IEF Options History — September 2009

In September 2009, IEF traded between $90.99 and $92.37. ATM implied volatility averaged 8.6%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.6% (HV 20d: 7.0%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-09-10: Highest Volume — 17,342 contracts
  • 2009-09-10: Largest IV spike — 12.2% change
  • 2009-09-16: Highest IV Rank — 6.0%
  • 2009-09-08: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.63$90.99$92.37$91.58$92.37
Max Pain$90.90$90.00$93.00$93.00$91.00
ATM IV8.6%7.3%9.5%8.7%8.3%
Expected Move2.5%2.1%2.8%2.5%2.4%
HV 20d7.0%6.1%7.9%7.9%6.1%
HV 60d9.4%9.0%9.7%9.7%9.0%
IV Rank3.3%0.0%6.0%3.4%3.3%
IV Percentile6.1%0.0%16.7%5.6%4.0%
Term Structure1.0%0.2%1.8%1.0%0.6%
VWIV8.8%7.6%12.0%8.9%8.5%
Skew 25d1.0%0.6%1.5%0.7%0.8%
Skew 10d2.5%0.8%5.2%4.2%5.2%
Call IV 25d8.3%7.1%9.1%8.9%8.0%
Put IV 25d9.4%8.3%10.2%9.6%8.8%
Bid-Ask Spread %27.9211.5861.7343.2520.03
Gamma HHI0.420.230.620.240.62
Net GEX-6.3M-26.6M13.1M-16.6M13.1M
Net DEX55.5M-4.5M105.9M80.0M-4.1M
Net VEX-289.0K-330.7K-222.5K-290.8K-321.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.008.040.150.09
Total Volume1,572.23810517,342385543
Total OI50,319.04831,27267,18160,68434,486

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$91.58$93.008.7%2.5%7.9%3.4%8.9%0.7%1.0%-16.6M80.0M-290.8K0.1543.253364917,41843,266
2009-09-02$92.08$93.008.5%2.4%7.7%2.5%7.7%1.2%1.1%-14.0M56.6M-273.6K0.0944.992312117,59643,269
2009-09-03$91.75$93.008.0%2.3%7.9%1.0%8.3%1.1%1.5%-16.2M71.8M-275.6K0.5211.58693617,67143,289
2009-09-04$91.20$90.008.2%2.7%7.8%1.7%12.0%0.9%0.9%-20.5M92.2M-258.5K0.0659.012871717,72543,324
2009-09-08$90.99$90.008.9%2.8%7.7%4.1%0.0%1.0%1.0%-23.3M105.2M-231.8K0.3425.431184017,61543,339
2009-09-09$91.07$90.008.3%2.7%7.3%1.8%9.5%1.1%1.4%-26.6M105.9M-222.5K0.6061.7320312217,68143,369
2009-09-10$91.75$90.009.3%2.7%7.6%5.2%9.2%1.0%1.1%-20.3M71.9M-230.0K5.2129.382,79414,54817,91243,479
2009-09-11$92.02$90.008.8%2.5%7.2%3.6%8.2%1.2%1.7%-12.3M71.7M-294.4K0.4728.0529713915,65343,539
2009-09-14$91.48$90.009.4%2.7%7.6%5.8%8.7%0.9%0.9%-13.3M86.9M-289.5K0.2627.302476415,92843,582
2009-09-15$91.29$90.009.1%2.6%7.2%4.8%8.7%0.9%0.9%-13.8M92.4M-267.2K8.0427.472520115,70343,603
2009-09-16$91.22$90.009.5%2.7%7.1%6.0%9.4%1.2%0.7%-15.4M94.5M-260.2K0.2126.361503115,71543,793
2009-09-17$91.67$91.009.1%2.6%7.2%4.5%9.0%1.0%1.2%-7.0M78.6M-267.4K0.0026.317,6552115,83143,775
2009-09-18$91.18$91.009.2%2.6%7.4%5.0%9.1%0.9%0.9%-9.7M69.0M-330.7K0.4218.8233714323,38643,795
2009-09-21$91.12$91.008.9%2.6%6.4%4.2%8.8%0.6%0.9%4.6M34.3M-312.3K0.1020.761,10110810,79720,475
2009-09-22$91.36$91.009.0%2.6%6.1%4.3%8.7%1.1%0.2%7.3M26.5M-315.5K1.6922.7810517711,87520,582
2009-09-23$91.56$91.008.1%2.3%6.1%1.2%8.2%1.3%1.0%8.4M22.8M-321.5K0.2820.5542211911,93720,708
2009-09-24$91.81$91.008.0%2.3%6.1%0.8%8.2%0.8%1.1%9.6M14.1M-326.5K0.2417.352706512,32720,823
2009-09-25$92.18$91.007.3%2.1%6.1%0.0%7.8%1.2%1.8%10.4M3.1M-329.0K0.0615.005793712,51420,871
2009-09-28$92.34$91.008.2%2.3%6.1%3.0%8.7%1.5%1.0%10.8M-4.5M-325.5K0.3523.8671625412,97820,898
2009-09-29$92.30$91.008.4%2.4%6.1%3.8%7.6%1.0%0.5%11.5M-2.8M-324.4K0.1316.383023813,07521,098
2009-09-30$92.37$91.008.3%2.4%6.1%3.3%8.5%0.8%0.6%13.1M-4.1M-321.9K0.0920.035004313,36021,126