IEF Options History — April 2008

In April 2008, IEF traded between $88.57 and $90.97. ATM implied volatility averaged 8.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 1.0% (HV 20d: 9.9%). Max pain ranged from $87.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 28.65.

Notable Days

  • 2008-04-15: Highest Volume — 6,086 contracts
  • 2008-04-08: Largest IV drop — 13.5% change
  • 2008-04-04: Highest IV Rank — 30.9%
  • 2008-04-17: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.87$88.57$90.97$90.58$89.17
Max Pain$89.82$87.00$91.00$91.00$89.00
ATM IV8.9%7.9%9.9%9.2%8.3%
Expected Move2.6%2.4%2.7%2.6%2.4%
HV 20d9.9%6.5%12.6%12.6%6.6%
HV 60d10.4%10.0%10.7%10.5%10.0%
IV Rank26.7%22.2%30.9%28.1%24.0%
IV Percentile66.8%56.0%79.0%73.4%56.0%
Term Structure0.1%-0.6%0.9%0.9%0.8%
VWIV9.1%8.2%10.8%9.4%8.6%
Skew 25d0.3%-0.6%1.5%-0.6%0.1%
Skew 10d0.5%-3.0%4.7%-3.0%0.5%
Call IV 25d8.9%7.7%10.0%10.0%8.9%
Put IV 25d9.2%8.6%9.7%9.4%8.9%
Bid-Ask Spread %26.8220.7240.7625.8236.02
Gamma HHI0.480.290.840.450.29
Net GEX-22.7M-48.6M-7.0M-25.8M-9.4M
Net DEX58.3M39.0M79.6M63.0M61.2M
Net VEX-241.0K-362.1K-174.9K-276.5K-362.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.650.06467.150.800.45
Total Volume1,301.091416,086591128
Total OI37,330.77329,69041,32240,00935,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$90.58$91.009.2%2.6%12.6%28.1%9.4%-0.6%0.9%-25.8M63.0M-276.5K0.8025.823292624,51335,496
2008-04-02$90.28$91.009.2%2.6%12.6%28.1%9.7%-0.0%0.5%-25.5M72.8M-279.1K0.8923.5766594,45335,553
2008-04-03$90.28$91.009.2%2.6%12.4%27.9%8.4%-0.2%0.2%-26.9M73.0M-266.4K1.0021.111231234,48335,512
2008-04-04$90.97$90.009.9%2.7%12.4%30.9%9.5%-0.4%0.0%-25.7M45.8M-245.0K0.1523.80601904,58935,581
2008-04-07$90.37$90.009.1%2.6%12.6%27.6%9.2%-0.2%0.3%-28.5M68.6M-251.4K1.0527.4620215,15035,671
2008-04-08$90.38$90.007.9%2.6%12.3%22.2%8.9%0.0%-0.0%-31.3M67.7M-229.1K1.5220.72951445,15235,680
2008-04-09$90.92$90.008.1%2.5%11.8%23.1%8.8%-0.5%0.4%-27.0M41.8M-214.0K3.4025.781274325,19735,804
2008-04-10$90.56$90.008.8%2.5%11.2%26.1%8.8%-0.3%0.5%-31.0M57.7M-216.8K0.3825.7434135,20035,833
2008-04-11$90.95$90.008.9%2.6%11.1%26.7%8.7%-0.5%-0.1%-30.1M39.0M-206.6K2.5222.18751895,20335,826
2008-04-14$90.72$90.009.2%2.6%10.5%27.8%9.1%-0.3%-0.2%-33.0M49.3M-182.0K0.0624.286445,22835,896
2008-04-15$90.31$90.009.0%2.6%10.4%27.2%0.0%-0.2%-0.1%-30.9M67.8M-174.9K467.1522.92136,0735,26235,900
2008-04-16$89.70$90.009.3%2.7%10.4%28.6%9.5%-0.0%-0.4%-32.8M79.6M-209.2K31.3326.321344,1985,26335,887
2008-04-17$89.49$90.009.5%2.7%9.7%29.4%9.5%0.8%-0.3%-40.9M70.6M-242.2K8.6126.531831,5765,32934,983
2008-04-18$89.40$90.009.1%2.6%9.6%27.4%9.2%1.1%-0.2%-48.6M74.6M-256.1K39.3534.791405,5095,35735,965
2008-04-21$89.41$90.009.3%2.7%7.6%28.5%8.2%1.1%-0.6%-7.1M42.1M-228.4K0.9627.9046444,52325,167
2008-04-22$89.48$90.008.7%2.5%7.4%25.7%9.2%1.5%-0.1%-7.4M42.6M-233.8K0.5727.217694424,52325,167
2008-04-23$89.39$87.008.7%2.5%7.4%25.9%10.8%1.4%-0.2%-7.3M42.2M-235.7K1.0231.042942995,12125,570
2008-04-24$88.69$90.008.3%2.4%7.8%24.1%8.5%0.6%0.3%-7.5M54.9M-238.0K0.6529.972001304,99925,646
2008-04-25$88.57$89.008.3%2.4%7.5%24.1%8.7%1.2%0.3%-7.0M56.0M-222.1K3.3121.12772555,07825,633
2008-04-28$88.73$89.008.9%2.5%7.5%26.6%9.2%0.8%0.3%-7.5M54.3M-239.3K18.3925.061182,1705,15325,849
2008-04-29$88.89$89.009.0%2.6%6.5%27.1%9.0%0.5%-0.0%-8.4M58.8M-292.4K46.6640.76622,8935,26327,794
2008-04-30$89.17$89.008.3%2.4%6.6%24.0%8.6%0.1%0.8%-9.4M61.2M-362.1K0.4536.0288405,28930,536