IEF Options History — August 2007

In August 2007, IEF traded between $81.73 and $84.14. ATM implied volatility averaged 6.7%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.5% (HV 20d: 6.2%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 3.36.

Notable Days

  • 2007-08-01: Highest Volume — 10,799 contracts
  • 2007-08-15: Largest IV spike — 43.5% change
  • 2007-08-06: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.92$81.73$84.14$82.05$84.14
Max Pain$80.74$79.00$81.00$79.00$81.00
ATM IV6.7%4.7%8.3%4.7%7.3%
Expected Move2.0%1.3%2.4%1.3%2.1%
HV 20d6.2%5.5%6.5%6.4%5.5%
HV 60d6.0%5.7%6.2%5.7%5.7%
IV Rank78.0%41.7%100.0%49.0%82.4%
IV Percentile93.1%65.4%100.0%69.7%95.8%
Term Structure-1.0%-2.3%1.1%1.1%-1.3%
VWIV6.8%4.5%9.0%4.7%6.1%
Skew 25d-0.2%-1.2%1.9%0.2%0.3%
Skew 10d-1.1%-3.8%1.0%0.0%0.0%
Call IV 25d7.1%4.6%9.0%5.5%6.9%
Put IV 25d6.9%5.4%9.2%5.6%7.2%
Bid-Ask Spread %31.6914.64107.23107.2332.19
Gamma HHI0.600.220.760.220.71
Net GEX14.3M1.1M23.1M1.1M21.5M
Net DEX-48.4M-80.9M-14.3M-14.3M-80.9M
Net VEX-226.3K-243.9K-126.5K-126.5K-233.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0027.630.034.71
Total Volume880.871110,79910,7991,108
Total OI24,252.78312,03527,16312,03527,163

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$82.05$79.004.7%1.3%6.4%49.0%4.7%0.2%1.1%1.1M-14.3M-126.5K0.03107.2310,4943056,7445,291
2007-08-02$82.11$79.006.3%1.8%5.9%89.7%6.2%-1.1%-0.6%12.6M-34.5M-223.0K0.0914.641291216,9745,449
2007-08-03$82.64$79.006.6%1.9%6.1%98.5%6.4%-0.7%-0.2%13.8M-45.6M-233.6K0.4818.931678117,0325,461
2007-08-06$82.31$81.007.3%1.9%6.3%100.0%6.7%-0.2%-1.2%11.8M-35.9M-228.1K3.8921.852701,05017,1795,529
2007-08-07$82.30$81.006.7%2.0%6.0%85.3%7.0%0.0%-1.3%10.4M-31.6M-234.7K27.6324.381952517,3196,463
2007-08-08$81.73$81.005.2%1.8%6.4%53.6%4.5%-0.0%-1.3%8.4M-17.9M-203.5K4.3959.5719786517,3166,423
2007-08-09$82.19$81.007.1%2.0%6.5%94.7%0.0%-0.4%-1.4%10.2M-29.3M-238.7K25.0026.2025017,2906,853
2007-08-10$82.07$81.007.3%2.1%6.5%100.0%7.4%-0.1%-1.9%9.6M-26.8M-225.9K0.7041.38644517,2926,823
2007-08-13$82.20$81.004.7%2.0%6.5%41.7%7.3%0.4%-1.3%10.7M-29.5M-230.8K1.3529.77263517,3516,828
2007-08-14$82.50$81.005.3%2.0%6.4%54.2%7.5%-0.3%-2.1%11.9M-37.9M-227.0K0.0026.8411017,3626,808
2007-08-15$82.65$81.007.5%2.1%6.4%100.0%7.5%1.9%-1.4%12.8M-43.5M-232.2K0.3948.92893517,3536,808
2007-08-16$82.97$81.008.3%2.4%6.4%100.0%9.0%-0.8%-2.3%11.0M-51.7M-240.5K0.3641.492739717,3966,823
2007-08-17$83.03$81.007.8%2.2%6.3%91.1%7.6%-0.9%-1.7%12.5M-51.0M-233.8K0.8525.0691777817,6426,869
2007-08-20$83.21$81.007.4%2.1%6.3%83.9%7.5%-0.9%-0.7%15.0M-54.7M-237.9K0.1026.682012118,0347,166
2007-08-21$83.57$81.008.0%2.3%6.4%94.4%7.8%-0.8%-1.0%15.6M-65.6M-241.9K0.5219.9628214618,2257,177
2007-08-22$83.30$81.007.0%2.0%6.5%75.5%6.9%-0.5%-0.1%16.2M-57.6M-233.2K0.8119.4717714418,4027,285
2007-08-23$83.33$81.006.8%1.9%6.0%72.1%6.8%-1.2%-0.3%16.6M-59.1M-240.2K0.9623.77686518,5007,405
2007-08-24$83.36$81.006.6%1.9%6.0%68.9%6.5%-0.2%-0.6%18.1M-55.6M-243.9K0.2024.451633318,5537,460
2007-08-27$83.59$81.006.4%1.8%5.9%66.2%5.6%0.1%0.0%20.2M-62.1M-224.8K0.4728.42532518,6287,474
2007-08-28$84.02$81.006.7%1.9%6.0%71.6%7.3%-0.5%-1.3%22.1M-78.0M-217.7K0.3219.022227218,6657,499
2007-08-29$83.70$81.005.6%1.6%5.6%50.5%6.4%1.7%-0.2%23.1M-70.8M-223.2K3.7129.1617464518,8457,553
2007-08-30$84.12$81.006.8%1.9%5.8%71.9%7.0%0.1%-0.9%22.6M-79.1M-231.9K0.2919.52972818,9348,168
2007-08-31$84.14$81.007.3%2.1%5.5%82.4%6.1%0.3%-1.3%21.5M-80.9M-233.2K4.7132.1919491418,9678,196