IEF Options History — October 2011

In October 2011, IEF traded between $101.53 and $105.83. ATM implied volatility averaged 10.6%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.6% (HV 20d: 9.0%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2011-10-20: Highest Volume — 2,555 contracts
  • 2011-10-10: Largest IV spike — 10.4% change
  • 2011-10-04: Highest IV Rank — 81.3%
  • 2011-10-10: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.22$101.53$105.83$105.83$103.51
Max Pain$104.10$103.00$106.00$105.00$103.00
ATM IV10.6%9.7%11.4%10.7%10.8%
Expected Move3.0%2.8%3.3%3.1%3.1%
HV 20d9.0%7.8%10.4%8.5%10.4%
HV 60d10.5%10.2%10.8%10.2%10.5%
IV Rank68.7%54.9%81.3%70.2%71.4%
IV Percentile88.4%75.0%97.6%92.1%89.3%
Term Structure0.1%-0.3%0.8%-0.0%0.0%
VWIV10.6%9.8%11.6%9.8%10.4%
Skew 25d0.9%0.1%1.7%0.5%0.8%
Skew 10d1.9%-0.8%4.5%1.7%2.9%
Call IV 25d10.4%9.6%11.3%10.7%10.4%
Put IV 25d11.3%10.3%12.2%11.1%11.2%
Bid-Ask Spread %62.4353.2568.7053.6362.34
Gamma HHI0.220.130.510.130.17
Net GEX-9.6M-20.7M1.2M-5.7M586.3K
Net DEX37.2M-23.4M80.4M-9.2M-274.5K
Net VEX-546.2K-653.7K-290.7K-589.8K-505.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.0316.870.860.07
Total Volume524.9521182,5552741,782
Total OI61,408.95255,06364,32662,93256,438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$105.83$105.0010.7%3.1%8.5%70.2%9.8%0.5%-0.0%-5.7M-9.2M-589.8K0.8653.6314712710,24652,686
2011-10-04$105.29$105.0011.4%3.3%8.7%81.3%11.6%0.1%-0.2%-5.0M-23.4M-336.0K0.2155.094288810,22752,646
2011-10-05$104.85$105.0010.7%3.1%8.6%71.3%10.9%0.6%-0.1%-6.7M-10.6M-376.4K0.9153.64746710,50352,686
2011-10-06$104.12$105.0010.9%3.1%8.8%73.7%11.0%0.2%-0.1%-8.3M5.7M-382.4K0.0353.25171510,49852,688
2011-10-07$103.58$106.0010.3%3.1%8.8%64.9%11.1%1.3%-0.0%-11.9M44.9M-651.7K1.0759.2734837210,54552,688
2011-10-10$102.49$105.0011.4%3.3%9.4%81.2%11.5%0.9%0.0%-12.8M76.5M-653.7K2.9361.678625210,62652,784
2011-10-11$102.83$105.0010.8%3.2%9.5%72.2%11.1%1.3%-0.3%-13.3M66.7M-640.6K1.2166.94759110,63752,947
2011-10-12$102.48$105.0010.9%3.1%9.6%74.3%10.7%1.7%0.1%-13.5M77.5M-641.7K0.6662.7816610910,64552,985
2011-10-13$102.89$104.0010.4%3.0%9.4%66.5%10.5%1.6%0.4%-14.2M67.8M-630.5K0.2368.6849011410,70153,034
2011-10-14$102.38$104.0010.8%3.1%9.5%72.0%10.5%1.3%0.2%-13.5M80.4M-636.7K0.0462.45171710,99253,089
2011-10-17$103.05$104.0010.8%3.1%9.3%71.8%10.8%1.4%-0.0%-16.0M62.6M-614.1K8.3264.432520811,15753,092
2011-10-18$102.94$104.0010.8%3.1%9.3%71.5%10.5%0.8%0.1%-16.7M65.5M-600.6K0.1065.761071111,16953,157
2011-10-19$103.10$104.0010.7%3.1%9.1%70.0%10.4%1.1%0.3%-18.7M61.3M-588.7K6.3968.382314711,14153,157
2011-10-20$102.89$104.0010.7%3.1%8.2%70.3%10.6%0.8%-0.1%-20.7M64.5M-558.5K16.8767.971432,41211,13353,094
2011-10-21$102.70$103.0010.2%2.9%7.9%62.4%10.2%0.8%0.5%-18.6M69.0M-557.9K0.6967.6732222311,25652,180
2011-10-24$102.65$103.0010.2%2.9%7.8%63.0%9.8%1.3%0.2%-2.2M22.4M-562.2K0.1568.70376588,85146,212
2011-10-25$103.53$103.009.7%2.8%8.2%54.9%9.8%0.9%0.5%1.2M-16.6M-290.7K0.3958.706532559,15846,235
2011-10-26$102.77$103.0010.0%2.9%8.6%59.2%10.3%0.1%0.8%-441.4K13.5M-548.2K0.2466.90253609,77546,286
2011-10-27$101.53$103.0010.2%2.9%9.5%62.4%10.6%0.6%0.0%-2.5M34.8M-545.4K0.8356.711431189,79446,306
2011-10-28$102.14$103.009.9%2.8%9.4%58.5%10.3%0.4%0.6%-2.0M28.0M-558.6K0.7466.021821359,76846,376
2011-10-31$103.51$103.0010.8%3.1%10.4%71.4%10.4%0.8%0.0%586.3K-274.5K-505.9K0.0762.341,6691139,94846,490