IEF Options History — April 2009

In April 2009, IEF traded between $93.67 and $96.55. ATM implied volatility averaged 9.1%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 1.8% (HV 20d: 10.9%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 18.81.

Notable Days

  • 2009-04-29: Highest Volume — 2,772 contracts
  • 2009-04-09: Largest IV spike — 21.3% change
  • 2009-04-29: Highest IV Rank — 11.1%
  • 2009-04-29: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.00$93.67$96.55$96.55$93.67
Max Pain$95.10$95.00$96.00$96.00$95.00
ATM IV9.1%7.7%11.0%8.6%10.0%
Expected Move2.7%2.3%3.1%2.5%2.9%
HV 20d10.9%7.3%14.4%14.1%8.2%
HV 60d11.7%11.3%11.9%11.6%11.3%
IV Rank4.8%0.0%11.1%2.9%7.8%
IV Percentile23.4%0.0%48.4%14.3%37.3%
Term Structure0.3%-0.4%1.0%0.3%0.1%
VWIV9.6%7.9%12.1%8.7%10.5%
Skew 25d1.3%0.2%2.1%0.2%0.6%
Skew 10d2.9%-0.4%6.0%4.3%1.0%
Call IV 25d8.9%7.7%10.5%8.5%9.9%
Put IV 25d10.1%8.7%11.4%8.7%10.6%
Bid-Ask Spread %31.1725.2880.1825.2826.46
Gamma HHI0.240.170.450.450.24
Net GEX736.6K-5.0M5.4M4.8M-4.1M
Net DEX14.5M-9.8M42.1M-9.8M39.7M
Net VEX-180.5K-246.1K-122.4K-126.8K-209.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.810.05193.000.201.67
Total Volume887.5241272,772176433
Total OI22,507.47616,83128,84116,83128,841

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$96.55$96.008.6%2.5%14.1%2.9%8.7%0.2%0.3%4.8M-9.8M-126.8K0.2025.28147296,47610,355
2009-04-02$95.92$96.008.3%2.4%13.8%1.7%8.4%0.9%0.5%3.8M-4.6M-122.4K3.6826.335542,0396,59410,375
2009-04-03$94.82$95.009.0%2.8%14.3%4.1%9.9%1.8%0.5%609.9K11.0M-173.2K1.6728.671903187,09512,381
2009-04-06$94.60$95.009.1%2.7%14.4%4.4%8.9%1.5%0.7%-46.7K13.8M-169.9K1.4229.311331897,23112,606
2009-04-07$94.84$95.007.7%2.7%14.1%0.0%9.1%1.5%0.3%-294.3K15.7M-185.3K0.0533.21521257,26812,737
2009-04-08$95.31$95.007.7%2.7%14.0%0.0%12.1%1.4%0.5%1.3M9.4M-195.7K15.1530.63466977,76312,747
2009-04-09$94.75$95.009.4%2.7%14.1%5.7%10.5%1.1%0.8%-569.9K14.1M-195.1K1.4430.103565147,78213,383
2009-04-13$95.31$95.009.4%2.7%14.3%5.9%9.3%0.9%0.3%2.3M5.9M-161.2K193.0027.5211937,89213,784
2009-04-14$95.80$95.008.6%2.5%14.2%3.1%8.6%0.9%0.6%5.4M-2.1M-129.8K6.3328.121841,1657,89213,821
2009-04-15$95.89$95.008.0%2.3%14.2%0.8%7.9%1.4%1.0%5.0M712.7K-152.9K0.3733.52161607,97614,895
2009-04-16$95.51$95.008.6%2.5%7.3%2.8%9.7%0.8%0.4%3.9M3.4M-138.7K0.3228.8296317,82514,575
2009-04-17$94.74$95.009.1%2.6%7.7%4.6%9.0%1.3%0.5%1.0M10.3M-133.5K14.6725.90841,2327,76014,604
2009-04-20$95.40$95.009.2%2.6%8.2%4.9%9.0%1.2%0.4%2.0M4.7M-140.5K1.4929.361,1101,6556,50114,299
2009-04-21$95.03$95.009.5%2.7%8.2%6.1%9.5%1.8%0.1%2.4M12.0M-187.0K7.9325.962041,6177,53015,735
2009-04-22$94.80$95.009.6%2.7%8.2%6.4%9.9%1.7%0.3%338.3K21.0M-210.3K131.0028.4722627,63317,308
2009-04-23$94.78$95.009.3%2.7%8.0%5.5%9.7%1.4%0.4%-995.7K23.4M-216.0K1.4326.552393417,63417,554
2009-04-24$94.41$95.0010.1%2.9%8.0%8.2%9.5%2.1%-0.2%-2.2M32.3M-236.4K1.6328.68621017,87317,845
2009-04-27$94.80$95.009.2%2.6%8.2%4.9%9.9%1.4%0.4%-1.5M27.4M-231.0K4.9233.49522567,93117,916
2009-04-28$94.34$95.0010.6%3.0%8.1%9.7%9.7%1.7%-0.4%-2.8M33.6M-228.6K3.3328.011314367,95017,989
2009-04-29$93.83$95.0011.0%3.1%8.2%11.1%11.2%0.9%-0.1%-5.0M42.1M-246.1K3.3780.186352,1378,04118,260
2009-04-30$93.67$95.0010.0%2.9%8.2%7.8%10.5%0.6%0.1%-4.1M39.7M-209.5K1.6726.461622718,47420,367