IEF Options History — June 2009

In June 2009, IEF traded between $88.00 and $90.91. ATM implied volatility averaged 13.1%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 12.6%). Max pain ranged from $88.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.09.

Notable Days

  • 2009-06-16: Highest Volume — 2,717 contracts
  • 2009-06-25: Largest IV drop — 13.8% change
  • 2009-06-01: Highest IV Rank — 25.8%
  • 2009-06-01: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.51$88.00$90.91$89.69$90.67
Max Pain$89.14$88.00$91.00$91.00$89.00
ATM IV13.1%10.6%15.3%15.3%10.6%
Expected Move3.7%3.0%4.4%4.4%3.0%
HV 20d12.6%10.8%13.5%11.7%10.8%
HV 60d10.6%9.4%11.8%11.4%10.0%
IV Rank18.4%9.9%25.8%25.8%9.9%
IV Percentile68.1%37.7%94.4%94.4%37.7%
Term Structure0.0%-1.3%1.2%-1.3%1.2%
VWIV13.1%11.0%15.5%15.5%11.1%
Skew 25d0.6%-0.4%1.6%1.4%-0.2%
Skew 10d1.9%-1.2%5.9%3.4%5.9%
Call IV 25d12.8%10.3%14.8%14.8%11.4%
Put IV 25d13.5%11.2%16.3%16.3%11.2%
Bid-Ask Spread %33.8020.2372.2124.6034.89
Gamma HHI0.140.110.290.110.14
Net GEX-9.5M-17.7M-2.1M-8.9M-2.2M
Net DEX149.5M81.1M212.5M151.1M89.8M
Net VEX-676.0K-843.7K-516.8K-823.7K-516.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.0221.101.470.02
Total Volume865.1361362,7171,537773
Total OI70,00154,43581,72772,92656,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$89.69$91.0015.3%4.4%11.7%25.8%15.5%1.4%-1.3%-8.9M151.1M-823.7K1.4724.6062291528,89544,031
2009-06-02$89.99$91.0014.2%4.1%11.8%22.3%14.3%1.2%-0.8%-9.0M143.8M-825.3K7.5924.648766029,16744,630
2009-06-03$90.54$91.0013.1%3.8%12.1%18.4%13.5%1.1%-0.2%-8.1M130.0M-843.7K0.8120.2318615029,23645,021
2009-06-04$89.49$91.0013.5%3.9%12.6%19.8%13.5%1.0%-0.3%-12.2M168.3M-789.7K21.1022.402042229,20745,050
2009-06-05$88.60$89.0013.8%3.7%12.7%20.9%13.7%0.6%-0.1%-14.3M198.6M-737.0K0.4726.711,57674429,21345,404
2009-06-08$88.15$89.0014.5%4.0%12.7%23.1%13.8%0.4%-0.3%-13.5M206.8M-722.2K1.0339.3815015530,63845,770
2009-06-09$88.53$89.0014.5%3.9%12.2%23.2%14.0%0.6%-0.3%-13.3M194.9M-733.5K3.7132.725520430,69145,844
2009-06-10$88.00$89.0013.6%4.0%12.2%20.0%13.8%0.3%-0.5%-14.6M212.5M-683.8K3.4838.2212443230,70445,940
2009-06-11$88.60$89.0013.3%3.8%12.4%19.1%13.6%1.2%0.2%-14.5M199.0M-710.9K4.0745.2013454630,77446,281
2009-06-12$89.07$88.0013.5%3.9%12.7%19.9%13.3%-0.0%0.0%-14.1M180.5M-735.2K2.4431.5213332530,84646,502
2009-06-15$89.47$88.0013.5%3.9%13.0%19.7%13.3%-0.1%-0.1%-11.5M152.7M-640.9K12.1731.72841,02230,95146,814
2009-06-16$89.97$88.0013.2%3.8%13.2%18.8%13.2%0.3%-0.3%-10.8M140.5M-651.0K0.0633.882,56415330,99946,911
2009-06-17$89.73$88.0013.1%3.7%13.2%18.3%12.9%-0.2%0.0%-7.8M127.6M-674.9K0.2935.401333934,76546,962
2009-06-18$88.64$88.0013.8%4.0%13.5%20.9%13.9%0.7%-0.1%-17.0M200.5M-654.5K2.2324.5519242932,99346,947
2009-06-19$89.05$89.0014.0%4.0%13.4%21.4%13.8%0.9%-0.4%-17.7M185.6M-671.7K0.2329.8466815433,11346,988
2009-06-22$89.53$89.0012.9%3.7%13.5%17.6%13.0%0.8%0.7%-5.9M124.0M-612.4K0.0230.831,0822217,96236,473
2009-06-23$89.82$89.0012.5%3.6%13.4%16.5%12.5%0.8%0.6%-4.5M114.0M-623.5K0.2932.9641912218,83836,473
2009-06-24$89.48$89.0012.6%3.6%12.9%16.6%12.4%-0.4%0.3%-3.3M110.2M-608.5K0.1172.211791919,04736,453
2009-06-25$90.60$89.0010.8%3.1%13.5%10.6%11.0%0.7%1.2%-2.3M91.3M-534.0K5.9640.133882,31119,09136,461
2009-06-26$90.72$89.0011.0%3.2%12.9%11.2%11.0%1.6%0.7%-2.4M87.2M-536.4K0.1942.974228219,23736,627
2009-06-29$90.91$89.0011.1%3.2%10.8%11.4%11.1%1.6%0.8%-2.1M81.1M-542.7K0.1928.531142219,34436,666
2009-06-30$90.67$89.0010.6%3.0%10.8%9.9%11.1%-0.2%1.2%-2.2M89.8M-516.8K0.0234.897551819,37736,686