IEF Options History — August 2010

In August 2010, IEF traded between $95.74 and $99.26. ATM implied volatility averaged 7.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.1% (HV 20d: 7.2%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.33.

Notable Days

  • 2010-08-31: Highest Volume — 9,147 contracts
  • 2010-08-09: Largest IV spike — 12.3% change
  • 2010-08-26: Highest IV Rank — 51.6%
  • 2010-08-26: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.85$95.74$99.26$95.74$99.26
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV7.1%6.1%8.1%6.4%8.0%
Expected Move2.1%1.8%2.3%1.8%2.3%
HV 20d7.2%6.6%8.6%6.6%8.5%
HV 60d7.3%7.0%7.5%7.4%7.2%
IV Rank27.0%7.3%51.6%12.4%47.8%
IV Percentile42.3%7.5%74.6%17.5%70.2%
Term Structure0.7%0.2%1.1%0.6%0.5%
VWIV7.3%5.8%11.7%5.8%11.7%
Skew 25d0.2%-1.0%0.8%-0.0%0.6%
Skew 10d1.5%-2.1%4.1%1.2%0.3%
Call IV 25d7.2%5.9%8.1%6.6%7.8%
Put IV 25d7.4%5.9%8.7%6.5%8.5%
Bid-Ask Spread %13.1810.9320.3714.3412.47
Gamma HHI0.230.140.460.170.29
Net GEX1.9M-3.2M6.1M2.5M-1.2M
Net DEX-25.3M-46.3M2.7M-10.7M-21.1M
Net VEX-246.3K-354.9K-185.2K-208.7K-321.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0822.730.200.08
Total Volume1,201959,1473989,147
Total OI29,641.36426,65536,02526,65533,421

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$95.74$95.006.4%1.8%6.6%12.4%5.8%-0.0%0.6%2.5M-10.7M-208.7K0.2014.34333658,64418,011
2010-08-03$96.19$95.006.4%1.8%6.8%12.1%6.3%-0.2%0.6%4.3M-17.6M-208.5K0.2614.85228598,72018,070
2010-08-04$95.79$95.006.3%1.8%6.8%9.9%6.3%-1.0%0.9%3.5M-12.9M-215.3K0.6211.79108678,81918,104
2010-08-05$96.25$95.006.3%1.8%6.9%9.9%6.3%0.8%0.6%4.4M-18.0M-213.7K0.3911.60171668,84118,171
2010-08-06$96.88$95.006.1%2.0%7.1%7.3%6.6%0.1%0.9%5.5M-25.8M-209.5K0.4220.37221928,93018,182
2010-08-09$96.86$95.006.9%2.0%7.1%19.6%7.1%-0.1%1.0%6.1M-28.1M-198.7K1.0313.621211259,00318,225
2010-08-10$97.35$95.006.6%2.0%6.9%14.8%6.4%0.1%0.7%4.8M-31.5M-201.2K0.5014.364382179,02918,328
2010-08-11$97.90$95.006.3%2.0%6.9%9.9%6.6%-0.1%1.1%4.1M-38.0M-188.2K0.2813.086551849,07818,394
2010-08-12$97.65$95.006.8%2.0%6.9%19.0%6.5%-0.1%1.0%5.1M-37.5M-190.1K0.9010.932872579,34818,541
2010-08-13$98.07$95.007.1%2.0%6.8%24.3%6.7%0.4%0.7%3.9M-40.4M-194.2K0.1213.56386489,44618,757
2010-08-16$98.78$95.007.1%2.0%7.0%24.3%7.0%0.2%0.7%3.5M-46.3M-195.3K0.9811.285735599,57318,791
2010-08-17$98.28$95.007.1%2.0%7.4%26.9%6.9%0.2%0.6%3.7M-41.3M-203.2K3.6712.44732689,85119,279
2010-08-18$98.18$95.007.0%2.0%7.2%24.8%6.7%0.2%0.9%2.9M-40.3M-185.2K6.8012.39352389,87419,525
2010-08-19$98.62$95.007.2%2.1%6.9%32.3%7.4%0.2%0.9%2.4M-42.7M-199.8K22.7313.542886,5479,88719,671
2010-08-20$98.30$95.007.3%2.1%6.9%34.3%7.5%0.1%0.8%-2.6M-24.2M-312.9K2.2312.08741659,99626,029
2010-08-23$98.43$95.007.3%2.1%6.8%34.8%7.2%0.7%0.3%-3.2M-13.5M-314.4K0.6611.012391578,45322,652
2010-08-24$99.21$95.007.5%2.2%6.9%39.0%7.8%0.6%0.2%-1.1M-24.2M-312.1K0.9112.506285748,62822,768
2010-08-25$98.76$95.007.7%2.2%7.3%42.9%8.0%0.4%0.4%-3.0M-17.6M-307.5K5.2912.711166148,95023,207
2010-08-26$99.21$95.008.1%2.3%7.3%51.6%8.2%0.7%0.2%-1.8M-15.1M-333.4K0.2513.24372939,00823,553
2010-08-27$98.07$95.007.8%2.2%8.6%44.6%8.6%0.6%0.7%-1.6M2.7M-354.9K2.3314.314321,0079,27023,588
2010-08-30$98.82$95.008.1%2.3%8.5%51.3%8.2%0.7%0.3%-1.5M-11.3M-351.5K0.6113.3659369,55623,939
2010-08-31$99.26$95.008.0%2.3%8.5%47.8%11.7%0.6%0.5%-1.2M-21.1M-321.2K0.0812.478,4966519,56423,857