IEF Options History — March 2008

In March 2008, IEF traded between $89.52 and $92.53. ATM implied volatility averaged 10.9%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.6% (HV 20d: 11.4%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.23.

Notable Days

  • 2008-03-14: Highest Volume — 4,333 contracts
  • 2008-03-13: Largest IV spike — 10.0% change
  • 2008-03-17: Highest IV Rank — 40.1%
  • 2008-03-17: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.10$89.52$92.53$90.25$91.69
Max Pain$90.40$89.00$91.00$89.00$91.00
ATM IV10.9%9.8%12.0%11.0%9.9%
Expected Move3.2%2.8%3.4%3.1%2.8%
HV 20d11.4%9.7%13.2%10.6%11.9%
HV 60d9.8%9.2%10.4%9.5%10.1%
IV Rank35.2%30.6%40.1%35.8%31.1%
IV Percentile92.2%79.8%99.2%95.6%80.6%
Term Structure-0.0%-0.8%0.8%0.0%0.8%
VWIV11.1%9.8%12.2%10.8%9.8%
Skew 25d-0.2%-0.8%0.3%0.3%-0.7%
Skew 10d-0.3%-2.5%3.9%-2.5%0.1%
Call IV 25d11.1%10.3%12.5%10.8%10.3%
Put IV 25d11.0%9.5%12.1%11.1%9.5%
Bid-Ask Spread %30.8124.0648.4224.0630.53
Gamma HHI0.420.290.570.290.49
Net GEX-14.5M-20.0M-8.6M-11.2M-19.2M
Net DEX23.2M-3.0M60.2M12.4M32.0M
Net VEX-272.8K-324.2K-226.4K-244.1K-261.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.230.1313.357.110.65
Total Volume1,374.351234,3334,251135
Total OI61,523.5539,70477,94761,56540,461

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$90.25$89.0011.0%3.1%10.6%35.8%10.8%0.3%0.0%-11.2M12.4M-244.1K7.1124.065243,7275,30856,257
2008-03-04$89.91$89.0011.4%3.3%10.5%37.7%11.5%-0.1%-0.0%-14.0M25.3M-272.8K0.6631.443242135,44859,434
2008-03-05$89.52$89.0010.9%3.1%10.3%35.3%11.2%-0.0%0.2%-15.3M31.4M-276.9K0.6424.081711105,72059,603
2008-03-06$90.24$89.0011.1%3.2%10.7%36.1%11.0%-0.4%0.5%-11.5M11.8M-245.9K12.9025.93861,1095,80559,630
2008-03-07$90.55$89.0010.9%3.3%9.8%35.6%11.8%0.1%-0.6%-10.8M9.2M-250.4K13.3530.861251,6695,87960,739
2008-03-10$91.20$89.0010.5%3.4%9.7%33.8%12.0%-0.1%-0.8%-8.6M-3.0M-226.4K8.8625.802632,3295,93761,871
2008-03-11$90.21$91.0010.3%3.1%10.6%32.8%10.7%0.1%-0.6%-15.1M25.9M-286.6K3.0925.241073316,07664,206
2008-03-12$91.25$91.009.8%3.1%11.2%30.6%10.6%0.0%-0.7%-9.7M-412.7K-240.5K9.6127.734043,8836,08964,391
2008-03-13$90.77$91.0010.8%3.1%11.3%34.9%10.6%-0.1%-0.1%-15.5M24.6M-300.0K0.6824.994052776,23667,462
2008-03-14$91.71$91.0011.4%3.3%11.5%37.8%12.2%-0.2%0.3%-10.8M7.8M-265.4K8.0339.954803,8536,15067,524
2008-03-17$92.17$91.0012.0%3.4%11.6%40.1%12.0%-0.4%0.0%-11.8M8.6M-279.8K0.7429.187575636,27070,745
2008-03-18$91.54$91.0011.2%3.2%11.5%36.7%11.1%-0.8%-0.2%-14.3M20.2M-287.7K2.3248.421703946,16771,162
2008-03-19$92.33$91.0010.7%3.1%11.7%34.7%10.5%-0.3%-0.5%-13.0M2.5M-243.5K3.3841.791043526,20271,396
2008-03-20$92.53$91.0011.0%3.1%11.4%35.7%12.0%0.2%0.3%-12.7M889.0K-241.2K6.2638.494242,6536,23971,708
2008-03-24$90.90$91.0011.2%3.2%13.2%36.9%11.3%-0.3%0.1%-19.1M60.2M-324.2K1.3229.541752314,48235,222
2008-03-25$91.22$91.0011.3%3.2%12.9%37.1%11.2%-0.4%0.1%-19.3M53.8M-312.0K0.1330.85242324,63735,359
2008-03-26$91.29$91.0011.2%3.2%12.9%36.9%11.2%-0.4%0.1%-18.6M47.3M-302.8K3.2033.40491574,79435,381
2008-03-27$91.17$91.0010.7%3.1%13.0%34.3%10.8%-0.1%0.3%-20.0M53.6M-311.3K1.0528.342612754,83735,282
2008-03-28$91.53$91.009.9%2.8%12.4%30.9%10.0%0.1%0.3%-19.0M40.0M-283.3K0.6425.4875484,94235,420
2008-03-31$91.69$91.009.9%2.8%11.9%31.1%9.8%-0.7%0.8%-19.2M32.0M-261.7K0.6530.5382535,01635,445