IEF Options History — December 2010

In December 2010, IEF traded between $92.42 and $96.50. ATM implied volatility averaged 9.4%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 2.1% (HV 20d: 11.5%). Max pain ranged from $95.00 to $99.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.45.

Notable Days

  • 2010-12-20: Highest Volume — 3,675 contracts
  • 2010-12-15: Largest IV drop — 21.6% change
  • 2010-12-08: Highest IV Rank — 100.0%
  • 2010-12-02: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.03$92.42$96.50$96.13$93.82
Max Pain$97.00$95.00$99.00$99.00$96.00
ATM IV9.4%7.5%12.6%10.1%9.0%
Expected Move2.6%2.2%2.9%2.9%2.6%
HV 20d11.5%10.1%12.7%10.8%11.9%
HV 60d9.1%8.1%9.8%8.3%9.8%
IV Rank64.3%27.0%100.0%91.9%47.9%
IV Percentile88.9%61.9%100.0%99.2%87.7%
Term Structure0.1%-0.5%0.8%-0.5%-0.1%
VWIV8.9%7.2%9.8%9.5%9.2%
Skew 25d0.9%0.2%1.3%0.7%0.9%
Skew 10d3.1%-0.5%5.9%4.8%3.3%
Call IV 25d8.7%7.4%10.3%10.1%8.8%
Put IV 25d9.6%8.0%10.8%10.8%9.7%
Bid-Ask Spread %12.967.0124.989.5211.54
Gamma HHI0.220.200.250.200.22
Net GEX-26.9M-30.3M-22.8M-22.8M-29.8M
Net DEX159.8M100.4M215.3M113.4M154.3M
Net VEX-634.1K-666.2K-588.0K-648.6K-629.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.1820.361.890.18
Total Volume1,152.1821573,6751,333398
Total OI54,829.86451,11057,80353,33357,698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$96.13$99.0010.1%2.9%10.8%91.9%9.5%0.7%-0.5%-22.8M113.4M-648.6K1.899.524628716,97246,361
2010-12-02$95.89$99.0010.1%2.9%10.7%92.7%9.8%0.2%-0.4%-23.1M118.8M-650.6K2.789.90501397,02946,378
2010-12-03$95.90$99.009.6%2.8%10.1%82.7%9.5%0.9%-0.4%-24.4M118.8M-640.4K0.4711.012231047,06646,383
2010-12-06$96.50$99.0010.1%2.7%10.4%92.5%8.8%1.3%-0.2%-25.1M100.4M-588.0K0.3721.412921087,16446,400
2010-12-07$94.90$98.009.7%2.7%11.7%84.4%9.7%0.9%0.3%-25.1M147.9M-654.8K1.1318.661,3951,5787,45146,495
2010-12-08$94.09$98.0010.8%2.8%11.7%100.0%9.6%1.2%-0.3%-25.7M167.9M-666.2K1.9117.071,0662,0318,06246,426
2010-12-09$94.29$98.009.5%2.7%11.6%74.6%9.1%1.2%-0.2%-25.3M161.3M-651.0K0.5617.903271848,55746,530
2010-12-10$93.49$98.0010.0%2.7%11.8%85.4%9.2%1.1%-0.2%-25.9M182.0M-652.3K1.6518.511973258,74946,502
2010-12-13$93.79$98.0011.3%2.7%11.8%100.0%8.9%1.1%0.1%-26.6M172.7M-635.7K1.3816.063725138,73246,510
2010-12-14$92.80$98.0012.6%2.6%11.5%100.0%9.2%0.3%0.8%-25.8M200.6M-616.8K0.3724.984921848,88846,841
2010-12-15$92.42$98.009.9%2.8%11.0%60.9%9.7%1.2%-0.1%-24.2M215.3M-604.6K3.0812.684671,4379,09246,853
2010-12-16$92.97$97.009.5%2.7%11.4%54.7%9.6%1.0%0.2%-26.5M201.8M-627.7K4.7911.292421,1599,31647,594
2010-12-17$93.77$97.008.6%2.5%12.0%41.7%8.4%1.1%0.4%-29.7M174.1M-630.8K0.337.011,1973929,47548,328
2010-12-20$93.76$96.008.7%2.5%12.0%43.2%8.3%0.9%0.5%-29.1M150.8M-618.5K4.058.897282,9477,27543,835
2010-12-21$93.96$96.007.6%2.2%11.8%28.1%7.2%0.8%0.4%-30.3M147.3M-612.7K0.7510.054753547,81046,195
2010-12-22$93.70$95.007.5%2.2%11.7%27.0%7.4%0.5%0.2%-29.4M154.2M-648.3K20.369.36285708,17246,300
2010-12-23$93.37$95.008.2%2.4%11.2%36.6%8.2%0.9%0.1%-27.9M168.4M-635.2K3.997.15712838,17746,344
2010-12-27$93.73$95.008.1%2.3%11.2%34.7%8.0%0.5%0.5%-29.4M153.5M-642.2K0.8710.4784738,21946,541
2010-12-28$92.50$95.009.1%2.6%11.8%49.4%8.5%1.1%-0.2%-27.2M192.2M-626.2K1.229.373904768,18146,576
2010-12-29$93.54$95.008.5%2.4%12.7%41.0%8.9%0.9%0.3%-29.2M156.2M-637.9K0.9810.211731708,43846,884
2010-12-30$93.35$95.008.9%2.5%11.7%46.2%8.8%1.0%0.5%-29.5M163.9M-632.0K0.8811.991,2321,0898,53746,921
2010-12-31$93.82$96.009.0%2.6%11.9%47.9%9.2%0.9%-0.1%-29.8M154.3M-629.4K0.1811.54336629,72047,978