IEF Options History — May 2010

In May 2010, IEF traded between $90.21 and $93.76. ATM implied volatility averaged 8.8%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.9% (HV 20d: 7.9%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2010-05-20: Highest Volume — 1,637 contracts
  • 2010-05-06: Largest IV spike — 40.7% change
  • 2010-05-06: Highest IV Rank — 50.1%
  • 2010-05-06: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.16$90.21$93.76$90.21$93.10
Max Pain$90.25$90.00$91.00$90.00$91.00
ATM IV8.8%6.5%10.5%6.5%9.0%
Expected Move2.5%1.9%3.0%1.9%2.6%
HV 20d7.9%6.3%8.9%6.3%8.8%
HV 60d6.6%5.9%7.2%5.9%7.2%
IV Rank32.8%8.5%50.1%8.5%34.8%
IV Percentile61.5%16.3%78.6%16.3%68.7%
Term Structure0.3%-0.7%0.7%0.5%0.2%
VWIV8.9%6.5%10.5%6.5%9.0%
Skew 25d-0.3%-0.9%0.6%0.6%0.0%
Skew 10d0.2%-1.3%4.7%1.2%-1.3%
Call IV 25d9.2%6.0%11.1%6.0%9.0%
Put IV 25d8.9%6.6%10.4%6.6%9.0%
Bid-Ask Spread %23.4114.1487.0115.0628.50
Gamma HHI0.200.100.360.360.12
Net GEX2.7M1.8M4.2M3.3M2.1M
Net DEX-16.3M-35.5M922.7K922.7K-15.2M
Net VEX-178.9K-219.8K-144.4K-150.9K-219.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.004.080.611.95
Total Volume712.4981,63798189
Total OI16,704.6513,66419,73113,66419,731

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$90.21$90.006.5%1.9%6.3%8.5%6.5%0.6%0.5%3.3M922.7K-150.9K0.6115.0661375,1468,518
2010-05-04$90.82$90.006.9%2.0%6.6%12.5%7.1%0.3%0.3%3.0M-4.5M-152.6K0.1616.00257405,1518,526
2010-05-05$91.17$90.007.4%2.1%6.4%18.5%7.5%0.1%0.3%3.0M-8.9M-144.4K0.2917.608222395,3658,562
2010-05-06$92.17$90.0010.5%3.0%7.2%50.1%10.5%-0.7%-0.7%2.2M-15.4M-175.6K0.2887.016591855,8438,748
2010-05-07$91.92$90.009.7%2.7%7.4%42.3%9.7%-0.1%0.4%2.3M-14.6M-190.6K3.7331.951324936,1628,826
2010-05-10$91.22$90.009.6%2.7%8.0%40.5%9.6%0.0%0.3%2.9M-10.0M-186.3K1.1324.9569786,2779,219
2010-05-11$91.33$90.008.9%2.6%8.0%33.5%9.2%-0.1%0.4%3.2M-11.3M-182.8K4.0818.70512086,3169,200
2010-05-12$91.10$90.007.4%2.4%8.0%18.5%8.4%-0.2%0.6%4.2M-11.1M-166.0K1.8715.475601,0456,3039,320
2010-05-13$91.35$90.007.9%2.3%8.0%23.0%8.0%-0.4%0.7%3.9M-12.8M-166.2K0.6218.533232016,6809,989
2010-05-14$91.94$90.008.8%2.5%8.1%32.5%8.6%-0.3%0.5%3.1M-18.9M-170.9K0.3321.537142356,86410,159
2010-05-17$91.74$90.008.7%2.5%8.1%32.1%9.1%-0.2%0.2%3.0M-19.6M-163.9K0.0018.2113707,40310,172
2010-05-18$92.41$90.008.8%2.5%8.3%32.4%9.0%-0.2%0.3%2.3M-22.8M-183.0K0.5914.43169997,42910,172
2010-05-19$92.49$90.009.0%2.6%8.3%35.0%9.6%-0.6%0.4%2.5M-25.8M-165.5K0.4917.287323587,49510,262
2010-05-20$93.39$90.0010.3%2.9%8.7%48.0%9.3%-0.7%-0.2%2.2M-31.3M-182.0K0.2430.371,3233147,96110,539
2010-05-21$93.44$90.009.6%2.8%8.5%41.0%9.5%-0.9%0.3%2.4M-35.5M-186.5K0.4519.427253288,75310,784
2010-05-24$93.44$91.009.3%2.7%8.6%38.5%10.0%-0.9%0.3%2.1M-18.3M-184.9K1.4321.402223177,18510,244
2010-05-25$93.76$91.009.6%2.8%8.1%41.2%8.6%-0.6%0.6%2.0M-19.5M-195.2K0.4119.362851177,30210,501
2010-05-26$93.57$91.009.2%2.6%7.9%36.9%9.3%-0.7%0.1%2.2M-20.1M-198.3K0.8218.247886447,39710,572
2010-05-27$92.68$91.009.1%2.6%8.9%35.7%9.1%-0.3%0.3%1.8M-10.6M-212.9K0.9914.145505427,84311,174
2010-05-28$93.10$91.009.0%2.6%8.8%34.8%9.0%0.0%0.2%2.1M-15.2M-219.8K1.9528.50641258,16711,564