{"schema_version":1,"publisher":"Half on a Double","data_through":"2026-10-02","frequency":"end-of-day","methodology":"market-implied-carry-v1","generation":"market-implied-carry-analytics-20260917T000000Z","canonical_url":"https://halfonadouble.com/stock/IEF","markdown_url":"https://halfonadouble.com/stock/IEF.md","history_url":"https://halfonadouble.com/api/v1/history/IEF.csv","advanced_analysis_url":"https://halfonadouble.com/api/v1/analysis/IEF.json?date=2026-10-02","definitions_url":"https://halfonadouble.com/methodology.md","license_url":"https://halfonadouble.com/terms.md","disclaimer_url":"https://halfonadouble.com/disclaimer.md","symbol":"IEF","page_tier":"A","units":{"prices":"USD per share","open_interest":"option contracts","gamma_exposure":"modeled dollar-delta change per USD 1 underlying move","gamma_exposure_normalized":"modeled gamma exposure per 100,000 open option contracts","distances":"percent of close","forward_outcomes":"close-to-close percent return"},"snapshot":{"close":89.05000305175781,"previous_close":89.30000305175781,"delta_neutral":90.01031531386,"gamma_neutral":89.05402192242275,"gamma_max":92.21446948573511,"total_open_interest":1754237,"previous_open_interest":1794732,"listed_contracts":469,"listed_calls":269,"listed_puts":207,"gamma_max_distance_pct":3.5535837456827926,"delta_neutral_distance_pct":1.0783966638878584,"gamma_neutral_distance_pct":0.004513049440997939,"open_interest_change_1d_pct":-2.256325735541574,"call_open_interest":1102399,"put_open_interest":651838,"put_call_open_interest_ratio":0.5912904492837893,"nearest_expiration_max_pain":88.5,"nearest_expiration_max_pain_expiry":"2026-10-09","nearest_expiration_max_pain_distance_pct":-0.6176339504875016,"all_expiration_max_pain":91,"net_gamma_exposure":-1346864.444926603,"net_gamma_exposure_per_100k_open_interest":-76777.79256318291,"gamma_exposure_flip":89.05402192242275,"gamma_exposure_flip_distance_pct":0.004513049440997939,"call_wall":91,"call_wall_distance_pct":2.18977751983771,"put_wall":90,"put_wall_distance_pct":1.0668129317076254,"gamma_max_cross_direction":null,"delta_neutral_cross_direction":null,"open_interest_rank":59},"history_summary":{"first_date":"2020-12-01","last_date":"2026-10-02","session_count":1394,"trailing_window_sessions":252,"sessions_above_gamma_max_pct":0,"gamma_max_cross_count":0,"delta_neutral_cross_count":15,"gamma_max_prior_sessions_closer_pct":81.74603174603175,"gamma_max_prior_comparison_sessions":252,"delta_neutral_prior_sessions_closer_pct":74.20634920634922,"delta_neutral_prior_comparison_sessions":252,"open_interest_percentile_1y":99.60317460317461,"open_interest_change_1d_contracts":-40495,"open_interest_change_z_252":-0.6878093417919999,"open_interest_change_z_comparison_sessions":252,"open_interest_change_5_sessions_pct":16.40212096620614,"open_interest_change_21_sessions_pct":96.69200668258827,"call_put_open_interest_changes":{"one_session":{"call_change_contracts":9041,"put_change_contracts":-49536,"call_growth_pct":0.8269020759897491,"put_growth_pct":-7.06270834105627,"call_minus_put_growth_pp":7.889610417046019},"five_sessions":{"call_change_contracts":215205,"put_change_contracts":31983,"call_growth_pct":24.256814180438553,"put_growth_pct":5.159755104016262,"call_minus_put_growth_pp":19.09705907642229},"call_change_surprise":{"z_score":0.1801580224238151,"comparison_sessions":252},"put_change_surprise":{"z_score":-1.153344048390288,"comparison_sessions":252},"call_minus_put_growth_surprise":{"z_score":1.0934781272637353,"comparison_sessions":252}}},"advanced_options":{"data_through":"2026-10-02","analysis_coverage":1,"catalyst_score":40.70748810031843,"directional_score":0.5905511811023629,"catalyst_reasons":["volume/OI 0.11","front IV premium 0.2 pp"],"features":{"symbol":"IEF","price":89.05,"totalOi":1775843,"analysisCoverage":1,"avgIvPct":24.2,"ivRank":61.1,"iv52wHighPct":33.3,"iv52wLowPct":9.9,"frontDte":7,"frontAtmIvPct":10.0372,"backAtmIvPct":9.88,"termPremiumPp":0.1572,"expectedMoveFrontPct":1.39,"straddleFrontPct":0.84,"straddle30dPct":1.84,"riskReversalFrontPp":0.43,"riskReversal30dPp":0.5,"butterflyFrontPp":-1.12,"butterfly30dPp":-1.12,"putCallOiRatio":0.583,"putCallOiFrontRatio":0.414,"putCallVolumeFrontRatio":0.639,"optionVolume":187367,"volumeOiRatio":0.105509,"netDeltaNormalized":-0.043187,"dealerDeltaNormalized":0.042784,"gexPer100kOi":8088167.131329,"vannaPer100kOi":4596.070711,"charmPer100kOi":148595.286858,"weekendDeltaShiftPer100kOi":445785.804263,"ivSurfaceRangePp":33.3,"gammaFlipDistancePct":5.356541,"maxPainDistancePct":2.189781,"peakCallDistancePct":4.43571,"peakPutDistancePct":-0.056148},"complete_analysis_url":"https://halfonadouble.com/api/v1/analysis/IEF.json?date=2026-10-02","interpretation":"Catalyst intensity ranks unusual option pricing and activity; it does not identify the event, predict direction or recommend a trade. Directional score summarizes relative positioning under documented model conventions."},"gamma_max_cross_outcomes":[{"direction":"above","event_count":11,"completed_path_count":11,"latest_cross_date":"2025-04-03","horizons":[{"sessions":1,"sample_size":11,"median_return_pct":0.1425365382900612,"p25_return_pct":-0.34542895913451943,"p75_return_pct":0.3505205741552331,"above_zero_pct":54.54545454545454,"median_interval_low_pct":-0.3814461304969541,"median_interval_high_pct":0.4206416878272501,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":3,"sample_size":11,"median_return_pct":-0.29991301051732755,"p25_return_pct":-0.7525034292169108,"p75_return_pct":0.6270782993455737,"above_zero_pct":45.45454545454545,"median_interval_low_pct":-1.0000012584568285,"median_interval_high_pct":0.7126826914502837,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":5,"sample_size":11,"median_return_pct":-0.06094216399550323,"p25_return_pct":-1.209694506904141,"p75_return_pct":0.7299142684389914,"above_zero_pct":45.45454545454545,"median_interval_low_pct":-1.3608244276538284,"median_interval_high_pct":0.9104256684901779,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":10,"sample_size":11,"median_return_pct":0.3684664236679236,"p25_return_pct":-1.3669437158676079,"p75_return_pct":1.0852289160217077,"above_zero_pct":63.63636363636363,"median_interval_low_pct":-1.6720330200889477,"median_interval_high_pct":1.0974043313799253,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0}]},{"direction":"below","event_count":11,"completed_path_count":11,"latest_cross_date":"2025-04-07","horizons":[{"sessions":1,"sample_size":11,"median_return_pct":-0.08327451994257773,"p25_return_pct":-0.3414435888557277,"p75_return_pct":0.13211753273332238,"above_zero_pct":36.36363636363637,"median_interval_low_pct":-0.43451930997768784,"median_interval_high_pct":0.21342928139016504,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":3,"sample_size":11,"median_return_pct":-0.410154455748879,"p25_return_pct":-0.5102055417262719,"p75_return_pct":-0.02289142217045681,"above_zero_pct":27.27272727272727,"median_interval_low_pct":-0.545675950407376,"median_interval_high_pct":0.06871763520628349,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":5,"sample_size":11,"median_return_pct":-0.3505397552547196,"p25_return_pct":-1.009533868466278,"p75_return_pct":0.5487317242341527,"above_zero_pct":45.45454545454545,"median_interval_low_pct":-1.119715071328009,"median_interval_high_pct":0.6249993946403354,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0},{"sessions":10,"sample_size":11,"median_return_pct":0.1610736206179464,"p25_return_pct":-1.1436613642912152,"p75_return_pct":0.7160655823261197,"above_zero_pct":54.54545454545454,"median_interval_low_pct":-1.2262925829909732,"median_interval_high_pct":0.7363167731804898,"median_interval_nominal_coverage_pct":93.45703125,"confidence_floor_pct":0}]}],"missing_value_semantics":"null means unavailable; it never means zero","interpretation":"These are descriptive end-of-day model outputs. Signed GEX uses the published call-positive, put-negative convention and is not observed dealer inventory. None of the fields are live prices, predictions or investment advice."}