IEF Options History — December 2009

In December 2009, IEF traded between $88.60 and $92.34. ATM implied volatility averaged 7.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.6% (HV 20d: 6.5%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.97.

Notable Days

  • 2009-12-16: Highest Volume — 6,099 contracts
  • 2009-12-08: Largest IV drop — 11.6% change
  • 2009-12-29: Highest IV Rank — 23.7%
  • 2009-12-29: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.44$88.60$92.34$92.34$88.60
Max Pain$90.82$90.00$92.00$91.00$90.00
ATM IV7.1%6.5%8.2%6.5%7.3%
Expected Move2.1%1.9%2.3%1.9%2.1%
HV 20d6.5%4.9%7.9%7.0%6.8%
HV 60d7.0%6.8%7.3%6.9%7.3%
IV Rank11.8%4.7%23.7%4.7%13.9%
IV Percentile7.1%1.6%23.0%1.6%9.5%
Term Structure1.0%-0.0%1.7%0.9%1.0%
VWIV7.2%6.5%8.3%6.5%7.3%
Skew 25d1.0%-0.2%1.6%1.4%0.4%
Skew 10d1.6%-3.1%4.7%1.4%-0.1%
Call IV 25d6.8%5.7%8.1%5.7%7.3%
Put IV 25d7.7%7.0%8.7%7.0%7.7%
Bid-Ask Spread %19.9214.1824.6314.5822.65
Gamma HHI0.450.260.610.260.58
Net GEX-745.2K-5.7M4.0M1.6M-5.3M
Net DEX23.8M-1.3M53.9M-362.5K53.9M
Net VEX-110.4K-179.5K-55.3K-57.3K-162.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.970.0179.250.071.00
Total Volume676.909386,099664254
Total OI8,149.3183,66112,7043,66112,146

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$92.34$91.006.5%1.9%7.0%4.7%6.5%1.4%0.9%1.6M-362.5K-57.3K0.0714.58618462,0161,645
2009-12-02$92.15$91.006.9%2.0%4.9%8.2%7.0%0.8%0.5%2.7M-1.3M-60.5K0.2014.18159322,4731,672
2009-12-03$91.72$91.006.7%1.9%5.2%6.0%7.5%1.0%0.8%2.7M1.2M-59.4K0.0119.9481082,5191,700
2009-12-04$91.04$92.006.9%2.2%5.9%8.7%7.6%1.1%1.5%2.2M4.7M-55.3K0.0723.59683512,6161,707
2009-12-07$91.29$91.007.4%2.2%5.9%12.9%7.3%1.3%1.2%3.3M2.1M-59.9K8.3219.24998243,0061,742
2009-12-08$91.61$91.006.5%2.1%6.0%5.6%7.7%1.5%1.3%3.5M2.0M-75.7K0.3520.72249873,1012,545
2009-12-09$91.43$91.006.8%2.1%6.1%8.6%6.7%1.1%1.5%4.0M2.6M-75.4K0.5621.103331853,3152,603
2009-12-10$91.12$91.007.3%2.1%6.1%13.9%7.3%0.9%1.5%3.5M6.0M-77.1K1.6524.6334563,4842,768
2009-12-11$90.67$91.007.1%2.0%6.3%11.9%7.3%1.1%1.5%2.5M8.9M-75.1K0.0323.2426373,5182,815
2009-12-14$90.67$91.007.1%2.0%6.3%11.4%7.5%1.3%1.7%2.3M9.0M-72.5K0.3121.4432103,6622,800
2009-12-15$90.38$91.007.2%2.1%6.0%13.0%7.1%1.3%1.4%1.4M11.2M-68.7K0.0323.243713,6822,810
2009-12-16$90.38$91.007.1%2.0%5.9%11.7%6.7%1.0%1.2%1.2M11.5M-67.2K79.2520.70766,0233,7032,811
2009-12-17$91.18$91.006.9%2.0%6.8%8.9%6.9%0.9%1.3%-1.7M31.0M-179.5K0.5618.612661503,7688,825
2009-12-18$90.73$91.007.0%2.0%7.0%10.7%6.9%1.0%1.3%-2.8M36.8M-177.8K1.9220.34971863,7938,911
2009-12-21$89.80$91.006.9%2.0%7.8%9.8%6.8%1.0%0.6%-5.7M44.3M-164.4K3.1214.793331,0391,8898,591
2009-12-22$89.40$91.007.3%2.1%7.9%14.5%7.2%0.8%0.4%-5.5M47.0M-154.3K5.0016.15341701,9718,443
2009-12-23$89.36$91.007.0%2.0%7.5%10.4%6.6%1.6%0.8%-5.5M48.3M-156.9K0.6916.922691861,9928,610
2009-12-24$89.04$90.007.0%2.0%7.3%10.3%7.0%0.6%0.6%-5.3M50.6M-155.8K0.9922.8868672,2318,756
2009-12-28$88.80$90.007.7%2.2%6.9%18.8%7.7%0.9%0.3%-5.1M52.9M-146.2K3.2021.611153682,2998,792
2009-12-29$88.87$90.008.2%2.3%6.9%23.7%8.3%0.6%0.0%-5.2M51.3M-158.4K1.0617.231871992,4129,140
2009-12-30$89.03$90.008.0%2.3%6.7%21.2%7.0%-0.2%-0.0%-5.3M50.0M-168.6K0.8720.5997842,6389,365
2009-12-31$88.60$90.007.3%2.1%6.8%13.9%7.3%0.4%1.0%-5.3M53.9M-162.2K1.0022.651271272,7139,433