IEF Options History — May 2011

In May 2011, IEF traded between $94.20 and $96.59. ATM implied volatility averaged 6.7%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.7% (HV 20d: 5.1%). Max pain ranged from $93.00 to $94.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.63.

Notable Days

  • 2011-05-31: Highest Volume — 21,300 contracts
  • 2011-05-12: Largest IV spike — 17.9% change
  • 2011-05-12: Highest IV Rank — 25.2%
  • 2011-05-12: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.46$94.20$96.59$94.20$96.59
Max Pain$93.19$93.00$94.00$94.00$93.00
ATM IV6.7%6.0%7.6%7.1%6.0%
Expected Move2.0%1.7%2.2%2.0%1.7%
HV 20d5.1%4.5%5.8%5.8%4.5%
HV 60d6.1%5.6%6.5%6.5%5.6%
IV Rank12.7%2.7%25.2%18.0%2.7%
IV Percentile17.2%1.6%44.8%25.0%1.6%
Term Structure0.8%0.0%1.5%0.2%0.5%
VWIV7.1%5.6%8.8%7.0%5.6%
Skew 25d0.7%0.3%1.4%0.5%0.8%
Skew 10d1.7%-2.3%3.7%1.3%0.3%
Call IV 25d6.5%5.2%7.0%6.8%5.9%
Put IV 25d7.2%6.4%8.1%7.2%6.7%
Bid-Ask Spread %21.1411.6664.7418.7211.66
Gamma HHI0.300.240.360.240.25
Net GEX-3.5M-11.0M472.4K-11.0M472.4K
Net DEX10.8M-19.1M62.9M62.9M7.8M
Net VEX-1.0M-1.3M-905.3K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0431.000.710.12
Total Volume1,517.1439821,3001,16721,300
Total OI85,164.52482,95788,41584,18983,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$94.20$94.007.1%2.0%5.8%18.0%7.0%0.5%0.2%-11.0M62.9M-1.1M0.7118.7268448321,33562,854
2011-05-03$94.45$94.007.2%2.1%5.8%19.5%6.8%0.5%0.0%-9.7M48.4M-1.1M0.7316.3223417021,78162,906
2011-05-04$94.69$94.006.9%2.0%5.4%15.4%7.4%0.3%0.1%-7.9M41.2M-1.1M1.1916.8110812821,95563,050
2011-05-05$95.16$94.006.9%2.0%5.2%14.8%6.7%0.7%0.4%-5.0M22.6M-1.1M1.6513.8616026421,93063,109
2011-05-06$95.21$93.007.1%2.1%5.2%17.8%7.6%0.9%0.8%-5.0M16.4M-1.0M0.1725.974077121,94463,226
2011-05-09$95.35$93.007.4%2.1%4.9%22.3%7.9%1.1%0.8%-3.6M8.5M-1.1M1.6526.72376122,18463,257
2011-05-10$94.89$93.006.2%2.1%5.4%5.3%7.4%0.8%1.1%-8.2M44.1M-1.3M0.5523.431337322,19363,296
2011-05-11$95.23$93.006.4%2.1%5.3%8.1%7.8%0.7%1.1%-2.2M8.9M-976.6K1.7022.4118631622,24163,313
2011-05-12$95.02$93.007.6%2.2%5.3%25.2%7.3%0.9%0.6%-4.0M22.1M-1.2M7.3418.7413498422,35463,540
2011-05-13$95.39$93.007.1%2.0%5.1%18.1%7.9%0.8%1.2%-1.2M-911.1K-942.0K0.0419.722,0499122,43564,447
2011-05-16$95.62$93.006.9%2.0%4.7%15.8%7.6%0.8%1.4%-660.1K-11.6M-1.0M0.5518.511759623,93664,479
2011-05-17$95.90$93.007.2%2.1%4.7%19.2%7.2%0.6%1.0%-2.4M-15.5M-965.0K0.2026.122975822,04064,560
2011-05-18$95.35$93.007.0%2.0%5.3%16.3%6.5%0.7%1.1%-2.5M1.2M-1.0M0.5816.8532018722,20464,586
2011-05-19$95.45$93.006.6%1.9%5.0%11.0%6.8%0.5%1.5%-1.4M-3.0M-941.7K0.7018.10735122,37064,381
2011-05-20$95.68$93.006.4%1.8%5.0%7.8%6.3%0.7%1.5%-2.0M-12.1M-955.4K0.4419.3263227822,37564,398
2011-05-23$95.81$93.006.2%1.8%4.9%4.9%6.7%0.9%0.5%-2.9M-4.9M-945.9K2.0716.2218939220,13762,820
2011-05-24$95.91$93.006.3%1.8%4.8%6.2%6.5%0.6%0.8%-1.6M-1.7M-911.8K0.5316.0120911020,09562,986
2011-05-25$95.92$93.006.2%1.8%4.6%4.5%6.6%0.7%0.8%-1.6M-1.8M-946.9K31.0016.89824820,16863,006
2011-05-26$96.45$93.006.3%1.8%4.8%6.3%6.2%1.4%0.4%454.5K13.6M-1.2M0.4116.861706920,17063,198
2011-05-27$96.44$93.006.3%1.8%4.8%6.5%8.8%0.5%0.7%-912.6K-19.1M-905.3K2.9564.745716820,31763,250
2011-05-31$96.59$93.006.0%1.7%4.5%2.7%5.6%0.8%0.5%472.4K7.8M-1.2M0.1211.6619,0862,21420,32663,303