IEF Options History — October 2007

In October 2007, IEF traded between $83.05 and $85.16. ATM implied volatility averaged 6.2%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded below realized volatility by 0.2% (HV 20d: 6.4%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 9.56.

Notable Days

  • 2007-10-19: Highest Volume — 7,880 contracts
  • 2007-10-05: Largest IV drop — 14.2% change
  • 2007-10-24: Highest IV Rank — 77.7%
  • 2007-10-24: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.06$83.05$85.16$83.67$84.47
Max Pain$83.26$83.00$84.00$84.00$84.00
ATM IV6.2%4.9%7.1%6.3%6.6%
Expected Move1.8%1.6%2.0%1.8%1.9%
HV 20d6.4%5.4%7.5%7.5%6.6%
HV 60d6.5%6.2%6.6%6.4%6.5%
IV Rank61.1%37.4%77.7%64.2%68.2%
IV Percentile79.8%58.9%90.2%81.3%82.3%
Term Structure-0.2%-1.0%0.2%0.1%-0.0%
VWIV6.2%4.3%7.0%6.4%6.4%
Skew 25d0.0%-0.7%1.2%0.0%-0.4%
Skew 10d-0.7%-3.2%1.6%-1.2%-0.2%
Call IV 25d6.2%5.2%7.3%6.8%6.0%
Put IV 25d6.2%5.6%7.0%6.8%5.6%
Bid-Ask Spread %21.5113.3629.6018.0417.46
Gamma HHI0.610.530.710.600.61
Net GEX-11.4M-16.0M-8.4M-8.4M-16.0M
Net DEX24.5M-209.9K41.0M21.4M34.9M
Net VEX-331.0K-414.9K-265.2K-310.1K-414.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.560.00177.080.330.59
Total Volume673.913237,880341110
Total OI27,471.34823,73234,16623,73234,166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$83.67$84.006.3%1.8%7.5%64.2%6.4%0.0%0.1%-8.4M21.4M-310.1K0.3318.04256856,23817,494
2007-10-02$83.85$84.006.5%1.9%7.3%66.6%6.4%-0.0%-0.1%-8.8M20.4M-318.7K2.3619.10872056,28217,533
2007-10-03$83.79$84.006.3%1.8%6.9%63.7%6.4%-0.0%0.2%-9.5M22.2M-311.5K0.2022.30105216,32617,468
2007-10-04$83.94$84.006.2%1.8%6.9%61.5%6.2%-0.1%0.2%-8.8M19.5M-311.5K0.0024.128806,36717,479
2007-10-05$83.20$84.005.3%1.7%6.4%45.5%5.9%0.1%-0.4%-11.0M36.5M-308.0K0.7624.912121626,42417,479
2007-10-08$83.50$83.004.9%1.7%6.5%37.4%6.0%0.3%0.1%-10.8M32.2M-302.7K0.2627.5978206,54317,620
2007-10-09$83.24$83.005.2%1.7%6.5%43.0%5.6%0.2%0.1%-10.1M39.3M-297.8K0.7522.4224186,59217,640
2007-10-10$83.29$83.005.3%1.7%6.5%45.0%4.3%0.4%0.2%-11.0M34.1M-302.5K0.4423.241676,60317,636
2007-10-11$83.33$83.005.6%1.6%6.2%50.9%5.6%0.2%-0.2%-11.8M38.5M-293.9K0.6622.2947316,61717,638
2007-10-12$83.05$83.005.7%1.6%6.3%52.9%5.9%0.6%-0.6%-11.3M37.8M-275.7K0.0017.183206,63617,658
2007-10-15$83.13$83.005.7%1.6%6.3%53.0%5.5%0.4%-0.3%-12.5M41.0M-284.7K10.5113.36353686,65617,658
2007-10-16$83.36$83.006.0%1.7%6.4%57.5%5.9%0.3%-0.2%-10.7M36.4M-282.7K5.2924.22311646,66917,729
2007-10-17$83.87$83.006.0%1.7%6.7%58.5%6.1%-0.1%-0.4%-9.0M20.3M-271.0K177.0818.80122,1256,70017,707
2007-10-18$84.19$83.005.8%1.7%5.4%53.8%0.0%1.2%-0.3%-13.0M16.6M-278.0K3.1115.689286,70719,712
2007-10-19$84.91$83.006.5%1.9%5.8%66.9%6.5%-0.5%-0.6%-12.0M-209.9K-265.2K2.1629.602,4905,3906,70719,723
2007-10-22$84.75$83.007.0%2.0%5.9%76.3%7.0%-0.3%-1.0%-14.2M19.0M-391.7K0.1624.88596957,96123,975
2007-10-23$84.73$83.006.5%1.9%5.9%67.7%6.4%-0.0%-0.4%-12.9M16.3M-390.0K0.1722.40459768,42524,070
2007-10-24$85.16$83.007.1%2.0%6.1%77.7%0.0%-0.3%-0.6%-10.7M8.4M-387.7K8.8622.19857538,66624,142
2007-10-25$85.09$83.006.9%2.0%6.1%75.1%6.8%-0.5%-0.1%-11.7M15.0M-407.9K1.3624.87771058,64924,837
2007-10-26$84.88$83.006.7%1.9%6.2%70.4%6.6%-0.7%-0.2%-12.4M18.3M-406.4K0.6719.3554368,68924,837
2007-10-29$84.95$83.006.9%2.0%6.1%75.1%6.7%-0.3%-0.4%-12.4M17.2M-399.4K2.6922.6329788,68924,837
2007-10-30$85.04$83.006.9%2.0%6.1%73.8%6.8%-0.2%-0.6%-12.6M18.3M-401.8K1.3818.073374648,70624,951
2007-10-31$84.47$84.006.6%1.9%6.6%68.2%6.4%-0.4%-0.0%-16.0M34.9M-414.9K0.5917.4669418,87125,295