IEF Options History — June 2011

In June 2011, IEF traded between $95.86 and $98.05. ATM implied volatility averaged 7.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.4% (HV 20d: 6.2%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-06-28: Highest Volume — 10,486 contracts
  • 2011-06-03: Largest IV drop — 8.5% change
  • 2011-06-20: Highest IV Rank — 38.2%
  • 2011-06-20: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.05$95.86$98.05$97.14$95.86
Max Pain$96.05$95.00$97.00$95.00$96.00
ATM IV7.6%6.3%8.5%6.8%7.9%
Expected Move2.2%2.0%2.4%2.0%2.3%
HV 20d6.2%4.8%7.8%4.8%7.6%
HV 60d5.7%5.3%6.3%5.6%6.2%
IV Rank25.7%6.8%38.2%14.3%29.9%
IV Percentile52.6%8.3%82.1%21.8%61.9%
Term Structure0.5%0.2%0.9%0.4%0.7%
VWIV7.8%6.8%8.6%7.1%7.8%
Skew 25d0.7%0.4%1.2%0.7%0.6%
Skew 10d1.7%-1.6%4.8%4.8%3.2%
Call IV 25d7.5%6.4%8.4%6.4%7.8%
Put IV 25d8.2%7.1%9.0%7.1%8.4%
Bid-Ask Spread %19.2812.6025.2415.3112.60
Gamma HHI0.260.220.310.290.28
Net GEX590.1K-7.1M3.3M1.2M-7.1M
Net DEX959.4K-27.1M74.2M-17.5M74.2M
Net VEX-991.4K-1.0M-882.1K-929.2K-916.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.108.382.660.34
Total Volume1,260.59122610,4862,2201,075
Total OI79,475.77362,32592,57885,35262,325

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$97.14$95.006.8%2.0%4.8%14.3%7.1%0.7%0.4%1.2M-17.5M-929.2K2.6615.316061,61419,96165,391
2011-06-02$96.56$95.006.9%2.0%5.4%15.5%6.8%0.5%0.4%-594.0K-532.5K-996.0K0.7017.3183658420,43166,750
2011-06-03$96.94$97.006.3%2.1%5.3%6.8%7.5%0.6%0.6%696.7K-5.4M-998.2K1.2525.2425632020,82167,250
2011-06-06$96.88$97.006.7%2.1%5.4%12.4%8.0%0.7%0.6%671.2K736.9K-1.0M5.1924.5711358720,93967,485
2011-06-07$97.06$97.006.5%2.1%5.4%9.0%7.9%0.5%0.7%528.5K-12.1M-910.3K2.4118.1819446821,02168,016
2011-06-08$97.27$96.006.8%2.1%4.9%14.1%7.5%1.0%0.5%614.7K-16.9M-913.6K0.2423.413328121,12468,430
2011-06-09$96.88$96.007.4%2.1%5.2%22.4%7.4%0.7%0.7%387.2K1.4M-1.0M1.2115.7628033921,27468,486
2011-06-10$97.19$96.007.5%2.1%5.1%23.6%7.5%0.7%0.6%1.2M-16.1M-916.5K0.5224.0680441621,49268,685
2011-06-13$96.98$96.007.5%2.1%5.1%23.5%7.3%0.8%0.5%2.0M-844.5K-1.0M0.6115.2531118922,19069,034
2011-06-14$96.21$96.007.8%2.2%6.0%28.7%7.5%0.7%0.2%-506.7K29.2M-1.0M0.5219.7841221422,39669,183
2011-06-15$97.25$96.008.4%2.4%7.0%37.2%8.5%0.6%0.8%2.4M-2.7M-1.0M0.6521.851,07369822,39469,250
2011-06-16$97.52$96.008.3%2.4%6.6%35.3%8.5%0.6%0.9%3.3M-16.3M-1.0M0.7317.4723417222,88269,579
2011-06-17$97.45$96.008.2%2.4%6.6%34.4%8.2%0.5%0.5%3.3M-14.7M-1.0M0.2023.2554610822,88969,689
2011-06-20$97.30$96.008.5%2.4%6.7%38.2%8.3%0.8%0.4%943.1K-2.1M-1.0M0.5723.5144825421,74442,045
2011-06-21$97.17$96.008.3%2.4%6.7%36.6%7.9%0.9%0.2%1.3M1.2M-1.0M0.4820.521537321,99742,279
2011-06-22$97.13$96.007.6%2.2%6.7%26.3%7.4%0.6%0.5%1.4M540.8K-1.0M8.3820.951621,35722,11842,271
2011-06-23$97.64$96.007.9%2.3%6.9%29.6%8.6%0.8%0.3%1.4M-13.7M-1.0M0.5614.5637320922,23543,508
2011-06-24$98.05$96.007.9%2.3%6.8%29.9%8.3%0.9%0.6%2.3M-27.1M-988.7K1.3317.4315620722,36443,622
2011-06-27$97.67$96.008.0%2.3%7.0%31.7%8.0%0.8%0.7%2.0M-15.4M-1.0M0.4517.1230613722,41143,808
2011-06-28$96.77$96.008.2%2.3%7.8%33.7%8.6%0.4%0.8%-185.8K17.0M-1.0M0.1020.989,54594122,43543,881
2011-06-29$96.19$96.008.0%2.3%7.8%31.5%7.8%1.2%0.6%-4.3M58.2M-882.1K1.3115.0923831217,85544,527
2011-06-30$95.86$96.007.9%2.3%7.6%29.9%7.8%0.6%0.7%-7.1M74.2M-916.2K0.3412.6080327217,68444,641