IEF Options History — May 2009

In May 2009, IEF traded between $89.96 and $93.78. ATM implied volatility averaged 10.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.1% (HV 20d: 7.6%). Max pain ranged from $91.00 to $95.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2009-05-08: Highest Volume — 19,273 contracts
  • 2009-05-11: Largest IV spike — 16.2% change
  • 2009-05-28: Highest IV Rank — 22.0%
  • 2009-05-28: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.55$89.96$93.78$93.09$91.45
Max Pain$94.05$91.00$95.00$95.00$91.00
ATM IV10.7%9.1%14.1%10.8%12.8%
Expected Move3.1%2.8%4.1%3.1%3.7%
HV 20d7.6%6.6%9.8%8.1%9.8%
HV 60d10.8%10.3%11.4%11.4%11.0%
IV Rank10.2%4.8%22.0%10.4%17.4%
IV Percentile43.1%21.0%84.5%44.8%65.9%
Term Structure0.4%-1.1%1.3%-0.0%-0.1%
VWIV11.2%10.0%15.5%10.5%15.5%
Skew 25d1.1%0.5%1.7%0.7%1.2%
Skew 10d2.3%0.8%6.2%4.4%1.5%
Call IV 25d10.6%9.3%13.7%10.6%12.5%
Put IV 25d11.6%10.3%14.7%11.2%13.7%
Bid-Ask Spread %23.9419.9028.9022.4028.25
Gamma HHI0.180.120.300.170.12
Net GEX-2.1M-11.4M12.5M-6.2M-5.4M
Net DEX79.1M33.8M161.1M47.8M106.1M
Net VEX-618.4K-836.3K-245.1K-246.7K-816.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0018.880.100.02
Total Volume3,500.2919,2734,6597,446
Total OI58,860.229,26378,86829,26372,168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$93.09$95.0010.8%3.1%8.1%10.4%10.5%0.7%-0.0%-6.2M47.8M-246.7K0.1022.404,2304298,63320,630
2009-05-04$93.19$95.0010.5%2.9%7.3%9.5%10.2%1.3%1.1%404.9K38.4M-277.4K1.4125.317811012,84620,992
2009-05-05$93.16$95.009.4%3.0%7.2%5.9%10.2%1.2%0.9%1.1M37.0M-248.3K0.0123.751,012712,91723,026
2009-05-06$93.20$95.009.5%2.9%7.1%5.9%11.1%1.1%1.3%3.0M33.8M-252.7K13.1425.812363,10213,92823,025
2009-05-07$92.42$95.009.8%3.0%7.3%7.0%10.7%1.7%1.2%-5.8M73.6M-245.1K0.5127.095,2702,67614,01326,062
2009-05-08$92.53$95.009.1%3.0%7.1%4.8%10.0%1.2%0.6%-5.5M82.3M-451.7K2.7225.675,18614,08719,13131,249
2009-05-11$93.40$95.0010.6%3.1%7.7%9.9%10.1%1.0%0.6%-3.2M87.2M-786.8K0.0026.497,7901224,20642,205
2009-05-12$93.34$94.009.6%3.0%7.3%6.3%11.7%1.1%0.9%3.6M75.5M-836.3K18.8819.902655,00331,86542,203
2009-05-13$93.77$94.009.3%2.9%7.6%5.4%10.4%0.6%0.9%7.3M44.0M-825.5K0.1322.3024331,85047,018
2009-05-14$93.78$94.009.8%2.8%7.5%7.3%10.1%0.9%1.0%12.5M46.8M-819.6K0.1319.958131,85044,339
2009-05-15$93.55$94.009.8%2.8%7.1%7.2%10.4%1.0%1.2%8.5M72.3M-791.9K3.8123.244818331,82244,339
2009-05-18$93.00$94.0010.0%2.9%6.7%7.9%10.5%0.5%0.2%-2.8M67.3M-746.0K2.1520.7313929923,14738,835
2009-05-19$92.87$94.009.8%2.8%6.6%7.2%10.2%1.1%0.3%-3.7M75.9M-722.1K0.2924.343389723,23639,068
2009-05-20$93.16$94.0010.1%2.9%6.8%8.0%10.1%0.9%0.4%-2.4M65.4M-745.2K0.9421.7912111423,52639,080
2009-05-21$92.14$94.0011.0%3.1%7.7%11.1%11.1%0.8%0.2%-6.1M94.6M-711.0K1.6023.8429547323,53339,114
2009-05-22$91.60$94.0011.4%3.3%7.8%12.7%11.8%1.5%0.1%-7.7M111.5M-699.9K0.1321.771,00612823,61539,308
2009-05-26$90.99$94.0012.6%3.6%7.7%16.8%12.6%1.1%-0.3%-8.2M120.9M-674.4K0.4923.2732516024,48239,358
2009-05-27$89.96$94.0013.9%4.0%8.3%21.0%13.9%1.5%-0.8%-11.4M161.1M-757.6K1.2928.901,1911,54224,67339,435
2009-05-28$90.43$91.0014.1%4.1%8.7%22.0%13.8%1.0%-1.1%-9.8M140.7M-712.6K0.9724.053,3383,23225,61840,859
2009-05-29$91.45$91.0012.8%3.7%9.8%17.4%15.5%1.2%-0.1%-5.4M106.1M-816.4K0.0228.257,28915728,15744,011