IEF Options History — November 2007

In November 2007, IEF traded between $84.84 and $88.10. ATM implied volatility averaged 8.3%, placing in the 83.7% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.7% (HV 20d: 6.6%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 10.35.

Notable Days

  • 2007-11-02: Highest Volume — 6,275 contracts
  • 2007-11-15: Largest IV spike — 46.8% change
  • 2007-11-09: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.19$84.84$88.10$84.86$87.58
Max Pain$84.10$84.00$85.00$85.00$84.00
ATM IV8.3%5.5%11.1%6.6%9.8%
Expected Move2.4%1.9%3.2%1.9%2.8%
HV 20d6.6%5.6%8.9%6.8%8.5%
HV 60d6.7%6.3%7.5%6.3%7.4%
IV Rank83.7%44.2%100.0%69.8%84.7%
IV Percentile94.4%66.2%100.0%84.3%98.7%
Term Structure-0.7%-1.8%0.1%-0.2%-0.9%
VWIV8.3%6.4%11.8%6.4%8.9%
Skew 25d-0.4%-1.5%0.6%0.3%-1.2%
Skew 10d-0.8%-4.4%2.2%0.5%-4.4%
Call IV 25d8.6%6.5%12.2%6.5%10.4%
Put IV 25d8.3%6.7%11.6%6.7%9.3%
Bid-Ask Spread %66.5322.91101.8622.9176.98
Gamma HHI0.520.390.650.520.39
Net GEX-15.6M-20.4M-11.0M-11.0M-13.1M
Net DEX30.4M13.8M50.2M16.5M21.1M
Net VEX-535.9K-593.8K-383.2K-383.2K-548.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.350.0170.766.811.09
Total Volume1,777.429716,2753,202213
Total OI47,406.90533,31055,55133,31055,551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$84.86$85.006.6%1.9%6.8%69.8%6.4%0.3%-0.2%-11.0M16.5M-383.2K6.8122.914102,7927,97425,336
2007-11-02$85.09$85.006.8%1.9%5.8%72.7%6.7%-0.1%0.1%-11.6M19.7M-423.3K62.3823.04996,1768,37027,721
2007-11-05$84.99$84.007.3%2.0%5.8%81.1%7.0%-0.1%-0.7%-17.1M43.6M-540.3K3.6253.61632288,41933,862
2007-11-06$84.84$84.006.9%2.0%5.7%75.1%6.6%0.1%-0.7%-18.3M50.2M-546.1K0.1232.83116148,45633,963
2007-11-07$85.15$84.006.9%2.1%5.8%75.1%7.4%-0.1%-0.5%-15.1M38.2M-536.6K6.3682.66915798,54433,977
2007-11-08$85.34$84.006.9%2.2%5.8%74.7%7.5%0.0%-0.7%-14.0M35.1M-531.2K12.6480.701211,5298,54434,483
2007-11-09$85.85$84.009.0%2.4%5.7%100.0%8.4%-0.7%-0.8%-14.1M27.6M-542.9K8.1166.314183,3908,56936,009
2007-11-12$86.00$84.008.0%2.4%5.7%84.1%8.3%-0.9%-0.8%-14.2M29.4M-568.2K0.1383.426388,73338,965
2007-11-13$85.45$84.008.6%2.2%6.4%93.1%0.0%-0.5%-0.5%-16.2M43.9M-592.8K7.6982.28131008,75338,963
2007-11-14$85.62$84.005.5%2.1%6.1%44.2%7.6%-0.8%-0.7%-16.1M41.0M-581.2K0.4954.39122608,75539,063
2007-11-15$86.10$84.008.1%2.3%6.3%85.8%8.2%0.6%-1.7%-13.4M17.1M-532.5K0.3755.772991108,82139,123
2007-11-16$86.10$84.008.1%2.3%5.6%85.0%7.9%-0.1%-1.8%-12.8M13.8M-513.0K9.5564.983243,0958,62639,163
2007-11-19$86.72$84.008.1%2.3%6.0%86.0%7.6%-0.7%-0.2%-17.7M24.0M-504.7K8.83101.862782,4566,24241,325
2007-11-20$86.49$84.008.6%2.5%6.1%92.8%8.3%-0.7%-0.5%-20.4M37.0M-557.5K14.8942.931231,8326,29043,355
2007-11-21$87.17$84.009.1%2.6%6.4%100.0%9.0%0.6%-0.4%-19.5M41.4M-590.7K1.9693.771823576,34244,948
2007-11-23$86.91$84.009.2%2.6%6.6%100.0%9.5%-1.2%-0.4%-19.2M33.5M-555.4K0.7523.624923676,43345,223
2007-11-26$88.10$84.0011.1%3.2%7.8%100.0%11.8%-0.6%-0.6%-14.3M14.2M-500.3K0.4986.851,9679626,90745,477
2007-11-27$87.28$84.009.4%2.7%8.7%79.2%9.3%-0.4%-0.2%-16.4M29.1M-557.8K0.2087.68420848,07646,147
2007-11-28$86.97$84.009.9%2.8%8.9%84.9%9.9%-0.2%-0.6%-18.2M40.5M-593.8K0.0189.661,258158,41246,141
2007-11-29$87.46$84.0010.2%2.9%8.5%88.3%10.1%-1.5%-1.2%-14.3M21.3M-554.3K70.7690.83856,0159,32846,156
2007-11-30$87.58$84.009.8%2.8%8.5%84.7%8.9%-1.2%-0.9%-13.1M21.1M-548.8K1.0976.981021119,38346,168