IEF Options History — October 2008

In October 2008, IEF traded between $86.67 and $90.85. ATM implied volatility averaged 14.9%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.8% (HV 20d: 13.1%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 5.65.

Notable Days

  • 2008-10-14: Highest Volume — 11,510 contracts
  • 2008-10-13: Largest IV spike — 104.1% change
  • 2008-10-13: Highest IV Rank — 100.0%
  • 2008-10-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.77$86.67$90.85$89.28$87.89
Max Pain$88.74$88.00$90.00$90.00$88.00
ATM IV14.9%11.1%36.9%13.7%12.4%
Expected Move4.2%3.3%5.8%3.9%3.5%
HV 20d13.1%11.1%15.5%13.6%11.1%
HV 60d10.3%9.6%10.7%9.7%10.5%
IV Rank36.2%17.9%100.0%42.6%21.8%
IV Percentile94.8%78.6%100.0%99.6%90.1%
Term Structure-0.5%-4.7%2.5%1.3%0.5%
VWIV14.9%8.2%30.8%12.8%12.0%
Skew 25d0.4%-7.5%6.6%4.2%2.2%
Skew 10d2.0%-13.7%6.6%1.5%3.7%
Call IV 25d14.5%6.9%30.9%10.2%10.7%
Put IV 25d14.9%12.4%23.4%14.5%12.9%
Bid-Ask Spread %67.4517.55143.49106.4750.69
Gamma HHI0.340.220.540.540.31
Net GEX-10.8M-18.3M-4.0M-13.9M-13.0M
Net DEX62.3M7.9M146.4M50.9M84.1M
Net VEX-444.8K-483.1K-368.9K-368.9K-420.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.650.0583.631.690.47
Total Volume2,21812611,5104,174126
Total OI43,424.78332,34447,92932,34444,921

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$89.28$90.0013.7%3.9%13.6%42.6%12.8%4.2%1.3%-13.9M50.9M-368.9K1.69106.471,5542,62011,50320,841
2008-10-02$89.78$90.0013.5%3.9%13.7%41.7%13.4%-0.7%1.6%-12.4M37.0M-424.4K1.3792.898341,14612,54923,430
2008-10-03$90.12$90.0015.0%4.3%13.7%48.8%13.9%0.3%2.5%-12.5M29.1M-437.5K1.5337.907551,15513,17924,564
2008-10-06$90.85$89.0016.7%5.8%14.0%56.7%19.5%0.3%-1.8%-10.7M8.0M-439.8K7.0217.551611,13013,69125,699
2008-10-07$90.78$89.0014.2%4.4%13.9%44.8%15.4%0.4%-1.9%-10.6M10.2M-430.2K5.0363.635662,84813,76126,789
2008-10-08$89.62$90.0013.9%5.1%14.6%42.5%14.0%-0.2%-4.7%-18.3M50.1M-459.9K4.4786.822931,31114,17728,857
2008-10-09$88.72$90.0017.6%4.7%15.1%60.6%16.1%-1.0%-2.7%-16.4M85.4M-470.0K0.4353.532,03286914,29429,992
2008-10-10$87.68$89.0018.1%4.7%15.5%62.2%17.6%0.8%-1.1%-14.5M112.9M-466.9K2.2387.689842,19416,04130,097
2008-10-13$87.08$89.0036.9%5.6%13.7%100.0%30.8%-7.5%-4.2%-5.5M99.2M-462.5K3.66143.492891,05916,75230,315
2008-10-14$86.67$89.0011.1%4.8%13.7%17.9%18.2%-3.7%-0.9%-9.5M146.4M-394.6K83.6373.4413611,37416,94029,596
2008-10-15$87.38$89.0011.6%4.5%13.6%19.4%15.4%-1.0%-0.3%-12.2M128.2M-462.8K3.9873.166192,46316,98230,947
2008-10-16$87.40$89.0016.0%4.6%13.2%33.3%16.3%3.4%-1.0%-11.0M113.6M-463.7K0.0869.621,49311317,29729,479
2008-10-17$87.95$88.0011.6%3.3%12.0%19.3%8.2%6.6%0.2%-15.3M118.1M-429.2K10.3893.568238,54017,86329,494
2008-10-20$88.04$88.0011.8%3.4%12.0%20.1%11.8%1.0%0.4%-10.2M75.0M-469.1K0.2866.991875216,04227,699
2008-10-21$88.97$88.0012.6%3.6%12.6%22.5%12.5%0.4%0.0%-8.5M42.3M-483.1K0.0556.514502316,15627,716
2008-10-22$89.65$88.0012.7%3.6%12.9%22.9%12.8%1.3%0.8%-4.0M7.9M-417.2K0.2973.183069016,38827,729
2008-10-23$89.77$88.0014.1%4.0%12.8%27.3%14.0%0.2%-0.7%-5.5M9.8M-468.7K0.5046.6864132116,57227,759
2008-10-24$89.39$88.0013.9%4.0%12.9%26.7%13.8%-0.0%-0.5%-7.5M26.2M-471.5K0.3049.471364116,41628,012
2008-10-27$89.34$88.0014.1%4.0%11.9%27.3%13.9%0.1%-0.3%-7.5M28.8M-443.8K0.9947.9012912816,33328,047
2008-10-28$88.62$88.0013.3%3.8%11.3%24.9%13.5%0.1%0.5%-9.4M51.9M-454.6K0.1558.663795716,32228,042
2008-10-29$88.75$88.0013.6%3.9%11.2%25.8%14.1%0.5%0.6%-9.1M45.6M-447.6K0.3953.3632712616,57128,073
2008-10-30$88.07$88.0013.3%3.8%11.3%24.7%13.1%1.0%0.2%-11.1M73.0M-443.8K1.0048.18676716,70828,135
2008-10-31$87.89$88.0012.4%3.5%11.1%21.8%12.0%2.2%0.5%-13.0M84.1M-420.2K0.4750.69864016,74528,176