IEF Options History — March 2011

In March 2011, IEF traded between $92.14 and $94.81. ATM implied volatility averaged 8.3%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.1% (HV 20d: 7.3%). Max pain ranged from $94.00 to $98.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 6.68.

Notable Days

  • 2011-03-31: Highest Volume — 8,446 contracts
  • 2011-03-04: Largest IV drop — 14.9% change
  • 2011-03-16: Highest IV Rank — 60.2%
  • 2011-03-16: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.40$92.14$94.81$93.26$93.01
Max Pain$96.09$94.00$98.00$95.00$94.00
ATM IV8.3%7.3%9.9%8.2%7.6%
Expected Move2.4%2.2%2.8%2.4%2.2%
HV 20d7.3%6.8%7.9%7.1%6.9%
HV 60d8.2%7.4%9.2%9.1%7.4%
IV Rank37.9%23.5%60.2%37.0%26.9%
IV Percentile67.7%42.9%96.0%69.8%44.4%
Term Structure0.4%-0.4%0.9%0.1%0.8%
VWIV8.5%7.4%10.0%8.4%7.6%
Skew 25d0.3%-0.4%1.3%0.5%-0.3%
Skew 10d0.1%-1.9%3.9%2.0%3.2%
Call IV 25d8.4%7.6%10.2%8.3%7.7%
Put IV 25d8.7%7.5%10.1%8.7%7.5%
Bid-Ask Spread %21.099.7174.369.7114.59
Gamma HHI0.250.190.390.210.20
Net GEX-28.7M-38.3M-15.2M-29.3M-19.6M
Net DEX189.0M110.6M263.7M169.6M191.0M
Net VEX-1.1M-1.2M-822.4K-822.4K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.680.2749.6226.819.95
Total Volume1,595.522938,4468628,446
Total OI72,392.30457,76585,15475,05565,694

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$93.26$95.008.2%2.4%7.1%37.0%8.4%0.5%0.1%-29.3M169.6M-822.4K26.819.71318318,89666,159
2011-03-02$92.77$95.008.7%2.5%6.8%43.3%8.7%0.9%-0.1%-33.0M227.0M-1.2M1.6110.453064948,92766,910
2011-03-03$92.14$95.008.6%2.5%7.2%41.9%8.6%1.2%0.1%-36.7M263.7M-1.2M6.5510.141026689,11767,286
2011-03-04$92.80$98.007.3%2.3%7.4%23.5%8.2%0.1%0.7%-36.6M237.2M-1.2M0.5924.584772829,19567,728
2011-03-07$92.57$97.007.8%2.4%7.1%30.1%8.5%0.5%0.4%-34.5M243.9M-1.2M1.8123.251632959,46567,948
2011-03-08$92.35$97.008.0%2.4%7.1%34.1%8.5%0.5%0.4%-32.0M250.6M-1.1M5.0517.63402029,38768,155
2011-03-09$92.89$97.007.7%2.3%6.9%28.6%8.0%0.5%0.6%-33.9M231.0M-1.1M26.2730.63401,0519,41368,272
2011-03-10$93.68$97.008.1%2.3%7.2%34.9%8.3%1.3%0.5%-33.2M200.4M-1.1M1.7330.007711,3369,44169,097
2011-03-11$93.46$97.008.3%2.4%7.1%37.8%8.5%1.1%0.6%-34.1M209.4M-1.2M49.6229.06391,9359,69670,179
2011-03-14$93.67$97.008.5%2.4%7.0%40.2%8.7%1.1%0.7%-37.8M196.6M-1.2M3.7928.001776709,71371,603
2011-03-15$94.01$97.009.0%2.6%7.1%47.4%8.9%0.0%0.3%-38.3M180.1M-1.2M2.0115.511,0472,1099,85172,099
2011-03-16$94.81$97.009.9%2.8%7.5%60.2%10.0%-0.1%-0.0%-25.2M110.6M-829.6K2.3518.316881,6159,62473,709
2011-03-17$94.52$96.009.8%2.8%7.6%59.9%9.8%-0.4%-0.4%-36.5M155.8M-1.2M0.9417.62888310,13374,922
2011-03-18$94.46$96.008.9%2.6%7.6%46.6%9.1%-0.2%0.6%-37.7M126.9M-830.9K1.1419.051,1571,31910,19474,960
2011-03-21$93.97$96.008.8%2.5%7.9%45.2%8.9%-0.2%0.3%-19.8M155.7M-1.2M0.2717.675611526,70951,056
2011-03-22$94.02$96.008.2%2.4%7.2%36.2%8.7%-0.3%0.7%-15.2M124.3M-856.6K1.0015.729879897,22551,153
2011-03-23$93.90$96.008.2%2.4%7.2%35.7%8.8%-0.2%0.8%-19.9M163.2M-1.2M0.7516.9553407,89052,029
2011-03-24$93.42$96.008.1%2.3%7.4%33.5%8.5%-0.2%0.1%-21.1M176.6M-1.2M9.3874.362292,1477,94352,067
2011-03-25$93.17$96.008.2%2.3%7.4%35.4%8.3%0.3%0.4%-22.2M189.7M-1.2M0.4714.166603108,02553,593
2011-03-28$93.20$95.008.4%2.4%7.4%38.5%8.5%-0.1%0.2%-21.9M189.7M-1.2M0.4813.616252988,60553,810
2011-03-29$92.93$95.007.6%2.2%7.4%27.2%7.7%0.4%0.9%-21.6M201.7M-1.2M0.4116.616332579,20554,097
2011-03-30$93.25$95.007.6%2.2%7.3%27.3%7.4%-0.1%0.6%-18.9M152.4M-889.1K0.5417.481,4898059,67354,170
2011-03-31$93.01$94.007.6%2.2%6.9%26.9%7.6%-0.3%0.8%-19.6M191.0M-1.2M9.9514.597717,67510,93354,761