IEF Options History — June 2010

In June 2010, IEF traded between $92.30 and $95.67. ATM implied volatility averaged 8.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.5% (HV 20d: 8.7%). Max pain ranged from $92.00 to $94.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 10.01.

Notable Days

  • 2010-06-09: Highest Volume — 2,575 contracts
  • 2010-06-18: Largest IV drop — 7.3% change
  • 2010-06-08: Highest IV Rank — 39.3%
  • 2010-06-08: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.76$92.30$95.67$92.96$95.67
Max Pain$92.86$92.00$94.00$92.00$94.00
ATM IV8.2%7.2%9.1%9.1%7.7%
Expected Move2.4%2.1%2.6%2.6%2.2%
HV 20d8.7%7.8%9.5%8.5%7.8%
HV 60d7.8%7.1%8.1%7.1%7.6%
IV Rank31.3%21.3%39.3%35.7%33.1%
IV Percentile56.7%36.5%73.0%70.2%51.2%
Term Structure0.4%0.1%0.9%0.5%0.3%
VWIV8.2%6.6%9.8%9.0%7.0%
Skew 25d0.1%-0.5%0.6%-0.3%-0.5%
Skew 10d0.7%-3.1%6.1%-3.1%-1.5%
Call IV 25d8.3%7.2%9.7%9.7%7.7%
Put IV 25d8.5%7.2%9.7%9.4%7.2%
Bid-Ask Spread %17.0010.7924.0218.3314.28
Gamma HHI0.160.120.240.120.20
Net GEX3.4M1.1M5.9M1.3M4.7M
Net DEX-14.8M-27.2M-1.2M-8.1M-25.2M
Net VEX-233.8K-268.3K-210.0K-217.9K-240.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.010.04197.080.510.40
Total Volume564.545542,5753041,209
Total OI22,549.68219,13625,00619,13622,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$92.96$92.009.1%2.6%8.5%35.7%9.0%-0.3%0.5%1.3M-8.1M-217.9K0.5118.332011037,47111,665
2010-06-02$92.43$92.008.9%2.5%8.6%33.5%8.9%-0.0%0.1%1.1M-1.2M-219.1K0.9818.351,2411,2117,64611,752
2010-06-03$92.30$92.008.5%2.4%8.5%31.7%9.0%0.2%0.3%1.3M-2.4M-246.0K0.2416.8645118,88012,876
2010-06-04$93.58$92.008.3%2.5%9.1%30.3%8.9%0.3%0.3%2.8M-14.2M-268.3K1.1524.021031188,88612,866
2010-06-07$93.96$92.008.9%2.6%9.0%37.0%9.3%-0.1%0.2%3.3M-20.6M-253.7K0.2920.04278818,91812,859
2010-06-08$93.67$93.009.1%2.6%8.6%39.3%9.3%0.3%0.4%3.2M-17.9M-248.4K3.7518.64592219,10012,883
2010-06-09$93.68$93.008.8%2.6%8.6%36.0%0.0%-0.0%0.2%3.3M-17.3M-245.6K197.0818.82132,5629,12312,865
2010-06-10$92.81$93.009.0%2.6%9.3%37.3%8.9%0.2%0.5%2.4M-8.0M-240.1K5.0316.86391969,12515,357
2010-06-11$93.40$93.008.9%2.5%9.5%38.6%8.9%0.5%0.5%3.4M-14.2M-242.4K0.9318.2773689,15815,386
2010-06-14$93.32$93.008.9%2.6%9.3%39.0%9.0%0.2%0.2%3.7M-13.4M-240.5K0.2817.633791079,22515,454
2010-06-15$93.03$93.008.5%2.4%9.3%33.8%9.8%0.6%0.4%3.4M-9.9M-228.3K2.1319.141202569,36415,546
2010-06-16$93.29$93.008.4%2.4%9.0%32.9%8.2%0.2%0.3%4.0M-14.0M-224.5K1.4517.2522329,35315,653
2010-06-17$93.73$93.008.2%2.3%9.2%30.3%7.7%0.4%0.5%4.8M-18.8M-226.3K0.4516.02136619,34915,656
2010-06-18$93.54$93.007.6%2.2%8.6%23.1%7.6%0.6%0.7%4.4M-16.0M-221.0K0.8717.582191909,28915,685
2010-06-21$93.47$93.007.7%2.2%8.6%24.3%7.2%0.5%0.5%2.2M-10.3M-211.1K0.6614.982061357,98013,122
2010-06-22$94.03$93.007.4%2.1%8.8%21.3%7.6%0.2%0.6%3.2M-13.2M-233.1K0.1516.07129208,18113,209
2010-06-23$94.38$93.007.5%2.1%8.8%25.0%7.4%0.1%0.4%3.7M-16.6M-225.8K1.0514.961021078,21813,229
2010-06-24$94.30$93.007.5%2.2%8.8%26.6%7.6%0.1%0.5%3.7M-14.1M-224.8K0.0415.56651298,08713,324
2010-06-25$94.45$93.007.2%2.1%8.0%22.1%7.1%-0.2%0.9%4.2M-16.9M-236.8K0.4113.74216898,65513,346
2010-06-28$95.12$93.007.2%2.1%8.2%24.5%6.6%-0.2%0.5%5.9M-27.2M-210.0K1.3715.794195768,82113,357
2010-06-29$95.53$94.007.7%2.2%8.2%32.1%7.6%0.1%0.3%4.9M-25.5M-239.3K0.9410.791991888,90613,637
2010-06-30$95.67$94.007.7%2.2%7.8%33.1%7.0%-0.5%0.3%4.7M-25.2M-240.6K0.4014.288613488,85813,773