IEF Options History — October 2009

In October 2009, IEF traded between $90.69 and $93.05. ATM implied volatility averaged 8.0%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.6% (HV 20d: 6.4%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.50.

Notable Days

  • 2009-10-07: Highest Volume — 5,802 contracts
  • 2009-10-15: Largest IV spike — 41.5% change
  • 2009-10-15: Highest IV Rank — 20.9%
  • 2009-10-14: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.99$90.69$93.05$92.81$91.99
Max Pain$92.27$91.00$93.00$91.00$93.00
ATM IV8.0%6.4%9.1%8.4%8.0%
Expected Move2.4%2.1%2.6%2.4%2.3%
HV 20d6.4%5.3%8.0%6.0%8.0%
HV 60d7.9%7.1%8.7%8.7%7.3%
IV Rank8.6%0.0%20.9%3.8%12.5%
IV Percentile5.8%0.0%17.5%4.8%6.0%
Term Structure0.5%-0.3%1.2%0.6%0.3%
VWIV8.2%7.6%9.5%9.0%8.0%
Skew 25d1.3%0.7%2.1%0.8%1.2%
Skew 10d3.2%1.9%4.8%2.3%4.0%
Call IV 25d7.8%7.2%8.5%7.9%7.3%
Put IV 25d9.1%7.9%10.1%8.7%8.6%
Bid-Ask Spread %22.3116.0527.4416.0522.24
Gamma HHI0.510.360.650.580.44
Net GEX1.3M-10.7M18.4M11.3M-8.3M
Net DEX29.6M-38.0M74.7M-28.0M56.6M
Net VEX-294.0K-367.1K-249.3K-315.2K-325.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.500.0017.369.240.67
Total Volume1,472.773615,8026761,255
Total OI35,116.63628,11641,30534,66935,702

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$92.81$91.008.4%2.4%6.0%3.8%9.0%0.8%0.6%11.3M-28.0M-315.2K9.2416.056661013,50921,160
2009-10-02$92.77$91.007.4%2.1%5.8%0.3%7.7%0.7%1.2%12.6M-27.0M-311.2K0.1518.552724213,52721,649
2009-10-05$92.76$93.007.8%2.5%5.3%1.8%0.0%1.2%0.4%12.6M-28.1M-299.0K5.4426.279953913,51821,655
2009-10-06$92.46$93.007.7%2.5%5.4%1.4%8.5%1.1%0.4%15.4M-18.8M-304.3K2.3727.24276413,48322,177
2009-10-07$93.05$93.007.7%2.3%5.7%1.4%7.9%0.9%1.2%10.5M-38.0M-279.7K17.3625.403165,48613,35222,190
2009-10-08$92.71$93.007.6%2.3%5.4%1.1%7.7%1.3%0.8%2.4M-14.6M-311.8K0.0424.703461313,52827,357
2009-10-09$91.82$93.007.6%2.4%6.4%1.0%8.3%1.1%0.7%4.0M41.7M-318.9K2.0023.796312613,58227,607
2009-10-12$92.09$93.009.0%2.4%6.1%5.7%8.7%1.3%0.6%3.6M19.0M-299.6K1.0127.442,5322,54813,56627,731
2009-10-13$92.30$93.008.9%2.5%6.1%5.6%8.7%1.2%0.3%4.6M5.3M-292.6K3.3626.18144713,57727,728
2009-10-14$91.67$93.006.4%2.6%6.6%0.0%9.5%1.2%-0.3%7.3M47.5M-259.4K3.1922.548852,82411,08125,253
2009-10-15$91.37$93.009.1%2.6%6.5%20.9%9.1%1.4%-0.2%4.6M65.6M-301.1K0.0025.75186011,83327,297
2009-10-16$91.79$93.008.1%2.3%6.4%13.4%8.2%1.1%0.5%18.4M43.1M-265.9K13.8826.45761,05511,09426,595
2009-10-19$91.93$93.008.2%2.4%6.4%14.1%7.8%1.5%0.4%-8.9M50.8M-255.2K1.0119.543013054,07724,039
2009-10-20$92.14$91.008.0%2.3%6.4%12.0%7.8%1.4%0.4%-7.0M40.2M-275.2K0.7623.111901445,32124,318
2009-10-21$91.93$91.008.1%2.3%6.4%12.7%7.9%1.7%0.4%-7.3M45.1M-272.5K1.5018.701091635,47024,418
2009-10-22$91.66$91.008.0%2.3%6.5%12.3%7.7%1.7%0.0%-7.0M49.8M-275.0K7.9419.472862,2705,54124,531
2009-10-23$91.21$91.008.1%2.3%6.5%13.3%8.4%1.4%0.7%-6.1M53.6M-251.8K1.9720.534067995,73822,696
2009-10-26$90.69$91.008.4%2.4%6.7%15.3%8.2%2.1%0.4%-6.3M68.0M-249.3K2.6618.299522,5376,01823,219
2009-10-27$91.47$92.008.3%2.4%7.5%14.9%7.7%1.7%0.7%-10.2M74.7M-316.0K1.0120.711,5151,5246,74627,868
2009-10-28$91.75$92.007.8%2.2%7.6%10.9%7.6%1.5%0.3%-10.7M71.5M-367.1K0.9116.495525057,98429,347
2009-10-29$91.31$93.008.3%2.4%7.5%14.5%8.1%1.4%0.2%-7.8M73.3M-321.2K0.5421.422281248,25627,228
2009-10-30$91.99$93.008.0%2.3%8.0%12.5%8.0%1.2%0.3%-8.3M56.6M-325.3K0.6722.247505058,42127,281