IEF Options History — September 2008

In September 2008, IEF traded between $88.91 and $91.90. ATM implied volatility averaged 10.8%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.3% (HV 20d: 8.5%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2008-09-08: Highest Volume — 5,215 contracts
  • 2008-09-15: Largest IV spike — 20.1% change
  • 2008-09-30: Highest IV Rank — 41.9%
  • 2008-09-30: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.94$88.91$91.90$89.57$88.96
Max Pain$89.48$89.00$90.00$89.00$90.00
ATM IV10.8%8.1%13.6%8.6%13.6%
Expected Move3.2%2.4%3.9%2.5%3.9%
HV 20d8.5%4.5%13.6%6.1%13.6%
HV 60d7.9%6.8%9.7%7.2%9.7%
IV Rank28.8%15.4%41.9%18.2%41.9%
IV Percentile72.7%21.0%99.6%34.5%99.6%
Term Structure0.8%-0.8%3.5%1.0%0.3%
VWIV11.1%7.7%13.6%8.3%13.6%
Skew 25d0.6%-1.2%4.0%-0.0%0.8%
Skew 10d0.7%-5.0%4.1%0.3%0.9%
Call IV 25d10.8%7.3%13.7%8.3%13.7%
Put IV 25d11.5%8.2%14.5%8.3%14.5%
Bid-Ask Spread %52.8421.20113.4724.6934.62
Gamma HHI0.360.160.580.200.53
Net GEX-11.0M-19.4M-6.2M-16.0M-11.8M
Net DEX24.3M-21.1M69.7M21.1M62.8M
Net VEX-376.3K-421.7K-325.6K-404.6K-362.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0214.190.691.61
Total Volume1,236.476975,215221219
Total OI53,18529,66968,80860,14332,179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$89.57$89.008.6%2.5%6.1%18.2%8.3%-0.0%1.0%-16.0M21.1M-404.6K0.6924.691319010,93549,208
2008-09-03$89.79$89.008.3%2.4%5.7%16.5%7.7%0.8%1.0%-14.6M18.3M-407.4K0.0921.201821610,96649,247
2008-09-04$90.24$89.008.2%2.4%5.8%16.1%8.1%0.9%1.2%-6.2M-4.7M-347.3K8.0433.081971,58311,10149,252
2008-09-05$90.04$89.008.1%2.6%5.2%15.4%9.1%0.2%0.6%-7.0M-3.0M-329.8K14.1930.801772,51111,10148,421
2008-09-08$90.05$89.008.6%2.9%5.2%18.1%10.9%0.5%0.3%-6.4M-3.8M-325.6K12.2431.643944,82111,37947,369
2008-09-09$90.46$89.009.0%3.0%4.8%19.9%10.7%0.8%-0.6%-6.9M565.5K-358.6K10.4943.392983,12511,56351,315
2008-09-10$90.23$89.009.3%3.1%4.6%21.5%11.0%0.4%-0.7%-9.6M11.0M-372.5K0.3721.232047511,80353,939
2008-09-11$90.07$89.0010.8%3.1%4.5%28.5%10.5%0.4%-0.5%-10.5M18.0M-398.1K0.0222.57316511,93353,997
2008-09-12$89.62$89.0010.8%3.1%4.9%28.8%0.0%0.5%-0.3%-19.4M37.6M-421.7K1.9723.9015330112,07353,997
2008-09-15$91.34$89.0013.0%3.7%8.2%39.3%13.1%0.3%-0.1%-7.2M-12.3M-370.1K0.0949.318607512,14353,825
2008-09-16$91.08$89.0012.0%3.5%8.3%34.5%12.6%0.1%-0.8%-8.6M-11.5M-365.7K4.7181.906022,83412,45553,871
2008-09-17$91.90$90.0010.2%2.9%8.7%25.4%11.8%2.1%3.5%-7.3M-21.1M-345.3K8.4781.131781,50712,58755,799
2008-09-18$90.82$90.0011.8%3.4%9.9%33.3%9.6%1.3%1.1%-13.6M8.2M-400.9K2.27113.4721148012,65555,727
2008-09-19$89.20$90.0012.1%3.5%11.9%34.6%12.7%1.5%0.5%-13.0M50.7M-405.0K0.1695.432594112,77356,035
2008-09-22$89.01$90.0010.9%3.1%11.9%29.2%10.2%4.0%3.1%-14.2M69.7M-372.3K0.71107.211,4101,0009,68319,986
2008-09-23$89.01$90.0012.6%3.6%11.6%37.0%12.5%0.2%0.9%-11.4M62.4M-384.3K0.1352.395487310,46820,487
2008-09-24$89.24$90.0012.9%3.7%11.7%38.5%12.8%0.1%0.4%-11.4M54.5M-393.9K0.7453.8917212810,95420,490
2008-09-25$88.97$90.0011.7%3.3%11.7%32.8%11.8%0.4%2.1%-12.3M64.3M-385.1K0.3156.30742311,11920,492
2008-09-26$88.91$90.0012.2%3.5%11.7%35.2%12.8%-0.3%1.9%-11.6M62.7M-376.6K1.0458.4611612111,17820,492
2008-09-29$90.15$90.0013.1%3.8%12.7%39.5%12.9%-1.2%1.4%-11.4M25.3M-374.3K0.9972.9622922711,28620,602
2008-09-30$88.96$90.0013.6%3.9%13.6%41.9%13.6%0.8%0.3%-11.8M62.8M-362.0K1.6134.628413511,42820,751