IEF Options History — November 2010

In November 2010, IEF traded between $96.77 and $99.82. ATM implied volatility averaged 8.4%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.1% (HV 20d: 8.3%). Max pain ranged from $99.00 to $99.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 10.49.

Notable Days

  • 2010-11-09: Highest Volume — 8,435 contracts
  • 2010-11-03: Largest IV drop — 14.0% change
  • 2010-11-29: Highest IV Rank — 85.0%
  • 2010-11-29: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.08$96.77$99.82$98.37$97.65
Max Pain$99.00$99.00$99.00$99.00$99.00
ATM IV8.4%6.7%9.8%8.0%9.2%
Expected Move2.4%1.9%2.8%2.3%2.6%
HV 20d8.3%6.3%9.7%6.5%9.5%
HV 60d8.0%7.7%8.5%7.7%7.8%
IV Rank56.1%21.3%85.0%47.6%73.8%
IV Percentile82.1%34.5%99.2%79.8%96.4%
Term Structure-0.2%-0.7%0.8%-0.1%-0.5%
VWIV8.5%6.3%9.9%8.0%9.1%
Skew 25d0.6%0.1%1.3%0.1%0.2%
Skew 10d2.6%0.1%5.1%3.2%0.4%
Call IV 25d8.3%7.0%9.7%8.0%9.7%
Put IV 25d8.9%7.1%10.2%8.2%9.9%
Bid-Ask Spread %21.779.2783.3230.139.27
Gamma HHI0.200.150.280.280.18
Net GEX-13.2M-22.8M621.1K-5.9M-21.6M
Net DEX47.0M-8.8M92.3M20.0M66.9M
Net VEX-450.4K-590.7K-261.2K-310.7K-522.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.490.4264.901.372.38
Total Volume1,567.3331188,4352201,889
Total OI46,321.66734,92952,80434,92952,168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$98.37$99.008.0%2.3%6.5%47.6%8.0%0.1%-0.1%-5.9M20.0M-310.7K1.3730.13931277,74827,181
2010-11-02$98.70$99.007.8%2.2%6.6%44.0%7.6%0.7%-0.3%-3.2M16.3M-320.3K0.8029.232391907,73927,267
2010-11-03$99.02$99.006.7%1.9%6.3%21.3%6.3%0.2%0.8%-1.9M9.8M-299.1K1.0829.952873117,78727,400
2010-11-04$99.82$99.006.9%2.0%6.9%26.3%6.9%0.1%0.6%621.1K-8.8M-261.2K1.7032.071,3572,3037,91727,577
2010-11-05$99.40$99.007.2%2.1%7.1%32.4%7.6%0.6%-0.1%-1.6M3.1M-316.7K5.1511.43934798,29529,744
2010-11-08$99.43$99.007.3%2.2%7.1%34.7%8.6%0.9%-0.2%-1.5M5.2M-327.2K4.7312.39864078,29930,127
2010-11-09$98.59$99.007.6%2.2%7.6%39.9%8.1%0.8%-0.1%-4.8M22.8M-342.7K64.9012.601288,3078,31630,240
2010-11-10$98.96$99.008.4%2.3%7.7%56.7%8.4%0.7%-0.3%-5.6M24.9M-426.6K61.8812.59825,0748,25038,423
2010-11-11$98.85$99.008.3%2.4%7.5%54.9%8.2%1.0%-0.5%-7.9M36.4M-511.9K18.0483.321352,4368,26343,371
2010-11-12$98.03$99.008.8%2.5%7.9%66.2%8.9%0.4%-0.7%-16.2M47.4M-478.9K2.1712.401483218,34942,669
2010-11-15$96.77$99.009.2%2.6%8.8%73.8%9.9%1.0%-0.4%-19.8M88.0M-578.0K1.1111.496757478,37242,840
2010-11-16$97.49$99.009.1%2.6%9.2%70.8%9.1%0.7%-0.2%-19.7M68.4M-513.9K2.5717.654571,1758,42542,958
2010-11-17$97.21$99.008.9%2.6%9.2%67.6%9.1%0.6%-0.4%-21.1M77.6M-546.1K10.269.67747598,30543,851
2010-11-18$96.98$99.008.8%2.5%9.1%65.1%9.8%0.8%-0.3%-22.0M92.3M-585.3K5.8613.101287508,30844,344
2010-11-19$97.18$99.008.6%2.5%9.2%61.3%8.5%1.3%0.1%-21.8M85.2M-575.1K0.8012.451281038,32444,480
2010-11-22$97.70$99.008.5%2.4%9.4%59.5%6.3%0.8%0.2%-22.8M40.1M-336.0K0.4271.385602366,50743,336
2010-11-23$97.90$99.008.4%2.4%9.2%57.8%9.7%0.7%0.1%-18.4M49.6M-475.0K24.8111.94481,1916,78543,536
2010-11-24$96.85$99.009.1%2.6%9.7%71.2%9.1%0.4%-0.7%-22.0M90.1M-590.7K5.9010.231378086,81544,628
2010-11-26$97.27$99.008.9%2.6%9.6%68.0%9.0%0.8%-0.1%-22.2M77.2M-568.6K2.4712.5734846,85445,028
2010-11-29$97.48$99.009.8%2.8%9.5%85.0%9.7%0.4%-0.7%-18.5M74.4M-572.8K1.9611.411112176,86845,061
2010-11-30$97.65$99.009.2%2.6%9.5%73.8%9.1%0.2%-0.5%-21.6M66.9M-522.2K2.389.275591,3306,91845,250