IEF Options History — May 2017

In May 2017, IEF traded between $105.53 and $107.29. ATM implied volatility averaged 5.2%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.7% (HV 20d: 4.4%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 14.99.

Notable Days

2017-05-15: Highest Volume — 62,399 contracts
2017-05-17: Largest IV spike — 12.2% change
2017-05-02: Highest IV Rank — 15.4%
2017-05-02: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.46	$105.53	$107.29	$106.21	$107.29
Max Pain	$105.41	$104.00	$107.00	$107.00	$106.00
ATM IV	5.2%	4.7%	5.9%	5.8%	5.3%
Expected Move	1.5%	1.4%	1.7%	1.7%	1.5%
HV 20d	4.4%	3.9%	5.0%	4.4%	4.3%
HV 60d	4.7%	4.3%	4.9%	4.9%	4.4%
IV Rank	6.0%	0.5%	15.4%	13.5%	7.6%
IV Percentile	12.9%	0.4%	43.3%	32.1%	21.0%
Term Structure	0.0%	-0.3%	0.4%	-0.2%	-0.2%
VWIV	5.1%	4.3%	5.8%	4.7%	4.3%
Skew 25d	-0.2%	-0.8%	0.4%	-0.4%	-0.7%
Skew 10d	-0.0%	-1.8%	1.7%	-1.8%	-1.1%
Call IV 25d	5.5%	5.0%	6.2%	5.9%	6.0%
Put IV 25d	5.3%	4.8%	6.0%	5.5%	5.3%
Bid-Ask Spread %	33.01	9.77	72.12	72.12	9.77
Gamma HHI	0.45	0.31	0.67	0.40	0.36
Net GEX	-88.4M	-277.8M	4.9M	-90.6M	3.3M
Net DEX	233.2M	-18.8M	493.3M	289.5M	-18.8M
Net VEX	-5.1M	-5.5M	-4.9M	-5.5M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	14.99	1.92	31.70	17.99	6.71
Total Volume	41,267.5	34,946	62,399	41,308	40,673
Total OI	203,680.409	189,525	219,550	209,291	190,939

Daily Data (22 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
2017-05-01	$106.21	$107.00	5.8%	1.7%	4.4%	13.5%	4.7%	-0.4%	-0.2%	-90.6M	289.5M	-5.5M	17.99	72.12	2,175	39,133	70,271	139,020
2017-05-02	$106.44	$107.00	5.9%	1.7%	4.3%	15.4%	5.1%	-0.0%	-0.3%	-88.1M	255.9M	-5.5M	21.14	38.80	1,852	39,147	70,620	139,333
2017-05-03	$106.17	$107.00	5.2%	1.5%	4.4%	6.8%	4.6%	-0.7%	0.3%	-99.8M	283.2M	-5.4M	21.05	50.42	1,861	39,167	70,625	139,354
2017-05-04	$105.94	$104.00	5.5%	1.6%	4.4%	10.4%	5.6%	-0.0%	0.1%	-98.7M	371.1M	-5.4M	20.77	25.47	1,873	38,908	70,624	139,392
2017-05-05	$106.02	$104.00	5.1%	1.6%	4.4%	5.3%	5.6%	-0.1%	0.1%	-108.2M	382.5M	-5.4M	18.52	40.20	2,096	38,809	70,626	139,470
2017-05-08	$105.77	$104.00	4.8%	1.5%	4.4%	1.0%	5.4%	0.4%	-0.0%	-114.9M	429.9M	-5.2M	14.85	31.41	2,212	32,853	70,690	139,469
2017-05-09	$105.63	$104.00	4.7%	1.5%	4.4%	0.5%	5.4%	-0.1%	0.4%	-104.9M	493.3M	-5.2M	18.16	45.34	1,835	33,315	70,907	139,586
2017-05-10	$105.53	$104.00	4.9%	1.4%	4.0%	2.7%	4.3%	-0.1%	0.4%	-108.7M	480.3M	-5.1M	17.94	36.01	1,858	33,340	70,931	139,752
2017-05-11	$105.69	$104.00	5.1%	1.5%	3.9%	4.9%	5.3%	0.0%	0.2%	-114.3M	467.7M	-5.1M	17.62	40.46	1,892	33,335	70,976	139,788
2017-05-12	$106.24	$104.00	5.2%	1.5%	4.2%	6.1%	5.3%	-0.1%	-0.0%	-145.7M	296.4M	-5.1M	17.15	15.82	1,939	33,262	71,007	139,788
2017-05-15	$106.13	$104.00	5.1%	1.5%	4.2%	5.6%	5.2%	0.0%	0.1%	-162.6M	340.1M	-5.1M	31.70	32.80	1,908	60,491	71,020	139,777
2017-05-16	$106.24	$106.00	5.0%	1.4%	4.0%	3.6%	5.1%	0.0%	0.2%	-155.0M	353.5M	-5.2M	5.60	33.61	6,879	38,531	71,057	148,493
2017-05-17	$107.14	$106.00	5.6%	1.6%	5.0%	11.2%	5.8%	-0.4%	-0.1%	-100.9M	124.9M	-5.1M	8.46	26.16	4,546	38,461	66,349	139,501
2017-05-18	$107.08	$106.00	5.4%	1.5%	4.9%	8.4%	5.4%	-0.4%	0.0%	-145.4M	126.4M	-5.0M	16.37	42.68	2,329	38,117	65,475	139,509
2017-05-19	$107.04	$106.00	5.2%	1.5%	4.9%	5.7%	5.2%	-0.3%	0.1%	-277.8M	153.1M	-5.0M	1.93	15.89	17,139	33,109	65,298	139,586
2017-05-22	$106.94	$106.00	5.1%	1.5%	4.8%	4.9%	5.1%	-0.2%	-0.2%	-7.3M	49.7M	-5.0M	1.92	12.38	17,168	32,961	72,797	116,728
2017-05-23	$106.65	$106.00	5.0%	1.4%	4.6%	3.4%	5.0%	-0.4%	0.1%	-12.0M	79.2M	-5.0M	1.93	26.06	17,136	33,029	73,185	116,843
2017-05-24	$106.87	$106.00	4.9%	1.4%	4.5%	2.7%	5.1%	0.1%	0.1%	-7.9M	61.5M	-5.1M	15.89	65.53	2,085	33,140	73,358	117,101
2017-05-25	$106.93	$106.00	5.1%	1.5%	4.5%	4.5%	4.6%	-0.3%	-0.1%	-6.0M	48.6M	-5.0M	16.64	31.73	1,981	32,965	73,349	117,183
2017-05-26	$106.99	$106.00	4.8%	1.4%	4.5%	1.8%	4.8%	-0.3%	0.0%	-3.5M	55.2M	-5.0M	18.67	17.02	1,891	35,309	73,353	117,163
2017-05-30	$107.25	$106.00	5.1%	1.5%	4.3%	5.3%	5.1%	-0.8%	-0.2%	4.9M	6.8M	-4.9M	18.69	16.44	1,888	35,287	73,401	117,275
2017-05-31	$107.29	$106.00	5.3%	1.5%	4.3%	7.6%	4.3%	-0.7%	-0.2%	3.3M	-18.8M	-4.9M	6.71	9.77	5,277	35,396	73,524	117,415