IEF Options History — July 2009

In July 2009, IEF traded between $89.66 and $92.16. ATM implied volatility averaged 10.7%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.5% (HV 20d: 10.2%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.76.

Notable Days

  • 2009-07-16: Highest Volume — 4,179 contracts
  • 2009-07-13: Largest IV spike — 13.3% change
  • 2009-07-14: Highest IV Rank — 14.4%
  • 2009-07-14: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.71$89.66$92.16$90.36$91.17
Max Pain$89.59$89.00$90.00$89.00$90.00
ATM IV10.7%9.4%11.9%11.1%10.1%
Expected Move3.2%2.8%3.5%3.2%2.9%
HV 20d10.2%8.7%11.4%10.6%11.2%
HV 60d10.6%10.0%11.2%10.1%11.2%
IV Rank10.1%5.7%14.4%11.6%8.2%
IV Percentile37.8%19.8%52.4%45.2%30.6%
Term Structure0.5%-0.9%1.3%0.8%1.1%
VWIV11.0%9.9%12.3%10.6%10.2%
Skew 25d1.1%0.6%1.8%0.7%1.4%
Skew 10d2.7%0.4%5.7%5.7%3.0%
Call IV 25d10.6%9.8%12.0%10.5%10.1%
Put IV 25d11.7%10.7%12.7%11.2%11.4%
Bid-Ask Spread %49.1530.7165.3430.7163.93
Gamma HHI0.160.110.270.110.17
Net GEX-4.4M-9.8M4.5M-3.8M-8.3M
Net DEX90.4M36.8M126.5M101.2M90.7M
Net VEX-448.5K-551.0K-349.5K-551.0K-408.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0725.120.097.31
Total Volume720.727414,179721,529
Total OI57,059.86455,47258,99756,38558,179

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$90.36$89.0011.1%3.2%10.6%11.6%10.6%0.7%0.8%-3.8M101.2M-551.0K0.0930.7166619,69136,694
2009-07-02$90.66$89.009.8%2.8%9.8%7.2%9.9%0.9%1.3%-1.9M82.9M-526.2K2.0032.86275419,74436,694
2009-07-06$90.72$89.0010.8%3.2%8.9%10.5%11.7%1.1%0.5%-1.6M83.7M-501.9K0.9545.14212019,74936,696
2009-07-07$91.08$89.0010.3%3.2%8.7%8.6%11.1%1.2%0.7%-711.8K71.7M-510.0K0.2149.8742919,74236,706
2009-07-08$92.13$89.009.4%3.2%9.3%5.7%11.4%0.7%0.6%-238.5K39.6M-526.5K0.6446.2927217519,76336,714
2009-07-09$91.59$89.009.4%3.2%9.3%5.9%10.9%1.0%0.1%-252.7K55.2M-504.4K0.1036.751221219,83136,567
2009-07-10$92.16$89.009.6%3.2%9.2%6.3%0.0%1.7%-0.2%5.3K36.8M-519.9K0.0744.83120819,89736,571
2009-07-13$91.83$89.0010.8%3.3%9.4%10.7%11.3%1.1%-0.2%-312.3K48.3M-494.0K0.1240.012603019,79436,574
2009-07-14$91.22$89.0011.9%3.5%9.7%14.4%12.3%1.1%-0.9%-158.3K65.8M-474.1K0.0840.453,12324019,85536,564
2009-07-15$90.04$90.0011.0%3.5%10.7%11.3%12.3%0.6%0.1%4.5M95.2M-463.5K1.0843.7228430722,25336,744
2009-07-16$90.58$90.0011.7%3.4%10.9%13.8%11.8%1.4%0.4%480.7K83.2M-453.8K25.1255.281604,01919,90837,024
2009-07-17$89.97$90.0011.7%3.3%10.2%13.5%11.6%1.1%0.7%-2.3M107.7M-423.4K0.2750.291143117,36440,785
2009-07-20$90.30$90.0011.7%3.3%10.2%13.4%11.4%0.9%0.3%-8.8M109.5M-409.6K0.2054.5199420215,34940,123
2009-07-21$91.31$90.0010.8%3.1%10.7%10.7%10.6%1.2%0.6%-7.7M87.2M-442.7K7.3151.522471,80516,29240,292
2009-07-22$90.77$90.0010.7%3.1%10.9%10.2%10.5%1.1%0.4%-9.8M106.3M-446.9K0.1560.591081616,53741,926
2009-07-23$89.89$90.0010.9%3.1%11.4%11.1%11.3%0.8%0.2%-8.8M119.3M-388.4K1.5861.82243816,63540,432
2009-07-24$90.08$90.0010.6%3.0%10.5%9.9%9.9%1.8%1.0%-8.8M117.3M-384.9K0.4265.34552316,65540,455
2009-07-27$89.66$90.0010.8%3.1%10.6%10.6%10.7%1.4%0.5%-9.3M126.5M-349.5K0.8060.8333526716,70640,473
2009-07-28$89.84$90.0010.7%3.1%10.6%10.1%10.5%1.3%0.8%-9.1M121.8M-363.3K10.2559.082424616,91740,695
2009-07-29$89.90$90.0010.4%3.0%10.6%9.1%10.1%1.4%0.5%-9.8M124.2M-356.4K1.6555.79548916,92140,889
2009-07-30$90.26$90.0010.3%3.0%10.6%9.0%10.2%1.0%0.8%-9.7M115.6M-368.6K0.2531.792225616,96540,952
2009-07-31$91.17$90.0010.1%2.9%11.2%8.2%10.2%1.4%1.1%-8.3M90.7M-408.1K7.3163.931841,34517,17941,000