IEF Options History — March 2010

In March 2010, IEF traded between $89.12 and $90.67. ATM implied volatility averaged 6.4%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.3% (HV 20d: 5.0%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.27.

Notable Days

  • 2010-03-24: Highest Volume — 2,105 contracts
  • 2010-03-22: Largest IV drop — 11.1% change
  • 2010-03-25: Highest IV Rank — 11.3%
  • 2010-03-08: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.07$89.12$90.67$90.55$89.50
Max Pain$89.83$89.00$90.00$90.00$90.00
ATM IV6.4%5.7%6.8%6.6%6.5%
Expected Move1.9%1.6%2.0%1.9%1.8%
HV 20d5.0%3.7%6.5%6.5%5.2%
HV 60d5.9%5.3%6.4%6.4%5.6%
IV Rank6.2%0.0%11.3%8.6%8.2%
IV Percentile7.7%0.0%17.5%8.3%10.3%
Term Structure0.8%0.2%1.5%0.7%0.7%
VWIV6.3%5.7%7.2%7.0%6.7%
Skew 25d0.7%0.1%1.7%0.4%0.4%
Skew 10d2.0%-0.2%5.4%0.6%0.7%
Call IV 25d6.1%5.0%6.6%6.6%6.4%
Put IV 25d6.8%6.1%7.4%7.0%6.7%
Bid-Ask Spread %14.637.7220.2211.5412.18
Gamma HHI0.520.140.880.620.30
Net GEX-10.5M-33.9M1.3M-9.7M1.3M
Net DEX18.3M3.2M35.6M19.1M10.4M
Net VEX-126.6K-150.1K-101.6K-147.7K-121.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0015.781.480.00
Total Volume393.043112,10565230
Total OI14,173.9137,34718,03015,2649,899

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$90.55$90.006.6%1.9%6.5%8.6%7.0%0.4%0.7%-9.7M19.1M-147.7K1.4811.542633894,44910,815
2010-03-02$90.60$90.006.6%1.9%6.0%7.9%6.5%0.1%0.5%-9.9M18.0M-147.6K3.2313.591354364,64811,141
2010-03-03$90.51$90.006.3%1.8%6.0%5.7%6.2%1.7%0.8%-10.1M19.6M-150.1K1.7310.42891544,75611,274
2010-03-04$90.67$90.006.2%1.8%5.7%4.3%5.9%0.4%0.4%-9.7M16.1M-143.8K0.627.722551594,81311,417
2010-03-05$90.24$89.006.0%1.9%5.2%2.5%6.7%0.6%1.4%-12.8M26.6M-147.2K0.0817.79413355,01811,562
2010-03-08$90.00$89.006.1%2.0%5.1%3.5%7.2%0.8%1.0%-14.5M33.8M-138.5K0.8919.562772464,88411,642
2010-03-09$90.23$89.005.9%1.9%5.2%0.4%0.0%0.7%1.1%-16.7M28.2M-138.0K1.2614.881171485,00311,834
2010-03-10$90.08$89.006.3%1.9%4.9%5.0%6.0%0.9%1.4%-16.7M32.7M-137.1K0.9720.221471425,09911,890
2010-03-11$90.00$90.006.6%1.9%4.8%8.3%6.7%0.8%1.5%-18.8M35.6M-136.0K6.0014.59462765,18812,031
2010-03-12$90.14$90.006.5%1.9%4.8%7.3%6.5%0.8%1.5%-21.2M30.4M-132.8K15.7817.66233635,19412,246
2010-03-15$90.14$90.006.6%1.9%4.7%8.1%6.8%1.0%1.4%-22.0M28.8M-124.7K1.0013.941361365,20712,334
2010-03-16$90.49$90.006.5%1.9%4.9%7.1%6.0%0.9%1.0%-15.5M14.5M-119.1K1.2918.701191545,28312,422
2010-03-17$90.60$90.006.0%1.7%4.4%1.9%5.9%0.5%0.8%-9.6M3.2M-108.8K1.1718.331351585,32712,497
2010-03-18$90.36$90.006.1%1.8%4.3%3.3%6.1%0.1%1.0%-23.5M14.5M-114.9K0.7618.24123945,42312,607
2010-03-19$90.24$90.006.4%1.8%4.4%6.1%5.8%0.9%0.9%-33.9M17.6M-111.8K1.4315.121732475,41612,563
2010-03-22$90.54$90.005.7%1.6%4.5%0.0%5.7%1.3%0.8%473.7K7.1M-101.6K1.319.681542012,6004,747
2010-03-23$90.35$90.006.2%1.8%3.7%5.2%6.1%0.6%0.6%501.9K7.0M-106.2K1.599.061702702,7394,748
2010-03-24$89.45$90.006.7%1.9%5.2%10.6%6.4%0.6%0.2%-346.4K10.8M-107.4K0.4818.231,4256802,8894,973
2010-03-25$89.12$90.006.8%1.9%5.1%11.3%6.3%0.5%0.2%435.2K11.6M-119.5K2.5612.42782004,1605,616
2010-03-26$89.33$90.006.6%1.9%5.1%9.5%6.2%0.7%0.4%620.8K11.2M-123.7K0.9814.0042414,1275,733
2010-03-29$89.20$90.006.6%1.9%5.1%10.0%6.7%0.6%0.5%265.5K12.6M-122.4K5.2515.89241264,1555,743
2010-03-30$89.29$90.006.5%1.9%5.1%8.4%0.0%0.5%0.5%526.9K10.9M-112.5K0.0012.681104,1175,771
2010-03-31$89.50$90.006.5%1.8%5.2%8.2%0.0%0.4%0.7%1.3M10.4M-121.6K0.0012.180304,1285,771