IEF Options History — March 2007

In March 2007, IEF traded between $83.09 and $83.76. ATM implied volatility averaged 4.5%. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.3% (HV 20d: 4.7%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2007-03-01: Highest Volume — 1,026 contracts
  • 2007-03-13: Largest IV spike — 75.9% change
  • 2007-03-02: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.45$83.09$83.76$83.31$83.09
Max Pain$83.09$82.00$85.00$85.00$83.00
ATM IV4.5%3.0%5.9%5.3%4.3%
Expected Move1.3%1.0%1.6%1.5%1.2%
HV 20d4.7%3.4%5.3%5.1%3.4%
HV 60d4.3%4.1%4.4%4.4%4.1%
Term Structure-0.3%-1.2%0.4%-0.4%-0.5%
VWIV4.6%3.1%5.7%5.5%4.4%
Skew 25d-0.0%-0.9%1.5%-0.2%1.5%
Skew 10d-0.1%-1.0%2.0%-0.3%2.0%
Call IV 25d4.4%3.3%5.3%4.9%3.8%
Put IV 25d4.4%3.7%5.9%4.7%5.4%
Bid-Ask Spread %21.2713.0845.8719.6034.32
Gamma HHI0.320.130.560.340.13
Net GEX-648.4K-2.9M1.6M-2.8M880.3K
Net DEX-3.5M-10.1M5.4M4.7M-5.8M
Net VEX-83.1K-99.5K-46.6K-85.8K-81.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.054.000.410.26
Total Volume212.511,0261,026107
Total OI10,030.3188,04213,6979,6998,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$83.31$85.005.3%1.5%5.1%0.0%5.5%-0.2%-0.4%-2.8M4.7M-85.8K0.4119.607263003,5676,132
2007-03-02$83.55$85.005.8%1.6%4.7%0.0%5.7%0.5%-0.6%-2.7M-725.7K-99.5K0.0521.27611314,2436,301
2007-03-05$83.60$82.005.9%1.6%4.7%0.0%5.7%0.5%-1.2%-2.4M-1.1M-96.7K0.2922.4635104,8296,332
2007-03-06$83.49$82.003.4%1.4%4.8%0.0%4.9%0.4%-0.6%-2.2M401.4K-89.6K4.0025.0515604,8496,337
2007-03-07$83.64$83.004.5%1.4%4.8%0.0%5.0%-0.5%-0.6%-2.7M-1.9M-92.9K0.4417.9832144,8596,397
2007-03-08$83.63$83.004.6%1.1%4.7%0.0%0.0%-0.1%-0.4%-2.4M-1.1M-89.7K0.0021.27014,8796,408
2007-03-09$83.16$83.004.4%1.4%5.3%0.0%4.8%0.4%-0.8%-718.1K5.4M-77.3K0.6722.5730204,8796,409
2007-03-12$83.39$83.003.0%1.3%5.1%0.0%4.4%0.4%0.0%-1.6M3.2M-84.1K0.8315.0260504,8906,429
2007-03-13$83.76$83.005.3%1.1%5.2%0.0%0.0%-0.4%-0.6%-2.9M-2.3M-87.8K0.1118.40644694,8746,459
2007-03-14$83.65$83.004.9%1.1%5.3%0.0%4.7%-0.5%-0.3%-2.3M-352.9K-88.1K0.2219.19301655,4766,524
2007-03-15$83.56$83.003.6%1.0%5.0%0.0%4.3%-0.2%0.2%-1.6M-10.1M-92.1K0.0720.36440307,0986,599
2007-03-16$83.55$83.003.7%1.1%5.0%0.0%0.0%0.1%-0.3%-2.3M3.4M-87.1K0.5013.08156785,5336,619
2007-03-19$83.44$83.004.7%1.4%5.1%0.0%4.9%0.1%-0.5%1.5M-8.7M-76.7K0.3914.3582325,0822,960
2007-03-20$83.56$83.003.6%1.0%5.1%0.0%3.1%0.1%0.1%1.6M-8.9M-80.7K1.6214.9413215,1222,990
2007-03-21$83.68$83.004.5%1.3%5.1%0.0%4.5%-0.2%-0.1%1.6M-9.8M-81.5K0.4945.87175865,1253,011
2007-03-22$83.40$83.004.3%1.2%5.1%0.0%4.2%-0.3%0.0%1.3M-8.2M-77.6K0.2917.891755,2883,095
2007-03-23$83.27$83.004.5%1.3%5.0%0.0%4.6%-0.8%-0.1%1.3M-7.0M-80.9K0.5321.0775405,2973,100
2007-03-26$83.34$83.004.7%1.4%4.9%0.0%4.0%-0.5%0.0%1.6M-7.0M-72.7K0.5321.2347255,3273,140
2007-03-27$83.32$83.004.8%1.4%3.8%0.0%4.7%-0.9%-0.2%1.2M-6.8M-80.1K0.0016.45075,3403,144
2007-03-28$83.31$83.004.7%1.3%3.6%0.0%4.6%-0.8%0.2%789.2K-8.3M-46.6K0.0020.8101175,3403,149
2007-03-29$83.19$83.004.4%1.3%3.6%0.0%3.5%0.4%0.4%802.2K-5.4M-80.2K0.0724.834535,3403,255
2007-03-30$83.09$83.004.3%1.2%3.4%0.0%4.4%1.5%-0.5%880.3K-5.8M-81.5K0.2634.3285225,3823,258