IEF Options History — December 2008

In December 2008, IEF traded between $95.19 and $99.85. ATM implied volatility averaged 14.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.0%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 5.36.

Notable Days

  • 2008-12-01: Highest Volume — 745 contracts
  • 2008-12-04: Largest IV spike — 19.6% change
  • 2008-12-02: Highest IV Rank — 31.1%
  • 2008-12-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.66$95.19$99.85$95.32$98.53
Max Pain$91.68$90.00$95.00$92.00$95.00
ATM IV14.0%11.0%16.9%14.3%11.1%
Expected Move4.1%3.2%5.3%4.1%3.2%
HV 20d12.0%9.0%13.5%13.0%10.1%
HV 60d12.3%11.5%13.2%12.9%11.7%
IV Rank21.3%11.1%31.1%22.4%11.2%
IV Percentile87.3%59.5%96.8%93.7%60.3%
Term Structure0.2%-7.6%5.9%3.2%2.8%
VWIV14.1%10.0%18.8%14.7%11.1%
Skew 25d2.2%-2.3%22.2%-2.3%-0.8%
Skew 10d2.1%-5.7%10.5%-0.8%-0.4%
Call IV 25d13.9%9.5%18.5%16.4%11.6%
Put IV 25d16.0%10.8%33.0%14.2%10.8%
Bid-Ask Spread %78.5844.31108.7589.7389.87
Gamma HHI0.240.160.430.310.16
Net GEX-956.4K-2.2M906.8K906.8K-529.0K
Net DEX-34.5M-63.0M-9.1M-40.9M-9.1M
Net VEX-59.9K-138.9K-9.8K-70.2K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.360.2034.204.402.31
Total Volume300.68244745745119
Total OI20,847.77310,43326,11324,44810,753

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$95.32$92.0014.3%4.1%13.0%22.4%14.7%-2.3%3.2%906.8K-40.9M-70.2K4.4089.731386076,47417,974
2008-12-02$95.82$92.0016.9%4.8%12.8%31.1%16.3%4.3%2.7%-1.1M-35.8M-105.9K3.5276.721414976,57118,210
2008-12-03$95.97$92.0014.0%4.0%12.5%21.3%15.2%3.4%5.9%-2.2M-37.2M-111.5K24.7279.91256186,65618,612
2008-12-04$96.57$92.0016.8%4.8%12.5%30.8%14.3%-2.1%2.8%-2.1M-42.9M-98.1K8.4969.23635356,67918,827
2008-12-05$95.55$90.0015.3%5.3%13.3%25.9%18.4%0.3%-1.5%-1.3M-31.1M-132.6K2.5661.021864766,73019,103
2008-12-08$95.19$90.0012.7%3.7%13.3%16.8%15.2%22.2%2.3%-2.2M-23.8M-138.9K1.32108.751131496,71419,316
2008-12-09$96.00$90.0013.0%4.5%13.4%17.9%16.6%1.5%-0.2%-2.0M-40.2M-92.8K13.6753.023416,72719,207
2008-12-10$95.91$90.0013.5%4.4%13.5%19.7%15.7%2.8%-0.8%-517.9K-43.8M-75.2K7.5066.906456,70119,232
2008-12-11$96.49$90.0015.2%4.4%13.5%25.4%14.9%2.1%-0.7%-1.8M-49.3M-61.4K1.1076.501001106,70219,253
2008-12-12$96.76$90.0014.1%4.1%12.9%21.8%11.6%0.8%-7.6%-2.0M-53.3M-41.5K0.93104.5271666,69919,327
2008-12-15$96.97$90.0015.1%4.3%12.7%25.0%18.8%3.8%-1.7%-1.2M-52.9M-44.5K0.6789.1382556,70719,360
2008-12-16$98.51$90.0015.6%4.5%13.4%26.7%11.6%9.9%-0.5%-279.1K-63.0M-9.8K1.10107.911161286,70219,390
2008-12-17$99.18$90.0015.2%4.3%13.4%25.3%15.8%1.9%-6.0%-912.9K-57.2M-42.6K0.7561.802852156,63619,477
2008-12-18$99.85$90.0013.5%3.9%13.2%19.6%13.9%1.5%1.3%-265.0K-49.1M-42.2K1.9475.101462835,62319,635
2008-12-19$99.52$91.0014.3%4.1%12.1%22.4%13.8%0.4%-0.3%-370.4K-48.8M-36.9K0.7053.4497685,62419,698
2008-12-22$99.26$93.0013.1%3.8%11.4%18.2%12.6%-0.1%0.3%-375.4K-16.5M-35.1K34.2085.8351712,4048,384
2008-12-23$99.21$93.0013.7%3.9%10.5%20.2%13.6%0.1%-0.5%-573.2K-14.8M-17.8K0.2081.1095192,0078,457
2008-12-24$99.11$93.0013.7%3.9%9.3%20.3%13.7%-0.7%0.3%-624.8K-12.9M-27.6K2.4281.1831751,9618,472
2008-12-26$99.64$94.0013.2%3.8%9.3%18.5%10.0%0.1%0.2%-559.1K-12.5M-32.4K3.2684.38351141,9748,529
2008-12-29$99.49$95.0013.0%3.7%9.4%17.9%12.2%-1.0%0.6%-452.0K-11.7M-32.9K1.3844.31731011,9248,592
2008-12-30$99.63$95.0011.0%3.2%9.0%11.1%11.1%0.0%2.1%-553.3K-12.1M-29.8K0.7188.281821301,9468,682
2008-12-31$98.53$95.0011.1%3.2%10.1%11.2%11.1%-0.8%2.8%-529.0K-9.1M-38.6K2.3189.8736831,9528,801