IEF Options History — October 2010

In October 2010, IEF traded between $97.76 and $100.08. ATM implied volatility averaged 6.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.5% (HV 20d: 6.3%). Max pain ranged from $96.00 to $98.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2010-10-29: Highest Volume — 15,237 contracts
  • 2010-10-11: Largest IV spike — 15.7% change
  • 2010-10-27: Highest IV Rank — 34.2%
  • 2010-10-05: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.20$97.76$100.08$98.83$98.77
Max Pain$96.43$96.00$98.00$98.00$96.00
ATM IV6.8%6.1%7.3%6.6%7.2%
Expected Move2.0%1.9%2.2%1.9%2.1%
HV 20d6.3%5.2%7.7%7.7%6.5%
HV 60d7.8%7.7%7.9%7.9%7.8%
IV Rank23.8%9.7%34.2%19.0%31.9%
IV Percentile38.0%9.1%60.3%28.2%57.1%
Term Structure0.2%-0.2%1.2%1.2%0.1%
VWIV6.9%6.1%7.5%6.7%7.1%
Skew 25d0.3%-0.1%0.9%-0.1%0.2%
Skew 10d0.5%-1.5%2.5%2.5%0.1%
Call IV 25d6.9%6.3%7.7%7.2%7.4%
Put IV 25d7.2%6.8%7.9%7.1%7.6%
Bid-Ask Spread %30.1320.1254.6835.5132.72
Gamma HHI0.230.190.270.220.21
Net GEX1.2M-3.3M6.5M1.4M-2.8M
Net DEX-21.8M-52.2M5.5M-2.3M-18.9M
Net VEX-272.6K-346.1K-206.3K-247.3K-306.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0115.010.070.01
Total Volume1,673.0489315,23732015,237
Total OI32,354.85724,61237,96424,65337,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$98.83$98.006.6%1.9%7.7%19.0%6.7%-0.1%1.2%1.4M-2.3M-247.3K0.0735.51300206,76217,891
2010-10-04$99.18$97.006.7%2.2%7.4%22.2%6.1%0.3%-0.2%2.0M-6.0M-244.4K0.9322.901931806,71717,895
2010-10-05$99.20$97.007.2%2.2%7.0%31.7%7.1%0.1%-0.0%2.0M-7.5M-232.1K0.2523.91320806,75318,039
2010-10-06$99.84$97.006.8%2.1%7.2%24.5%7.1%0.1%-0.1%3.2M-18.8M-206.3K0.3826.346722577,01118,091
2010-10-07$99.94$98.006.7%2.1%6.3%21.7%6.9%0.1%0.2%3.7M-21.5M-206.6K1.7626.812935167,50618,264
2010-10-08$99.98$98.006.1%2.0%6.1%9.7%7.3%0.2%0.2%3.9M-22.7M-218.8K0.0621.163,3652187,72818,675
2010-10-11$100.08$96.007.1%2.1%6.0%29.7%7.4%0.9%-0.2%5.3M-52.2M-235.9K0.1637.082223510,98018,832
2010-10-12$99.79$96.006.9%2.0%6.1%25.7%7.0%0.6%0.3%4.6M-47.7M-244.0K2.8427.1922965011,06218,830
2010-10-13$99.79$96.006.5%2.0%5.8%17.6%6.3%0.4%0.3%6.4M-47.2M-235.2K2.5720.129624711,09519,358
2010-10-14$99.22$96.006.9%2.0%6.1%26.1%6.7%0.4%0.3%6.5M-34.5M-263.1K15.0124.594256,38111,16119,550
2010-10-15$98.79$96.006.8%1.9%6.4%22.7%7.1%0.5%0.0%4.7M-22.2M-300.6K1.2154.6842251111,22625,598
2010-10-18$99.26$96.006.5%1.9%6.5%18.2%6.5%0.4%0.6%-1.2M-26.5M-299.8K0.7227.701,0527559,97925,616
2010-10-19$99.60$96.006.5%1.9%5.8%17.2%6.6%0.0%0.6%-522.2K-34.5M-275.3K1.9431.3211121510,54226,252
2010-10-20$99.54$96.006.5%1.9%5.8%17.3%6.6%0.4%0.7%439.0K-29.3M-293.4K1.0733.49454810,44926,418
2010-10-21$98.99$96.006.7%1.9%6.2%20.4%7.1%0.0%0.5%-2.3M-20.2M-312.0K0.9635.14726910,48326,446
2010-10-22$99.02$96.006.6%1.9%5.9%19.7%6.4%0.6%0.4%-1.9M-21.5M-299.8K0.6032.651257510,54526,460
2010-10-25$98.99$96.007.1%2.0%5.2%30.3%7.1%0.5%-0.1%-2.1M-19.2M-310.9K0.3232.821264010,62226,460
2010-10-26$98.33$96.007.0%2.0%5.5%28.5%7.5%0.2%0.1%-2.3M-8.9M-311.7K0.5425.7723412610,61726,470
2010-10-27$97.76$96.007.3%2.1%5.8%34.2%7.3%0.1%0.0%-3.3M5.5M-334.0K3.1927.7621969910,69626,552
2010-10-28$98.33$96.007.1%2.0%6.3%30.6%7.2%0.2%-0.1%-1.7M-2.1M-346.1K0.5133.041688610,73527,122
2010-10-29$98.77$96.007.2%2.1%6.5%31.9%7.1%0.2%0.1%-2.8M-18.9M-306.6K0.0132.7215,09014710,83327,131