IEF Options History — July 2008

In July 2008, IEF traded between $86.98 and $88.79. ATM implied volatility averaged 10.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.7% (HV 20d: 7.6%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 4.00.

Notable Days

  • 2008-07-02: Highest Volume — 3,261 contracts
  • 2008-07-10: Largest IV spike — 17.3% change
  • 2008-07-15: Highest IV Rank — 35.8%
  • 2008-07-15: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.83$86.98$88.79$87.47$88.34
Max Pain$88.55$87.00$89.00$88.00$89.00
ATM IV10.3%8.4%11.8%9.9%9.7%
Expected Move3.0%2.5%3.4%2.8%2.8%
HV 20d7.6%6.6%8.4%8.2%8.4%
HV 60d7.4%7.1%7.8%7.2%7.8%
IV Rank28.1%19.8%35.8%26.9%23.8%
IV Percentile73.8%40.5%95.2%71.4%61.1%
Term Structure0.2%-0.7%2.0%0.9%0.8%
VWIV10.4%8.2%12.2%9.9%9.7%
Skew 25d0.4%-0.9%1.2%-0.0%0.2%
Skew 10d-0.7%-3.7%3.0%0.0%3.0%
Call IV 25d10.4%9.0%11.9%10.0%9.9%
Put IV 25d10.8%8.2%12.7%9.9%10.0%
Bid-Ask Spread %33.2619.06116.8135.8236.65
Gamma HHI0.260.220.350.240.25
Net GEX-14.7M-21.9M-8.9M-12.7M-19.3M
Net DEX80.6M30.0M121.0M67.5M90.6M
Net VEX-494.3K-570.8K-412.5K-451.4K-570.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0419.960.078.80
Total Volume1,429.0452023,2612722,353
Total OI44,565.45535,05454,41735,05454,417

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$87.47$88.009.9%2.8%8.2%26.9%9.9%-0.0%0.9%-12.7M67.5M-451.4K0.0735.82254186,26828,786
2008-07-02$87.68$88.0010.6%3.0%8.1%30.3%8.2%0.7%0.1%-12.0M63.0M-453.2K1.8538.381,1432,1186,48428,789
2008-07-03$87.71$88.009.1%2.6%7.9%23.1%9.2%0.4%0.9%-12.4M61.1M-449.5K0.3924.51145577,54030,695
2008-07-07$88.12$87.009.0%3.0%7.4%22.8%10.7%-0.2%0.0%-11.8M50.9M-432.7K0.1526.57388587,64430,730
2008-07-08$88.34$87.009.1%3.0%6.9%23.4%10.4%-0.1%0.0%-10.5M42.8M-422.3K0.0425.57249117,96030,751
2008-07-09$88.76$87.008.4%2.9%6.6%19.9%10.0%0.0%0.0%-8.9M30.0M-412.5K0.6329.673612278,15230,762
2008-07-10$88.79$88.009.8%2.8%6.6%26.6%10.0%-0.1%0.8%-8.9M30.8M-420.8K19.9629.281533,0548,40730,982
2008-07-11$87.96$89.0011.4%3.3%6.8%33.9%11.5%0.6%-0.5%-13.9M69.6M-473.1K1.6530.709521,5688,51534,022
2008-07-14$88.43$89.0011.5%3.3%6.8%34.4%11.3%0.6%-0.7%-12.9M54.2M-482.4K0.2022.95240499,34835,214
2008-07-15$88.75$89.0011.8%3.4%6.8%35.8%12.2%0.4%-0.1%-11.4M47.3M-476.4K4.7530.023571,6979,36435,191
2008-07-16$87.94$89.0011.5%3.3%7.8%34.4%11.8%-0.3%-0.3%-16.1M75.2M-495.9K6.1319.063892,3849,49036,719
2008-07-17$87.52$89.0011.7%3.3%7.8%34.3%12.0%1.0%-0.1%-21.4M105.0M-563.6K0.3730.50152569,62139,035
2008-07-18$87.22$89.0011.6%3.3%7.6%33.9%11.4%1.1%-0.1%-21.9M111.7M-520.5K2.6733.728242,1979,71039,070
2008-07-21$87.42$89.0011.3%3.2%7.5%32.5%10.2%1.2%-0.1%-13.6M102.2M-515.8K0.1823.48323579,38935,677
2008-07-22$87.12$89.0011.3%3.2%7.6%32.3%10.8%0.8%-0.6%-14.2M109.2M-514.0K3.4322.312991,0269,63235,690
2008-07-23$86.98$89.0011.0%3.2%7.4%31.1%10.9%1.0%-0.4%-14.8M115.1M-518.5K1.0925.552022219,91136,691
2008-07-24$87.73$89.009.6%2.7%8.0%23.2%9.7%1.2%1.4%-15.2M98.2M-532.2K4.7931.884962,37810,07236,882
2008-07-25$87.22$89.009.8%2.8%8.1%24.3%9.4%0.5%0.2%-17.6M121.0M-544.0K2.3937.818420110,40039,216
2008-07-28$87.72$89.008.8%2.5%8.2%19.8%9.4%-0.9%2.0%-16.0M102.0M-537.0K11.95116.811101,31410,47139,416
2008-07-29$87.47$89.0010.2%2.9%8.2%26.0%10.2%0.5%0.2%-18.2M115.1M-540.7K1.0130.5543043310,55040,726
2008-07-30$87.64$89.009.9%2.8%8.0%24.9%9.8%0.4%0.4%-18.5M111.4M-547.2K15.5129.911462,26510,96341,088
2008-07-31$88.34$89.009.7%2.8%8.4%23.8%9.7%0.2%0.8%-19.3M90.6M-570.8K8.8036.652402,11311,07943,338