IEF Options History — May 2008

In May 2008, IEF traded between $87.02 and $89.03. ATM implied volatility averaged 8.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.1% (HV 20d: 6.6%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 11.13.

Notable Days

  • 2008-05-08: Highest Volume — 3,856 contracts
  • 2008-05-12: Largest IV spike — 15.4% change
  • 2008-05-29: Highest IV Rank — 32.9%
  • 2008-05-29: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.32$87.02$89.03$88.88$87.31
Max Pain$90.81$89.00$91.00$89.00$91.00
ATM IV8.7%8.0%10.7%8.4%9.4%
Expected Move2.5%2.3%3.1%2.4%2.7%
HV 20d6.6%5.9%7.5%6.6%7.5%
HV 60d9.6%9.0%10.1%9.9%9.1%
IV Rank25.2%21.8%32.9%24.3%27.0%
IV Percentile60.7%50.0%87.7%57.1%72.6%
Term Structure0.3%-0.9%1.5%-0.3%0.3%
VWIV8.8%7.7%10.4%8.3%8.9%
Skew 25d0.5%-0.4%1.1%0.1%0.7%
Skew 10d1.1%-2.6%4.4%2.5%0.1%
Call IV 25d8.6%7.8%9.8%8.2%8.6%
Put IV 25d9.1%7.8%10.5%8.3%9.3%
Bid-Ask Spread %27.9317.4549.4733.5425.00
Gamma HHI0.250.220.260.260.26
Net GEX-16.4M-20.3M-10.1M-10.7M-19.5M
Net DEX92.6M65.2M129.4M65.2M129.4M
Net VEX-379.7K-426.0K-332.8K-361.0K-359.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.130.08129.000.720.08
Total Volume695.762283,856188179
Total OI41,395.52435,73945,34035,77145,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$88.88$89.008.4%2.4%6.6%24.3%8.3%0.1%-0.3%-10.7M65.2M-361.0K0.7233.54109795,22230,549
2008-05-02$88.16$89.008.0%2.3%6.3%22.8%8.1%-0.4%0.5%-10.5M76.9M-350.9K3.6830.53311145,30530,493
2008-05-05$88.29$91.008.4%2.5%6.1%24.5%8.5%0.5%0.2%-10.5M74.9M-345.2K0.1720.542445,29130,448
2008-05-06$88.01$91.008.4%2.5%6.1%24.5%8.8%0.0%0.1%-10.3M80.1M-344.2K0.5630.112311305,31130,448
2008-05-07$88.36$91.008.7%2.6%5.9%25.6%9.0%0.2%0.2%-10.1M73.0M-345.5K42.5529.05713,0215,41830,448
2008-05-08$88.93$91.008.5%2.6%6.4%24.7%9.9%1.1%0.3%-12.6M71.0M-377.5K20.5423.381793,6775,40233,460
2008-05-09$89.03$91.008.3%2.6%6.2%23.9%8.9%0.4%0.4%-15.5M74.9M-403.0K129.0017.45121,5485,36236,477
2008-05-12$88.88$91.009.5%2.6%6.1%29.4%9.1%0.2%0.2%-17.0M82.8M-426.0K1.2717.7630385,36438,010
2008-05-13$88.14$91.009.3%2.6%6.6%28.6%0.0%0.3%0.2%-17.8M102.6M-421.6K0.1220.265775,38438,009
2008-05-14$88.11$91.008.9%2.6%6.2%26.5%9.3%0.7%0.2%-18.2M105.6M-416.5K3.0025.9226785,43138,010
2008-05-15$88.60$91.008.6%2.5%6.6%25.5%8.7%0.1%0.5%-18.0M89.4M-412.0K3.0037.7923695,43138,013
2008-05-16$88.45$91.008.6%2.5%6.6%23.9%8.8%0.3%0.7%-18.6M95.4M-407.2K1.1228.3617195,42937,988
2008-05-19$88.65$91.008.1%2.3%6.7%21.8%8.0%0.3%1.3%-18.8M90.4M-394.3K0.5518.522041134,50437,699
2008-05-20$88.92$91.008.4%2.4%6.8%23.3%8.5%0.6%0.4%-18.2M82.2M-389.3K0.2822.8788254,63337,779
2008-05-21$88.71$91.008.2%2.3%6.8%22.2%7.7%0.5%1.2%-18.6M86.5M-386.2K0.7725.6073564,65237,780
2008-05-22$88.13$91.008.4%2.4%6.6%23.0%8.1%0.9%0.3%-19.6M106.8M-378.1K21.5731.27881,8984,69037,790
2008-05-23$88.52$91.008.2%2.3%6.8%22.0%8.3%1.0%1.5%-19.4M96.3M-383.7K0.5249.47111584,70739,383
2008-05-27$88.09$91.008.9%2.6%7.0%25.2%8.7%0.5%0.4%-19.8M108.2M-368.1K0.3048.71151464,73639,425
2008-05-28$87.43$91.009.6%2.8%7.4%28.1%9.6%0.9%-0.5%-19.3M126.2M-371.4K1.9826.024569024,85639,461
2008-05-29$87.02$91.0010.7%3.1%7.4%32.9%10.4%0.7%-0.9%-20.3M127.4M-332.8K1.8724.361983714,98440,184
2008-05-30$87.31$91.009.4%2.7%7.5%27.0%8.9%0.7%0.3%-19.5M129.4M-359.6K0.0825.00166135,11040,230