IEF Options History — May 2007

In May 2007, IEF traded between $81.75 and $83.05. ATM implied volatility averaged 3.6%. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 0.1% (HV 20d: 3.5%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.15.

Notable Days

  • 2007-05-31: Highest Volume — 920 contracts
  • 2007-05-17: Largest IV spike — 33.9% change
  • 2007-05-03: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.48$81.75$83.05$82.96$81.80
Max Pain$83.86$83.00$84.00$83.00$84.00
ATM IV3.6%2.8%4.3%4.2%3.7%
Expected Move1.0%0.8%1.2%1.2%1.1%
HV 20d3.5%2.8%3.9%3.9%2.8%
HV 60d3.9%3.4%4.1%4.1%3.4%
Term Structure-0.0%-0.8%0.9%0.0%-0.5%
VWIV3.9%2.7%4.4%4.2%4.4%
Skew 25d-0.1%-1.4%1.0%0.1%-0.9%
Skew 10d0.2%-1.5%1.1%0.3%0.5%
Call IV 25d3.3%2.4%4.3%3.3%4.3%
Put IV 25d3.3%2.4%4.3%3.4%3.4%
Bid-Ask Spread %22.7412.95100.6614.7223.99
Gamma HHI0.380.260.560.380.28
Net GEX1.5M178.0K3.2M1.5M495.1K
Net DEX-1.2M-6.8M5.3M-4.8M5.3M
Net VEX-63.1K-70.7K-55.5K-66.1K-57.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0035.780.767.93
Total Volume164.091292058920
Total OI8,239.9557,8478,7667,9278,051

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$82.96$83.004.2%1.2%3.9%0.0%4.2%0.1%0.0%1.5M-4.8M-66.1K0.7614.7233254,5343,393
2007-05-02$82.86$83.003.9%1.1%3.9%0.0%3.9%-0.4%0.0%1.9M-5.2M-69.2K0.2916.5570204,5533,294
2007-05-03$82.77$83.004.3%1.2%3.9%0.0%0.0%-0.5%-0.8%1.9M-4.5M-67.6K0.0018.64504,5763,304
2007-05-04$82.98$84.004.0%1.1%3.9%0.0%3.9%0.6%0.1%1.9M-5.8M-61.4K0.0526.14350194,5813,304
2007-05-07$83.05$84.003.7%1.1%3.5%0.0%3.9%-0.8%-0.1%2.4M-6.8M-64.4K1.0021.4914144,7493,300
2007-05-08$83.05$84.004.3%1.1%3.4%0.0%3.9%0.3%0.0%2.4M-6.6M-65.2K1.9421.6618354,7633,310
2007-05-09$82.78$84.003.6%0.8%3.6%0.0%0.0%0.0%0.9%2.8M-5.7M-60.4K2.6025.935134,7813,325
2007-05-10$82.99$84.002.9%0.8%3.7%0.0%0.0%0.0%0.6%3.2M-5.9M-63.3K0.0013.251104,7863,328
2007-05-11$82.82$84.003.1%0.9%3.7%0.0%3.8%0.9%0.4%2.8M-5.3M-55.5K4.0021.031054204,7973,328
2007-05-14$82.70$84.003.5%1.0%3.8%0.0%0.0%1.0%0.6%2.3M-3.5M-62.6K35.7820.3293224,7933,662
2007-05-15$82.69$84.003.3%0.9%3.4%0.0%2.7%0.8%0.3%2.2M-2.6M-69.0K0.1723.053054,7933,973
2007-05-16$82.64$84.002.8%0.8%3.3%0.0%0.0%0.6%0.5%2.0M-1.7M-70.7K0.0020.02204,7733,968
2007-05-17$82.42$84.003.8%1.1%3.4%0.0%0.0%0.7%-0.4%1.5M-1.3M-60.7K0.4223.861254,7733,968
2007-05-18$82.18$84.003.8%1.1%3.5%0.0%0.0%0.6%-0.1%528.5K1.9M-66.3K0.0016.630104,7653,963
2007-05-21$82.29$84.004.1%1.2%3.5%0.0%4.1%0.9%-0.3%533.1K870.2K-60.2K0.0313.944014,5303,963
2007-05-22$82.06$84.003.8%1.1%3.5%0.0%3.8%-1.4%-0.2%178.0K4.1M-65.5K6.7012.95302014,5693,963
2007-05-23$81.90$84.003.4%1.0%3.5%0.0%4.0%-0.5%-0.5%265.7K4.4M-61.6K0.5116.0139204,5893,763
2007-05-24$82.01$84.003.2%0.9%3.5%0.0%3.8%-0.7%-0.4%457.6K4.3M-66.2K3.7014.661465404,6153,763
2007-05-25$81.92$84.003.3%0.9%3.5%0.0%4.4%-0.8%-0.1%755.8K4.2M-61.1K0.00100.663004,6573,353
2007-05-29$81.75$84.003.6%1.0%3.0%0.0%4.1%-0.8%-0.2%788.3K4.8M-55.8K0.0214.436014,6473,353
2007-05-30$81.83$84.003.7%1.1%2.9%0.0%4.1%-0.9%-0.4%714.6K4.6M-56.8K0.2020.362554,6723,354
2007-05-31$81.80$84.003.7%1.1%2.8%0.0%4.4%-0.9%-0.5%495.1K5.3M-57.7K7.9323.991038174,6923,359