.3%	-0.1%	-73.8M	248.6M	-4.5M	8.50	52.46	2,141	18,206	70,225	117,489
2017-04-26	$106.39	$107.00	6.0%	1.7%	4.4%	16.7%	6.8%	0.5%	-0.4%	-72.8M	220.2M	-4.5M	9.39	58.52	1,925	18,069	70,077	117,809
2017-04-27	$106.50	$107.00	5.6%	1.6%	4.3%	10.9%	3.9%	-0.2%	0.0%	-73.0M	171.3M	-4.5M	11.03	51.38	1,639	18,075	70,073	118,067
2017-04-28	$106.61	$107.00	5.8%	1.7%	4.2%	14.0%	5.5%	-0.3%	-0.3%	-68.3M	159.7M	-4.4M	21.21	41.74	1,833	38,869	70,063	118,069