IEF Options History — June 2008

In June 2008, IEF traded between $85.94 and $88.00. ATM implied volatility averaged 11.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.2% (HV 20d: 7.9%). Max pain ranged from $87.00 to $91.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.30.

Notable Days

  • 2008-06-09: Highest Volume — 9,325 contracts
  • 2008-06-09: Largest IV spike — 22.6% change
  • 2008-06-09: Highest IV Rank — 41.6%
  • 2008-06-16: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.01$85.94$88.00$87.52$88.00
Max Pain$88.43$87.00$91.00$91.00$88.00
ATM IV11.1%9.4%12.7%9.9%9.4%
Expected Move3.2%2.7%3.5%2.8%2.7%
HV 20d7.9%7.1%8.4%7.1%8.1%
HV 60d8.0%7.2%9.0%9.0%7.2%
IV Rank34.0%24.6%41.6%29.2%24.6%
IV Percentile88.8%64.3%99.6%79.0%64.3%
Term Structure0.3%-0.5%1.8%0.1%1.8%
VWIV11.1%8.6%12.9%8.6%9.8%
Skew 25d0.2%-0.5%0.9%0.8%0.9%
Skew 10d0.3%-3.2%4.0%4.0%-3.2%
Call IV 25d11.0%9.1%12.6%9.6%9.1%
Put IV 25d11.2%9.9%12.4%10.4%9.9%
Bid-Ask Spread %26.2817.0347.5845.5927.05
Gamma HHI0.300.220.380.220.33
Net GEX-19.1M-26.0M-10.2M-21.2M-10.7M
Net DEX110.1M54.0M160.9M120.4M54.0M
Net VEX-436.0K-499.3K-358.9K-428.8K-393.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.1640.036.382.64
Total Volume1,542849,325539841
Total OI43,675.57133,47949,29445,30534,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$87.52$91.009.9%2.8%7.1%29.2%8.6%0.8%0.1%-21.2M120.4M-428.8K6.3845.59734665,06840,237
2008-06-03$87.98$91.0010.3%2.9%7.3%30.9%10.5%0.6%-0.1%-19.9M100.8M-367.4K3.5522.123071,0905,12640,678
2008-06-04$87.66$91.0010.2%2.9%7.3%30.4%10.4%0.5%0.0%-21.5M115.0M-374.1K10.6220.96505315,16041,233
2008-06-05$87.20$91.0010.4%3.0%7.4%31.6%10.1%0.3%-0.2%-22.4M131.2M-368.9K0.8324.7946385,17441,738
2008-06-06$87.96$87.0010.3%3.0%7.7%31.2%10.5%0.4%0.1%-22.2M106.1M-358.9K0.1947.589431755,21641,748
2008-06-09$87.33$87.0012.7%3.3%8.0%41.6%11.5%-0.1%-0.3%-21.2M122.3M-377.2K12.6925.336818,6445,80341,911
2008-06-10$86.81$87.0011.9%3.4%8.2%38.4%12.2%0.1%0.2%-22.0M140.5M-496.2K3.0521.209042,7556,19642,573
2008-06-11$86.90$88.0011.9%3.4%7.8%38.4%12.0%-0.0%-0.3%-23.2M132.4M-497.7K0.1623.669831626,28542,717
2008-06-12$86.14$88.0011.9%3.4%8.3%38.1%11.9%0.2%-0.2%-23.1M160.9M-489.7K40.0322.681556,2056,48942,805
2008-06-13$85.94$88.0011.9%3.4%7.9%38.1%11.9%0.2%-0.0%-21.7M154.8M-499.3K0.7424.334943666,55241,727
2008-06-16$85.95$88.0012.3%3.5%7.9%40.1%12.9%-0.1%-0.3%-23.5M145.6M-487.4K1.0840.151,0401,1236,87540,663
2008-06-17$86.24$88.0011.8%3.4%8.0%37.8%11.6%0.1%0.2%-23.9M126.3M-491.7K0.5922.937244257,63339,673
2008-06-18$86.71$88.0011.6%3.3%8.2%37.1%11.6%0.0%0.0%-23.8M111.1M-497.9K0.2722.733771008,10739,800
2008-06-19$86.21$88.0011.9%3.4%8.4%36.4%11.7%-0.1%-0.5%-22.8M120.3M-420.1K0.1717.03253428,29439,780
2008-06-20$86.61$88.0011.6%3.3%8.4%34.7%11.9%0.1%0.2%-26.0M113.4M-488.0K0.4221.334341828,45539,677
2008-06-23$86.57$88.0011.3%3.2%8.2%33.6%11.5%-0.2%0.7%-10.2M83.1M-426.3K1.3920.071141585,74727,732
2008-06-24$87.03$88.0011.4%3.3%8.4%33.8%11.0%0.4%0.5%-10.5M75.0M-432.1K1.2121.311651995,84727,880
2008-06-25$87.02$88.0010.8%3.1%8.0%31.4%11.0%-0.5%1.1%-10.5M75.7M-429.1K0.9317.982031885,95727,869
2008-06-26$87.51$88.0010.4%3.0%8.0%29.3%10.4%0.1%0.6%-10.6M66.3M-416.9K2.0632.911252586,09028,033
2008-06-27$87.94$88.009.8%2.8%8.1%26.6%9.2%0.4%1.4%-10.6M57.9M-415.0K1.2330.051632006,09028,033
2008-06-30$88.00$88.009.4%2.7%8.1%24.6%9.8%0.9%1.8%-10.7M54.0M-393.3K2.6427.052316106,27228,244