IEF Options History — January 2008

In January 2008, IEF traded between $87.63 and $90.61. ATM implied volatility averaged 9.9%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.6% (HV 20d: 8.3%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 18.45.

Notable Days

  • 2008-01-15: Highest Volume — 4,787 contracts
  • 2008-01-22: Largest IV spike — 18.9% change
  • 2008-01-25: Highest IV Rank — 40.3%
  • 2008-01-25: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.06$87.63$90.61$87.63$89.93
Max Pain$88.81$87.00$89.00$87.00$89.00
ATM IV9.9%8.7%12.0%10.4%10.4%
Expected Move2.9%2.5%3.4%3.0%3.0%
HV 20d8.3%6.9%9.9%9.9%8.3%
HV 60d8.4%8.1%8.9%8.2%8.8%
IV Rank31.2%25.7%40.3%33.3%33.4%
IV Percentile93.5%86.9%99.6%99.2%96.8%
Term Structure-0.1%-0.7%0.8%-0.3%0.8%
VWIV9.8%8.4%12.4%10.3%10.1%
Skew 25d-0.6%-1.4%-0.0%-1.4%-0.6%
Skew 10d-1.4%-3.6%1.1%-1.4%1.1%
Call IV 25d10.3%8.9%12.2%10.9%11.2%
Put IV 25d9.7%8.2%12.0%9.6%10.6%
Bid-Ask Spread %35.2220.65113.9247.9642.03
Gamma HHI0.280.230.380.380.24
Net GEX-14.6M-17.2M-11.7M-13.4M-14.8M
Net DEX21.1M1.4M41.2M29.8M17.1M
Net VEX-364.0K-433.5K-281.7K-419.3K-336.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.450.01202.802.250.24
Total Volume1,100.095454,787422151
Total OI48,271.61939,85555,30739,85555,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$87.63$87.0010.4%3.0%9.9%33.3%10.3%-1.4%-0.3%-13.4M29.8M-419.3K2.2547.961302924,78435,071
2008-01-03$87.81$87.009.8%2.8%9.9%30.7%9.7%-1.0%0.0%-13.3M27.4M-406.1K1.3526.013755074,91235,203
2008-01-04$88.04$89.008.7%2.7%9.9%25.9%9.6%-1.1%-0.0%-12.5M21.2M-385.4K3.4840.214251,4815,28035,627
2008-01-07$88.20$89.009.2%2.6%9.7%27.8%9.2%-0.4%-0.1%-13.3M20.3M-366.2K18.4627.58921,6985,21036,975
2008-01-08$88.39$89.009.1%2.7%9.3%27.4%9.3%-0.3%0.1%-15.0M24.5M-394.5K3.1032.78401245,27238,637
2008-01-09$88.25$89.008.9%2.6%9.3%26.6%9.1%-0.8%-0.2%-14.7M21.8M-375.3K1.0526.92961015,30138,718
2008-01-10$88.01$89.008.8%2.5%8.1%26.4%8.8%-0.5%-0.0%-15.9M31.6M-409.5K1.7142.86821405,37138,688
2008-01-11$88.57$89.008.7%2.5%7.7%25.7%8.4%-0.7%0.3%-14.3M17.2M-355.1K15.6726.64304705,45238,744
2008-01-14$88.61$89.008.7%2.5%7.0%25.9%0.0%-0.6%0.3%-14.6M13.7M-326.1K202.8021.8651,0145,47939,050
2008-01-15$89.19$89.008.9%2.6%7.0%26.7%9.0%-0.0%0.1%-12.5M1.4M-296.0K32.0131.561454,6425,48440,064
2008-01-16$89.02$89.008.9%2.6%6.9%26.9%8.9%-0.1%-0.1%-16.5M18.1M-349.7K38.0822.32662,5135,57544,052
2008-01-17$89.74$89.009.2%2.6%7.3%27.9%8.6%-0.6%0.2%-15.2M7.6M-324.8K0.8025.752051655,61645,940
2008-01-18$89.61$89.009.0%2.6%7.0%27.3%8.8%-1.4%-0.3%-17.1M29.2M-396.4K0.56113.929605334,84545,917
2008-01-22$90.61$89.0010.8%3.1%7.7%34.8%10.3%-0.8%-0.4%-11.7M1.8M-281.7K34.7231.42431,4935,29045,727
2008-01-23$90.19$89.0011.5%3.3%7.3%37.9%11.8%-0.8%-0.4%-13.7M14.6M-329.5K14.4724.781562,2575,31747,186
2008-01-24$89.37$89.0011.9%3.4%8.2%40.0%12.4%-0.2%-0.4%-17.2M41.2M-433.5K0.4221.492541065,44249,382
2008-01-25$90.20$89.0012.0%3.4%8.2%40.3%11.4%-0.7%-0.7%-14.0M19.1M-358.0K14.1439.90801,1315,64749,429
2008-01-28$89.87$89.0011.9%3.4%8.5%39.9%0.0%-0.3%-0.2%-14.9M27.6M-372.2K0.0124.3420625,63448,817
2008-01-29$89.51$89.0011.2%3.2%8.5%36.7%0.0%-0.4%-0.5%-16.4M31.6M-377.9K0.2920.6535105,79548,819
2008-01-30$89.47$89.0010.4%3.0%8.4%33.1%10.2%-0.9%-0.1%-16.6M26.8M-350.5K1.8448.702985495,82648,819
2008-01-31$89.93$89.0010.4%3.0%8.3%33.4%10.1%-0.6%0.8%-14.8M17.1M-336.3K0.2442.03122296,09949,208