IEF Options History — January 2007

In January 2007, IEF traded between $81.73 and $82.95. ATM implied volatility averaged 4.2%. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.9% (HV 20d: 3.3%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2007-01-24: Highest Volume — 1,165 contracts
  • 2007-01-31: Largest IV spike — 57.7% change
  • 2007-01-11: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.30$81.73$82.95$82.68$82.11
Max Pain$82.85$82.00$83.00$83.00$82.00
ATM IV4.2%2.8%4.8%4.6%4.4%
Expected Move1.2%0.8%1.4%1.3%1.3%
HV 20d3.3%3.2%3.5%3.4%3.5%
Term Structure-0.1%-0.5%0.8%-0.2%-0.3%
VWIV4.2%2.5%5.5%4.1%4.4%
Skew 25d0.4%-0.7%1.1%1.1%-0.2%
Skew 10d0.3%-1.0%1.8%0.7%0.4%
Call IV 25d3.8%3.1%4.4%4.0%3.6%
Put IV 25d4.2%3.4%5.4%5.1%3.4%
Bid-Ask Spread %22.6410.5096.8715.8315.90
Gamma HHI0.210.180.280.200.27
Net GEX-1.2M-3.6M1.5M-3.1M1.3M
Net DEX17.7M10.7M24.0M15.1M13.6M
Net VEX-95.5K-114.0K-77.5K-107.8K-96.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.004.450.200.39
Total Volume148.301,16548124
Total OI10,089.39,11810,9399,80710,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$82.68$83.004.6%1.3%0.0%0.0%0.0%1.1%-0.2%-3.1M15.1M-107.8K0.2015.834083,3956,412
2007-01-04$82.95$83.004.5%1.3%0.0%0.0%4.1%0.5%0.1%-3.6M10.7M-114.0K0.3612.2384303,4176,412
2007-01-05$82.71$83.004.7%1.3%0.0%0.0%5.5%1.0%-0.4%-3.3M12.4M-107.3K0.7514.9240303,4946,422
2007-01-08$82.77$83.004.8%1.3%0.0%0.0%4.7%0.4%-0.5%-3.1M13.6M-107.2K0.0019.25403,5306,452
2007-01-09$82.75$83.003.6%1.0%0.0%0.0%4.4%1.1%-0.1%-3.5M12.7M-102.8K0.0096.870313,5326,452
2007-01-10$82.61$83.003.7%1.0%0.0%0.0%4.1%0.8%0.1%-3.4M14.9M-105.0K1.0330.3639403,5326,481
2007-01-11$82.39$83.004.8%1.4%0.0%0.0%4.8%0.3%-0.5%-1.9M19.2M-93.9K4.4523.6311493,5376,481
2007-01-12$82.22$83.004.6%1.3%0.0%0.0%2.5%0.7%-0.2%-1.3M22.3M-94.0K0.6029.58533,5486,515
2007-01-16$82.38$83.004.7%1.3%0.0%0.0%0.0%0.3%-0.1%-1.8M20.7M-89.8K0.0016.13003,5536,518
2007-01-17$82.22$83.004.5%1.3%0.0%0.0%4.5%-0.7%-0.2%-999.2K23.2M-87.7K0.8814.1960533,5536,488
2007-01-18$82.33$83.004.7%1.3%0.0%0.0%4.6%0.2%-0.5%-1.1M22.1M-82.6K2.9615.2927803,5336,487
2007-01-19$82.20$83.004.2%1.2%0.0%0.0%4.2%-0.4%0.1%-596.2K24.0M-83.9K0.0029.2411103,5496,567
2007-01-22$82.35$83.004.3%1.2%0.0%0.0%0.0%0.0%0.1%-636.6K17.8M-82.8K3.1416.80511603,2375,881
2007-01-23$82.11$83.004.3%1.2%0.0%0.0%4.3%0.3%-0.3%-201.7K20.6M-77.5K3.3310.50331103,2676,041
2007-01-24$82.12$83.004.6%1.3%0.0%0.0%0.0%0.1%-0.3%-524.6K20.7M-79.7K0.0013.991,16503,2896,121
2007-01-25$81.80$83.003.5%1.0%3.4%0.0%4.1%0.8%0.1%623.4K15.8M-100.8K1.2222.001692064,4546,121
2007-01-26$81.79$83.003.8%1.1%3.3%0.0%4.4%0.1%-0.4%700.9K17.6M-102.3K0.0019.1416104,5286,221
2007-01-29$81.73$82.003.4%1.0%3.2%0.0%3.9%0.5%0.2%1.5M18.3M-97.2K0.0019.292704,6796,221
2007-01-30$81.81$82.002.8%0.8%3.2%0.0%3.3%1.1%0.8%1.4M17.7M-96.8K0.0017.751504,7066,221
2007-01-31$82.11$82.004.4%1.3%3.5%0.0%4.4%-0.2%-0.3%1.3M13.6M-96.4K0.3915.9089354,7186,221