IEF Options History — February 2007

In February 2007, IEF traded between $81.74 and $83.77. ATM implied volatility averaged 3.9%. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 0.0% (HV 20d: 3.9%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.45.

Notable Days

  • 2007-02-28: Highest Volume — 3,044 contracts
  • 2007-02-28: Largest IV spike — 30.8% change
  • 2007-02-28: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.46$81.74$83.77$81.74$83.48
Max Pain$83.84$82.00$84.00$82.00$83.00
ATM IV3.9%3.2%4.8%3.2%4.6%
Expected Move1.1%0.9%1.3%0.9%1.3%
HV 20d3.9%3.4%5.0%3.7%5.0%
Term Structure0.6%-1.3%18.0%-0.1%-0.3%
VWIV4.1%2.7%6.8%3.8%5.2%
Skew 25d0.0%-1.1%1.4%-0.8%-0.7%
Skew 10d0.0%-1.4%0.7%-0.5%-0.6%
Call IV 25d3.8%2.9%5.1%3.6%5.1%
Put IV 25d3.8%2.8%4.4%2.8%4.3%
Bid-Ask Spread %29.0013.57101.7314.4722.60
Gamma HHI0.290.210.420.320.27
Net GEX1.2M-1.7M2.3M1.4M-1.7M
Net DEX7.2M-8.4M15.3M15.3M-5.2M
Net VEX-89.8K-103.9K-77.9K-103.9K-85.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0020.000.700.00
Total Volume263.789143,044173,044
Total OI10,894.78910,55111,14311,00411,020

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-02-01$81.74$82.003.2%0.9%3.7%0.0%3.8%-0.8%-0.1%1.4M15.3M-103.9K0.7014.471074,7786,226
2007-02-02$81.81$84.003.6%0.9%3.4%0.0%2.8%0.8%-0.3%1.9M14.7M-97.7K0.0029.832404,7836,195
2007-02-05$81.90$84.003.7%1.3%3.4%0.0%0.0%0.3%-0.5%1.5M13.8M-99.4K4.00101.735204,7926,195
2007-02-06$82.13$84.004.1%1.2%3.6%0.0%4.3%0.1%-0.3%1.6M11.9M-97.3K0.0020.545304,7926,205
2007-02-07$82.31$84.004.8%1.2%3.7%0.0%4.2%0.0%-0.5%1.4M8.0M-95.9K0.0018.551504,8196,205
2007-02-08$82.33$84.004.3%1.2%3.6%0.0%2.7%0.0%-0.9%1.4M7.4M-89.9K20.0018.11102004,8226,205
2007-02-09$82.08$84.004.1%1.2%3.7%0.0%0.0%-1.1%-0.1%2.0M11.3M-91.9K0.9719.9931304,8326,127
2007-02-12$81.97$84.004.2%1.2%3.6%0.0%2.8%0.3%-0.2%2.2M12.6M-89.5K0.0034.1124004,8616,127
2007-02-13$81.91$84.004.3%1.2%3.6%0.0%4.1%1.4%-0.4%2.3M14.1M-90.8K0.4518.9844204,8816,127
2007-02-14$82.38$84.004.3%1.2%4.1%0.0%4.3%-0.1%-1.3%1.7M6.5M-88.2K0.0817.656554,8756,147
2007-02-15$82.51$84.003.5%1.0%4.1%0.0%4.1%0.7%-0.1%1.5M4.8M-89.2K0.0222.3427554,9036,147
2007-02-16$82.60$84.003.3%1.0%4.1%0.0%4.0%-0.0%-0.0%1.4M3.2M-88.9K0.0017.594204,9966,147
2007-02-20$82.70$84.003.6%1.0%4.0%0.0%0.0%0.8%-0.3%773.7K5.0M-81.5K0.0021.091704,5845,967
2007-02-21$82.69$84.003.6%1.0%3.9%0.0%0.0%0.5%-0.2%1.1M5.8M-78.9K0.0021.941404,6015,967
2007-02-22$82.48$84.004.3%1.2%4.0%0.0%4.2%-0.6%-0.1%2.0M8.3M-77.9K0.0623.10158104,6125,967
2007-02-23$82.81$84.003.8%1.1%3.9%0.0%6.8%-1.1%-0.7%870.7K5.0M-88.6K0.0428.3614164,6875,977
2007-02-26$83.07$84.004.0%1.2%4.0%0.0%4.3%-0.3%0.5%718.1K2.0M-80.5K0.5513.5756314,7135,974
2007-02-27$83.77$84.003.5%1.0%4.8%0.0%3.6%-0.0%18.0%-1.7M-8.4M-91.6K0.6686.462621724,7505,995
2007-02-28$83.48$83.004.6%1.3%5.0%0.0%5.2%-0.7%-0.3%-1.7M-5.2M-85.2K0.0022.603,034104,8886,132