IEF Options History — September 2010

In September 2010, IEF traded between $96.78 and $99.37. ATM implied volatility averaged 7.8%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 1.6% (HV 20d: 9.4%). Max pain ranged from $97.00 to $98.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2010-09-09: Highest Volume — 10,139 contracts
  • 2010-09-07: Largest IV spike — 8.6% change
  • 2010-09-01: Highest IV Rank — 61.5%
  • 2010-09-01: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.01$96.78$99.37$98.30$99.01
Max Pain$97.86$97.00$98.00$97.00$98.00
ATM IV7.8%7.0%8.6%8.6%7.5%
Expected Move2.2%2.0%2.5%2.5%2.2%
HV 20d9.4%7.9%10.1%9.2%7.9%
HV 60d7.7%7.4%7.9%7.5%7.9%
IV Rank44.4%28.0%61.5%61.5%39.2%
IV Percentile66.8%43.3%84.9%84.9%63.5%
Term Structure0.1%-0.5%0.6%0.0%-0.2%
VWIV7.8%6.6%10.2%8.0%7.7%
Skew 25d0.4%-0.4%1.5%1.5%0.0%
Skew 10d1.1%-2.5%3.9%3.9%-0.4%
Call IV 25d7.7%6.7%8.3%7.6%7.7%
Put IV 25d8.1%7.2%9.1%9.1%7.8%
Bid-Ask Spread %25.809.8438.3214.0530.26
Gamma HHI0.290.210.580.220.22
Net GEX872.6K-10.8M18.8M-3.0M1.9M
Net DEX6.7M-15.1M24.6M9.9M-7.6M
Net VEX-295.1K-343.5K-232.6K-332.6K-249.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.009.110.190.08
Total Volume1,841.90526310,1393,0534,577
Total OI32,520.23823,57143,40732,27924,836

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$98.30$97.008.6%2.5%9.2%61.5%8.0%1.5%0.0%-3.0M9.9M-332.6K0.1914.052,5684857,88624,393
2010-09-02$97.89$97.007.9%2.3%9.3%46.7%8.0%0.5%0.6%-1.2M10.6M-342.7K0.679.849246169,73524,634
2010-09-03$97.33$97.007.4%2.3%9.3%36.7%7.8%0.5%0.3%-3.2M21.6M-340.6K0.2021.091,99640310,24224,757
2010-09-07$98.10$98.008.1%2.3%9.7%50.1%8.0%0.7%0.3%3.1M2.4M-340.1K0.4321.7044519211,65424,632
2010-09-08$97.83$98.007.8%2.3%9.6%45.3%8.0%0.7%0.1%1.7M8.9M-336.0K0.2825.422065711,91424,701
2010-09-09$97.06$98.008.4%2.4%9.8%56.5%8.1%0.4%0.0%-2.3M24.6M-339.7K0.0320.489,88525411,85324,702
2010-09-10$96.78$98.008.4%2.4%9.8%56.9%10.2%0.3%-0.2%5.2M15.2M-343.5K0.9027.8024321918,13124,373
2010-09-13$97.24$98.008.5%2.4%9.8%57.9%8.4%0.3%-0.2%9.1M5.1M-324.5K3.5322.5825590118,21224,506
2010-09-14$97.73$98.008.3%2.4%9.6%53.9%8.2%0.5%-0.2%18.8M-15.1M-325.2K0.1326.384545818,22624,871
2010-09-15$97.39$98.008.3%2.4%9.6%54.1%8.1%0.1%-0.3%10.5M6.2M-302.1K0.0022.804,342818,54824,859
2010-09-16$97.05$98.007.8%2.2%9.6%43.6%7.8%0.4%0.2%-10.8M20.4M-279.8K9.1138.321221,11215,72324,862
2010-09-17$97.27$98.007.9%2.3%9.5%45.8%7.7%0.1%0.1%-5.0M14.3M-282.0K0.3128.3637511515,53524,299
2010-09-20$97.57$98.008.0%2.3%9.5%49.4%8.0%0.7%-0.5%-5.6M19.3M-259.4K0.4023.165132045,13018,441
2010-09-21$98.48$98.007.8%2.2%10.1%44.8%7.7%0.2%0.1%-1.7M9.6M-275.6K0.2429.89360855,55418,582
2010-09-22$98.63$98.007.4%2.1%9.7%36.3%7.1%-0.4%0.5%-963.5K6.4M-274.6K1.1234.941701905,86518,636
2010-09-23$98.77$98.007.1%2.0%9.6%29.1%7.0%0.4%0.3%-528.3K4.3M-261.4K0.1428.85472645,95418,810
2010-09-24$98.28$98.007.1%2.0%9.6%30.3%6.8%0.5%0.3%-2.8M11.5M-265.7K4.5532.368143,7045,96218,829
2010-09-27$99.04$98.007.2%2.1%9.1%33.0%6.9%0.4%0.5%1.3M-6.7M-232.6K0.4727.904482106,65117,346
2010-09-28$99.37$98.007.0%2.0%8.7%28.0%7.3%-0.2%0.5%1.8M-11.4M-248.6K0.4725.36188896,95017,534
2010-09-29$99.13$98.007.2%2.1%8.6%32.2%6.6%0.2%0.2%2.0M-9.2M-241.9K0.5130.222361217,04717,550
2010-09-30$99.01$98.007.5%2.2%7.9%39.2%7.7%0.0%-0.2%1.9M-7.6M-249.3K0.0830.264,2463317,24417,592