IEF Options History — August 2011

In August 2011, IEF traded between $98.78 and $104.10. ATM implied volatility averaged 10.3%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 1.5% (HV 20d: 11.8%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 4.02.

Notable Days

  • 2011-08-31: Highest Volume — 43,556 contracts
  • 2011-08-08: Largest IV spike — 35.4% change
  • 2011-08-08: Highest IV Rank — 94.7%
  • 2011-08-10: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.29$98.78$104.10$98.78$103.00
Max Pain$98.48$97.00$101.00$97.00$101.00
ATM IV10.3%7.8%12.3%8.4%9.7%
Expected Move3.0%2.2%3.4%2.4%2.8%
HV 20d11.8%8.0%13.6%8.0%13.5%
HV 60d9.2%7.2%10.2%7.2%10.2%
IV Rank64.6%27.1%94.7%35.1%55.9%
IV Percentile90.4%51.2%99.6%71.8%88.9%
Term Structure-0.4%-1.5%1.0%0.1%0.1%
VWIV10.6%7.8%13.1%8.7%9.3%
Skew 25d0.4%-0.4%1.1%0.8%0.3%
Skew 10d0.7%-5.1%5.4%3.0%4.8%
Call IV 25d10.2%7.9%11.9%8.2%9.8%
Put IV 25d10.6%8.1%12.1%8.9%10.1%
Bid-Ask Spread %51.3529.0585.7785.7733.69
Gamma HHI0.190.140.320.170.15
Net GEX1.8M-8.1M7.5M-5.9M2.4M
Net DEX-88.6M-162.2M15.5M15.5M-89.1M
Net VEX-589.4K-964.4K-246.7K-964.4K-630.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.020.0320.771.060.03
Total Volume3,625.34814543,55654543,556
Total OI77,414.30470,24782,55470,24782,077

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$98.78$97.008.4%2.4%8.0%35.1%8.7%0.8%0.1%-5.9M15.5M-964.4K1.0685.7726428116,39353,854
2011-08-02$99.69$98.008.3%2.4%8.3%33.7%8.7%1.1%0.2%-1.2M-26.8M-741.1K1.3682.1514920216,31254,034
2011-08-03$99.77$98.007.8%2.2%8.3%27.1%7.8%0.2%1.0%-236.7K-36.3M-722.6K14.2679.922383,39416,34954,048
2011-08-04$101.09$99.008.2%2.4%8.9%33.3%8.2%0.0%0.9%-2.3M-53.7M-718.2K6.9377.412151,49116,41357,148
2011-08-05$99.92$98.009.1%2.8%9.8%45.9%10.1%0.2%0.0%-8.1M-1.1M-939.3K2.2765.1839890315,86258,432
2011-08-08$101.51$98.0012.3%3.4%10.8%94.7%11.7%0.1%-0.8%-3.1M-47.1M-756.3K0.1362.943,48643616,08859,009
2011-08-09$102.10$98.0011.2%3.3%10.9%78.0%11.3%0.0%-0.6%1.2M-80.7M-726.9K0.7474.8382961218,68759,085
2011-08-10$103.45$98.0012.0%3.4%11.6%91.0%11.9%0.5%-1.5%1.7M-113.3M-529.6K6.4863.206139518,38059,560
2011-08-11$101.93$98.0011.4%3.3%12.8%81.9%11.7%-0.2%-1.2%1.6M-70.9M-713.9K1.6833.4915025218,34559,862
2011-08-12$102.64$98.0010.9%3.1%12.9%73.3%11.0%0.3%-0.8%1.4M-100.2M-549.5K6.6332.871912618,44859,885
2011-08-15$102.26$98.0010.6%3.0%13.1%69.2%10.6%-0.4%-0.8%747.0K-93.7M-564.2K20.7730.771242,57518,45860,007
2011-08-16$102.73$98.0010.5%3.0%13.1%67.1%10.5%0.4%-1.0%900.8K-103.3M-553.2K0.0433.741,7026018,51962,542
2011-08-17$103.45$98.0010.1%2.9%12.9%60.8%10.2%1.1%-0.7%6.1M-147.4M-261.8K1.7231.4844877019,90062,586
2011-08-18$103.99$98.0011.0%3.2%12.5%75.7%11.0%0.3%-1.1%3.4M-156.6M-246.7K0.0829.054,00432920,19260,818
2011-08-19$104.10$98.0010.9%3.1%12.5%73.8%10.8%0.4%-1.1%6.5M-162.2M-282.7K11.6430.592832621,50761,047
2011-08-22$103.91$98.0010.9%3.1%12.4%74.4%11.5%0.6%-0.6%7.5M-148.0M-277.1K0.0751.082,22614520,26456,067
2011-08-23$103.49$98.0010.8%3.1%12.7%72.5%10.8%0.4%-0.5%7.0M-139.1M-302.6K0.8451.4013711520,17456,159
2011-08-24$102.38$98.0010.7%3.1%13.5%70.7%10.8%0.4%-0.3%6.4M-84.2M-682.6K0.4249.6629112220,24156,242
2011-08-25$103.01$98.0011.7%3.3%13.6%85.3%11.9%0.7%-1.2%5.2M-102.4M-589.1K2.0456.791,2452,54020,35956,241
2011-08-26$103.34$100.0010.5%3.0%13.2%67.2%10.5%0.4%-0.1%5.4M-110.1M-590.2K0.8739.281,6991,47721,15057,918
2011-08-29$102.66$101.0010.0%2.9%13.5%59.7%13.1%1.0%0.0%2.5M-86.6M-607.2K12.0647.033574,30420,88759,321
2011-08-30$103.37$101.0010.0%2.9%13.4%60.3%10.6%0.5%-0.4%3.3M-101.0M-606.3K0.4738.6661428820,80260,857
2011-08-31$103.00$101.009.7%2.8%13.5%55.9%9.3%0.3%0.1%2.4M-89.1M-630.7K0.0333.6942,3021,25421,06961,008