IEF Options History — September 2011

In September 2011, IEF traded between $103.59 and $106.41. ATM implied volatility averaged 10.3%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.5%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2011-09-22: Highest Volume — 8,279 contracts
  • 2011-09-06: Largest IV spike — 15.0% change
  • 2011-09-27: Highest IV Rank — 82.0%
  • 2011-09-27: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.71$103.59$106.41$103.59$105.07
Max Pain$104.19$101.00$105.00$102.00$105.00
ATM IV10.3%9.4%11.5%9.6%10.3%
Expected Move2.9%2.7%3.3%2.7%2.9%
HV 20d9.5%8.3%12.9%12.9%8.7%
HV 60d10.3%10.1%10.4%10.3%10.3%
IV Rank64.1%51.1%82.0%53.2%64.0%
IV Percentile91.0%82.9%98.4%87.7%89.3%
Term Structure-0.2%-0.7%0.5%-0.0%0.1%
VWIV10.3%7.6%11.8%9.3%7.6%
Skew 25d0.8%-0.4%2.1%0.0%0.7%
Skew 10d2.6%0.1%5.4%0.8%1.3%
Call IV 25d10.0%9.2%11.2%9.7%10.2%
Put IV 25d10.8%9.4%12.1%9.7%10.8%
Bid-Ask Spread %62.2628.7373.9528.7364.79
Gamma HHI0.190.130.310.150.18
Net GEX832.4K-7.6M7.2M4.1M-7.6M
Net DEX-53.0M-102.3M20.8M-71.2M-19.8M
Net VEX-358.7K-591.4K-266.9K-353.8K-308.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0812.490.440.08
Total Volume1,400.048408,2792,4901,216
Total OI69,674.42954,01080,78578,57762,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$103.59$102.009.6%2.7%12.9%53.2%9.3%0.0%-0.0%4.1M-71.2M-353.8K0.4428.731,73275816,32862,249
2011-09-02$104.54$101.009.6%2.7%12.3%53.8%9.4%-0.4%-0.0%6.3M-100.8M-312.0K1.0231.0568169316,51861,456
2011-09-06$104.68$102.0011.0%2.9%11.2%75.7%10.5%0.1%0.0%6.1M-102.3M-327.2K0.7459.23231716,87861,540
2011-09-07$104.12$103.0010.3%3.0%11.3%64.7%10.3%1.1%-0.2%6.8M-94.4M-322.0K0.5163.4524012216,86861,545
2011-09-08$104.63$102.0010.3%2.9%10.5%64.0%10.4%1.1%-0.3%4.8M-75.6M-545.5K2.2667.355412215,97661,617
2011-09-09$105.14$103.0010.4%2.8%8.9%66.3%9.7%0.5%0.1%4.2M-90.8M-521.2K9.6867.562402,32416,02461,725
2011-09-12$104.82$105.009.8%2.9%8.8%57.3%10.4%0.7%0.1%4.0M-95.6M-308.1K0.0867.1171616,13863,989
2011-09-13$104.51$105.009.8%2.9%8.7%57.8%10.3%0.7%-0.2%2.6M-68.2M-560.1K1.2672.1817121616,14663,995
2011-09-14$104.57$105.009.4%2.9%8.6%51.1%10.3%1.2%-0.2%3.7M-92.7M-286.4K0.1468.5235516,15964,125
2011-09-15$103.79$105.0010.2%2.9%8.8%62.8%10.0%0.6%-0.5%4.2M-79.5M-280.0K0.3567.9486530416,13764,125
2011-09-16$103.99$105.009.6%2.7%8.6%53.2%10.3%0.8%0.5%7.2M-85.5M-267.8K0.3373.952,42180516,42464,361
2011-09-19$104.84$105.0010.1%2.9%9.1%61.3%10.0%0.8%-0.5%-44.7K-25.3M-278.3K0.4661.821,2535778,55945,451
2011-09-20$104.98$105.0010.0%2.9%9.1%59.9%10.6%1.0%-0.4%558.8K-26.7M-314.1K0.4469.92180799,58645,981
2011-09-21$105.43$105.009.8%2.8%9.0%56.3%9.9%0.6%-0.1%756.9K-35.9M-276.2K0.7058.402541779,61646,031
2011-09-22$106.41$105.0010.5%3.0%8.3%68.4%11.6%2.1%-0.4%1.1M-46.7M-266.9K6.8858.981,0507,2299,74946,151
2011-09-23$105.53$105.0010.8%3.1%8.9%71.6%10.9%0.9%-0.4%-5.6M-16.6M-353.3K3.5760.6725290010,02252,150
2011-09-26$105.09$105.0010.8%3.1%9.1%71.7%10.9%0.9%-0.4%-5.8M-12.4M-330.5K1.1270.232642969,65851,138
2011-09-27$104.39$105.0011.5%3.3%9.1%82.0%11.8%0.8%-0.7%-7.2M20.8M-591.4K12.4963.871742,1749,86050,909
2011-09-28$104.41$105.0011.3%3.2%8.8%79.4%10.9%1.1%-0.3%-6.4M4.2M-363.3K0.7467.755484049,91452,401
2011-09-29$104.41$105.0010.8%3.1%8.7%71.5%10.7%0.9%0.1%-6.4M1.2M-366.0K1.3863.9419727210,06452,669
2011-09-30$105.07$105.0010.3%2.9%8.7%64.0%7.6%0.7%0.1%-7.6M-19.8M-308.9K0.0864.791,1269010,23252,699