IEF Options History — April 2007

In April 2007, IEF traded between $82.33 and $83.27. ATM implied volatility averaged 4.0%. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.6% (HV 20d: 3.3%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.28.

Notable Days

  • 2007-04-16: Highest Volume — 412 contracts
  • 2007-04-12: Largest IV spike — 35.5% change
  • 2007-04-02: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.79$82.33$83.27$82.86$83.27
Max Pain$83.55$83.00$84.00$83.00$83.00
ATM IV4.0%2.9%5.0%5.0%4.2%
Expected Move1.2%1.0%1.4%1.4%1.2%
HV 20d3.3%2.8%3.8%3.5%3.8%
HV 60d4.1%4.0%4.2%4.1%4.1%
Term Structure-0.3%-0.9%0.1%-0.2%-0.4%
VWIV5.5%3.9%10.7%5.0%4.2%
Skew 25d0.1%-1.4%1.4%0.3%0.1%
Skew 10d0.2%-1.0%1.1%0.2%-0.1%
Call IV 25d3.6%3.1%4.6%3.7%3.4%
Put IV 25d3.7%2.6%4.6%3.9%3.5%
Bid-Ask Spread %19.0612.3452.0812.9012.34
Gamma HHI0.270.140.410.150.41
Net GEX1.1M883.5K1.7M1.1M1.7M
Net DEX-3.4M-5.9M264.8K-5.9M-5.8M
Net VEX-69.1K-97.6K-59.3K-74.2K-66.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.0033.330.000.60
Total Volume67.704121080
Total OI8,515.157,6318,9738,7157,978

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$82.86$83.005.0%1.4%3.5%0.0%5.0%0.3%-0.2%1.1M-5.9M-74.2K0.0012.901005,4353,280
2007-04-03$82.79$83.004.6%1.3%3.5%0.0%4.4%-0.4%0.0%1.0M-4.6M-97.6K3.7113.0514525,4433,280
2007-04-04$82.92$83.004.8%1.4%3.5%0.0%0.0%-0.1%-0.3%1.0M-5.5M-75.7K1.2513.2716205,4533,261
2007-04-05$82.71$83.004.3%1.2%3.6%0.0%0.0%-0.3%-0.2%922.4K-3.7M-71.7K0.0014.67805,4623,271
2007-04-09$82.33$84.003.2%1.2%3.4%0.0%0.0%-0.2%-0.1%1.0M-666.3K-68.5K1.9715.2932635,4633,271
2007-04-10$82.50$84.002.9%1.3%3.3%0.0%0.0%1.1%0.1%969.0K-1.9M-71.0K3.7517.408305,4733,296
2007-04-11$82.40$84.003.1%1.3%2.8%0.0%0.0%0.4%-0.1%883.5K-1.1M-71.4K0.0017.00005,4813,301
2007-04-12$82.48$84.004.2%1.2%2.8%0.0%0.0%0.6%0.0%931.8K-1.7M-62.1K0.0019.72105,4813,301
2007-04-13$82.34$84.004.3%1.2%2.8%0.0%9.4%0.0%-0.2%945.0K264.8K-70.0K4.2918.917305,4823,301
2007-04-16$82.43$84.004.4%1.3%2.9%0.0%0.0%0.3%-0.4%943.2K-1.1M-62.5K33.3317.70124005,4883,301
2007-04-17$82.78$84.003.5%1.0%3.4%0.0%10.7%0.9%-0.4%1.1M-2.6M-69.3K3.9117.4511435,5003,426
2007-04-18$82.97$84.004.3%1.2%3.5%0.0%0.0%1.4%-0.9%1.1M-4.4M-67.6K2.5029.164105,5053,426
2007-04-19$82.96$84.003.6%1.0%3.4%0.0%4.3%1.2%-0.8%957.2K-5.1M-59.3K0.0021.823405,5043,436
2007-04-20$82.87$84.003.4%1.0%3.2%0.0%0.0%0.6%-0.2%1.3M-2.9M-69.1K0.0018.38005,5373,436
2007-04-23$83.04$84.003.8%1.1%3.3%0.0%3.9%-0.1%-0.4%943.8K-4.6M-62.8K0.1952.08108204,3183,313
2007-04-24$83.20$83.004.1%1.2%3.4%0.0%4.1%-1.4%-0.4%1.2M-5.8M-63.4K0.4722.4085404,4153,323
2007-04-25$83.15$83.004.5%1.3%3.4%0.0%4.5%-0.4%-0.6%1.3M-4.7M-66.6K0.0914.956964,5003,343
2007-04-26$82.91$83.003.6%1.0%3.5%0.0%4.3%-1.0%-0.6%1.5M-3.5M-66.6K2.7316.3311304,5533,343
2007-04-27$82.91$83.003.3%1.0%3.5%0.0%0.0%-0.9%0.0%1.3M-3.6M-66.3K0.2516.3180204,5603,363
2007-04-30$83.27$83.004.2%1.2%3.8%0.0%4.2%0.1%-0.4%1.7M-5.8M-66.4K0.6012.3450304,6053,373