IEF Options History — March 2009

In March 2009, IEF traded between $93.83 and $97.20. ATM implied volatility averaged 11.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.9% (HV 20d: 12.7%). Max pain ranged from $92.00 to $96.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.58.

Notable Days

  • 2009-03-26: Highest Volume — 3,765 contracts
  • 2009-03-19: Largest IV drop — 21.3% change
  • 2009-03-04: Highest IV Rank — 24.3%
  • 2009-03-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.33$93.83$97.20$94.43$96.59
Max Pain$94.91$92.00$96.00$95.00$96.00
ATM IV11.7%8.8%14.9%14.4%9.2%
Expected Move3.4%2.5%4.3%4.1%2.7%
HV 20d12.7%8.6%14.8%11.5%14.2%
HV 60d11.1%9.9%12.1%10.5%11.6%
IV Rank13.4%3.5%24.3%22.8%4.9%
IV Percentile55.4%16.7%91.7%89.7%27.0%
Term Structure0.7%-0.8%1.9%0.6%0.1%
VWIV11.8%9.0%16.1%14.5%9.3%
Skew 25d1.0%0.2%1.6%1.5%0.9%
Skew 10d2.4%0.7%4.0%3.5%3.3%
Call IV 25d11.5%8.6%14.6%13.9%8.9%
Put IV 25d12.5%9.6%15.4%15.4%9.8%
Bid-Ask Spread %30.9821.6872.0528.3026.56
Gamma HHI0.270.190.490.240.40
Net GEX413.5K-2.1M4.4M201.9K4.0M
Net DEX935.4K-21.2M20.5M5.7M-7.0M
Net VEX-142.2K-187.3K-69.1K-187.3K-155.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0020.970.361.54
Total Volume701343,765141198
Total OI15,069.63611,47818,06314,22716,926

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$94.43$95.0014.4%4.1%11.5%22.8%14.5%1.5%0.6%201.9K5.7M-187.3K0.3628.30104375,3878,840
2009-03-03$94.31$95.0014.7%4.2%11.4%23.8%14.5%1.0%-0.5%151.8K6.4M-180.8K0.0026.914805,3888,871
2009-03-04$93.83$95.0014.9%4.3%11.1%24.3%16.1%0.6%-0.7%-118.1K10.7M-179.3K4.5222.07883985,4088,871
2009-03-05$94.93$95.0014.7%4.2%11.7%23.7%14.6%0.8%-0.8%237.2K3.2M-176.7K0.0921.68297265,3809,073
2009-03-06$94.48$95.0013.5%4.1%11.8%19.6%0.0%1.1%-0.1%326.5K5.4M-175.2K0.5328.563511855,3529,056
2009-03-09$94.52$95.0013.3%4.0%11.6%18.9%13.2%1.5%1.0%326.9K6.8M-173.3K0.1029.443135,4779,185
2009-03-10$93.83$95.0013.1%3.8%11.9%18.2%13.9%1.6%0.9%52.2K12.8M-168.2K0.7128.6270505,5089,184
2009-03-11$94.50$95.0011.5%3.7%11.2%12.6%0.0%1.6%0.7%802.7K8.3M-165.6K0.7935.661321045,5289,234
2009-03-12$94.77$95.0012.5%3.6%10.9%16.0%0.0%1.2%1.9%1.7M2.5M-132.1K10.7328.02525585,4749,335
2009-03-13$94.69$95.0013.0%3.7%10.9%18.0%14.9%1.2%1.7%24.1K9.0M-165.3K2.7930.451343745,4459,840
2009-03-16$94.16$95.0013.1%3.7%10.7%18.0%15.2%1.0%0.7%-337.4K14.8M-158.5K6.1427.972281,3995,48210,109
2009-03-17$93.98$95.0012.7%3.6%8.6%16.8%12.2%1.1%1.1%-2.0M20.5M-159.4K20.9730.61861,8035,63811,259
2009-03-18$97.20$95.0011.5%3.3%14.8%12.7%12.5%1.1%1.4%-1.2M-20.6M-122.4K0.6639.087484905,65012,413
2009-03-19$96.87$92.009.1%2.6%14.7%4.3%9.2%1.1%1.8%-1.9M-21.0M-106.1K0.2536.656401625,41312,444
2009-03-20$96.87$92.009.7%2.8%14.7%6.4%9.0%0.2%1.4%-2.1M-21.2M-104.0K1.1626.671261465,51912,451
2009-03-23$96.54$95.009.5%2.7%14.8%5.8%9.4%1.1%1.1%25.6K-1.8M-69.1K0.4431.0861272,6108,868
2009-03-24$96.40$95.009.7%2.8%14.7%6.5%9.1%0.7%0.8%-911.3K2.8M-103.9K0.0129.691,07792,6588,885
2009-03-25$95.82$95.009.7%2.8%14.5%6.4%9.3%0.6%0.1%1.2M-1.9M-79.6K1.6730.802964933,6948,890
2009-03-26$96.07$96.009.7%2.8%14.4%6.6%9.0%1.1%0.4%373.0K3.1M-121.7K0.4172.052,6641,1013,9529,323
2009-03-27$96.01$96.008.8%2.5%14.4%3.5%9.3%0.7%0.6%3.9M-6.7M-123.1K0.8226.641801486,55110,162
2009-03-30$96.42$96.009.5%2.7%14.3%5.7%9.7%0.8%0.7%4.4M-11.3M-122.5K2.0723.93972016,61910,180
2009-03-31$96.59$96.009.2%2.7%14.2%4.9%9.3%0.9%0.1%4.0M-7.0M-155.2K1.5426.56781206,63610,290