IEF Options History — November 2011

In November 2011, IEF traded between $103.69 and $105.37. ATM implied volatility averaged 10.6%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.7% (HV 20d: 9.9%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.01.

Notable Days

  • 2011-11-30: Highest Volume — 5,355 contracts
  • 2011-11-16: Largest IV drop — 9.5% change
  • 2011-11-01: Highest IV Rank — 87.1%
  • 2011-11-01: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.40$103.69$105.37$104.54$103.90
Max Pain$101.52$101.00$103.00$103.00$102.00
ATM IV10.6%9.7%11.8%11.8%10.5%
Expected Move3.1%2.8%3.4%3.4%3.0%
HV 20d9.9%6.9%11.0%11.0%6.9%
HV 60d9.4%8.8%10.3%10.3%8.9%
IV Rank69.8%55.3%87.1%87.1%67.6%
IV Percentile85.3%67.5%98.8%98.8%81.3%
Term Structure0.0%-0.4%0.8%-0.3%-0.3%
VWIV10.7%9.5%11.7%11.7%10.6%
Skew 25d0.4%-0.1%1.2%0.6%-0.1%
Skew 10d1.8%-0.4%5.3%0.4%4.1%
Call IV 25d10.6%9.7%11.8%11.8%10.5%
Put IV 25d11.0%10.3%12.4%12.4%10.4%
Bid-Ask Spread %63.4537.9479.0058.5444.32
Gamma HHI0.170.130.220.130.19
Net GEX3.5M831.1K7.6M2.2M3.3M
Net DEX-26.7M-43.8M-2.4M-31.8M-28.7M
Net VEX-336.3K-541.5K-226.8K-295.5K-235.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.010.0234.000.620.11
Total Volume535.048165,3556425,355
Total OI57,43856,43958,38456,43958,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$104.54$103.0011.8%3.4%11.0%87.1%11.7%0.6%-0.3%2.2M-31.8M-295.5K0.6258.543972459,92946,510
2011-11-02$104.29$103.0010.9%3.1%10.9%74.2%11.0%0.6%0.3%2.7M-30.9M-291.8K0.4269.01984110,15746,670
2011-11-03$103.80$103.0011.2%3.2%10.7%78.1%11.2%0.4%-0.0%831.1K-2.4M-541.5K7.2844.352518210,20546,664
2011-11-04$104.11$101.0010.6%3.1%10.6%69.8%11.1%0.4%-0.1%3.0M-28.0M-290.9K0.3173.56361110,22346,771
2011-11-07$104.23$101.0010.8%3.2%9.8%72.6%10.9%0.4%-0.4%3.5M-32.1M-308.1K0.3177.63511610,24446,782
2011-11-08$103.76$101.0011.0%3.1%10.0%75.1%11.1%0.1%-0.3%1.9M-3.8M-516.0K34.0076.86827210,28546,794
2011-11-09$104.68$101.0011.3%3.2%10.3%79.2%11.4%0.9%-0.3%4.3M-37.6M-267.6K5.7079.002313110,28747,006
2011-11-10$104.17$101.0011.0%3.2%10.4%75.6%11.1%0.5%-0.3%4.0M-29.2M-282.4K0.3369.83461510,29647,087
2011-11-11$103.69$101.0011.0%3.2%10.4%75.3%11.3%0.4%-0.2%3.8M-22.7M-277.0K0.1470.3314210,29347,093
2011-11-14$104.34$101.0011.3%3.2%10.4%79.0%11.0%0.4%-0.2%3.7M-15.3M-472.1K1.0269.3812112410,28847,095
2011-11-15$104.20$101.0011.3%3.2%10.4%79.1%10.8%0.8%-0.2%5.9M-32.0M-264.7K29.5273.992779710,38847,197
2011-11-16$104.58$101.0010.2%2.9%10.4%62.7%10.7%0.1%0.4%7.2M-38.5M-226.8K0.0775.9945310,39047,938
2011-11-17$104.79$101.0010.5%3.0%10.4%67.4%10.9%0.7%0.3%7.3M-41.5M-241.5K0.0275.45190410,41247,937
2011-11-18$104.40$101.0010.2%2.9%10.5%63.1%10.2%0.1%0.3%7.6M-35.0M-238.0K0.0276.191,2892810,44647,938
2011-11-21$104.69$101.009.7%2.8%10.5%55.3%9.5%0.4%0.8%2.5M-33.4M-249.3K0.2853.65128369,43847,540
2011-11-22$105.01$101.009.8%2.8%10.1%56.3%9.6%0.7%0.4%1.7M-21.7M-449.1K0.7051.272501749,54047,553
2011-11-23$105.37$102.009.7%2.8%9.7%55.4%10.4%0.4%0.5%3.3M-43.8M-234.4K0.2650.39338899,77047,707
2011-11-25$104.70$102.0010.0%2.9%8.8%59.9%10.1%-0.1%0.6%1.6M-17.5M-476.8K2.2851.9239899,88447,770
2011-11-28$104.71$102.0010.7%3.1%8.7%70.5%10.3%1.2%-0.2%1.6M-16.6M-458.9K0.6752.862211499,90747,827
2011-11-29$104.51$102.0010.2%2.9%7.5%63.2%10.4%0.3%0.2%2.4M-17.6M-443.9K0.0937.941171010,10647,827
2011-11-30$103.90$102.0010.5%3.0%6.9%67.6%10.6%-0.1%-0.3%3.3M-28.7M-235.0K0.1144.324,83352210,18747,817