IEF Options History — August 2008

In August 2008, IEF traded between $87.57 and $89.62. ATM implied volatility averaged 8.6%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.0% (HV 20d: 7.6%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 8.67.

Notable Days

  • 2008-08-29: Highest Volume — 6,166 contracts
  • 2008-08-25: Largest IV spike — 12.9% change
  • 2008-08-04: Highest IV Rank — 22.5%
  • 2008-08-05: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.74$87.57$89.62$88.08$89.38
Max Pain$88.38$88.00$89.00$89.00$89.00
ATM IV8.6%7.8%9.4%8.9%8.3%
Expected Move2.6%2.3%3.0%2.6%2.4%
HV 20d7.6%6.1%9.0%8.5%6.1%
HV 60d7.7%7.4%7.9%7.8%7.4%
IV Rank18.2%14.6%22.5%20.0%16.4%
IV Percentile36.8%22.6%58.7%44.4%25.8%
Term Structure0.9%-0.4%2.3%1.7%1.5%
VWIV9.1%8.1%10.6%8.6%8.3%
Skew 25d0.1%-0.5%0.9%-0.5%0.9%
Skew 10d1.5%-1.4%3.7%2.8%-0.3%
Call IV 25d9.1%7.9%10.8%9.0%7.9%
Put IV 25d9.2%8.2%10.5%8.4%8.8%
Bid-Ask Spread %30.8019.7444.1338.5726.81
Gamma HHI0.250.210.310.240.22
Net GEX-23.4M-29.8M-10.0M-22.2M-29.2M
Net DEX69.2M33.0M119.9M99.2M60.8M
Net VEX-526.1K-612.3K-430.9K-612.3K-501.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.670.0747.550.5147.55
Total Volume1,248.3331096,1662416,166
Total OI58,315.23854,18663,37356,47463,373

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$88.08$89.008.9%2.6%8.5%20.0%8.6%-0.5%1.7%-22.2M99.2M-612.3K0.5138.571608111,14545,329
2008-08-04$88.02$88.009.4%3.0%8.3%22.5%10.5%-0.3%-0.2%-22.8M99.9M-592.4K0.1224.12971211,25645,344
2008-08-05$87.57$88.009.2%3.0%8.4%21.6%10.6%-0.3%-0.4%-23.9M117.7M-593.3K1.1733.4222626511,34145,354
2008-08-06$87.60$88.008.3%2.9%8.2%17.3%10.4%-0.2%0.1%-24.7M119.9M-578.9K0.7725.2315411911,52245,446
2008-08-07$88.42$88.008.3%2.9%9.0%17.0%10.5%0.0%-0.1%-22.7M79.3M-563.9K8.3634.282462,05611,64145,510
2008-08-08$88.38$88.007.8%2.7%8.3%14.9%9.8%-0.3%-0.2%-25.3M86.7M-576.4K0.5936.201116511,76547,522
2008-08-11$87.95$88.008.4%2.7%8.2%17.7%9.6%-0.1%0.4%-27.0M108.4M-560.4K0.7230.08997111,86447,537
2008-08-12$88.56$88.007.9%2.7%8.5%15.4%9.6%-0.0%0.4%-22.8M68.4M-535.5K0.0728.581941311,91746,532
2008-08-13$88.37$88.008.8%2.7%7.9%19.1%9.6%-0.1%0.4%-23.8M79.6M-535.6K36.7727.351164,26512,01046,540
2008-08-14$88.64$88.009.0%2.6%7.7%20.0%9.0%0.3%0.9%-17.2M57.9M-530.0K0.0919.742352112,09946,789
2008-08-15$88.97$88.009.2%2.6%7.6%21.1%9.3%0.3%0.8%-10.0M42.3M-513.4K0.1344.133444612,20746,792
2008-08-18$89.19$88.008.6%2.5%7.6%18.2%8.5%0.8%1.5%-20.3M43.3M-487.7K0.1635.101262010,30843,878
2008-08-19$89.06$88.008.6%2.5%7.5%18.2%8.6%0.8%0.8%-20.1M44.7M-481.1K0.4332.011566710,39443,898
2008-08-20$89.32$88.008.8%2.5%7.5%19.0%8.9%0.4%1.2%-19.3M37.7M-475.8K41.8239.29994,14010,49943,950
2008-08-21$89.13$89.008.7%2.5%7.0%18.4%8.5%0.3%1.3%-26.6M60.6M-515.8K0.1529.433785610,56047,947
2008-08-22$88.87$89.007.9%2.3%6.7%14.6%8.3%0.1%2.3%-29.8M70.3M-508.7K1.4637.639614010,78748,002
2008-08-25$89.46$89.008.9%2.6%6.8%19.5%8.6%0.1%1.0%-24.7M44.8M-468.7K0.4721.591436710,86248,029
2008-08-26$89.49$89.008.4%2.4%6.7%17.1%8.3%0.2%1.5%-24.3M33.0M-430.9K36.5727.911023,73010,99848,078
2008-08-27$89.62$89.008.4%2.4%6.7%17.0%8.6%-0.1%2.0%-26.5M43.7M-485.3K3.8023.933351,27411,08051,240
2008-08-28$89.49$89.008.2%2.4%6.2%16.2%8.1%0.2%1.8%-28.3M55.8M-500.8K0.3231.35943011,37751,898
2008-08-29$89.38$89.008.3%2.4%6.1%16.4%8.3%0.9%1.5%-29.2M60.8M-501.5K47.5526.811276,03911,45551,918