IEF Options History — December 2011

In December 2011, IEF traded between $103.67 and $106.14. ATM implied volatility averaged 8.5%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.7% (HV 20d: 6.8%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-12-23: Highest Volume — 3,316 contracts
  • 2011-12-13: Largest IV drop — 14.3% change
  • 2011-12-12: Highest IV Rank — 62.6%
  • 2011-12-01: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.79$103.67$106.14$103.67$105.57
Max Pain$102.62$102.00$104.00$102.00$104.00
ATM IV8.5%7.1%10.2%10.1%7.1%
Expected Move2.4%2.0%2.9%2.9%2.0%
HV 20d6.8%6.3%7.3%6.9%6.9%
HV 60d8.6%8.3%8.8%8.8%8.3%
IV Rank37.8%16.7%62.6%60.9%16.7%
IV Percentile44.2%14.3%75.8%73.4%14.3%
Term Structure0.5%-0.1%1.0%-0.0%0.6%
VWIV8.6%5.8%12.1%9.9%5.8%
Skew 25d0.5%-0.3%1.2%-0.3%0.1%
Skew 10d2.0%0.1%3.8%3.8%0.6%
Call IV 25d8.3%7.2%10.0%10.0%7.4%
Put IV 25d8.9%7.5%10.1%9.7%7.5%
Bid-Ask Spread %53.428.1492.4936.418.14
Gamma HHI0.180.120.350.140.14
Net GEX3.2M-149.0K7.3M677.2K876.6K
Net DEX-21.3M-66.7M10.8M-10.1M-1.1M
Net VEX-300.6K-442.6K-168.3K-254.7K-412.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.003.591.530.15
Total Volume718.571613,3163941,046
Total OI53,667.42946,45160,10456,99147,017

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$103.67$102.0010.1%2.9%6.9%60.9%9.9%-0.3%-0.0%677.2K-10.1M-254.7K1.5336.411562388,85848,133
2011-12-02$104.13$102.009.8%2.8%6.9%56.5%9.7%0.4%-0.1%2.6M-20.6M-226.0K2.6533.35721918,92147,967
2011-12-05$104.07$102.009.8%2.8%6.8%56.5%10.0%0.5%0.5%1.8M-903.4K-442.6K3.5990.46511838,96448,077
2011-12-06$103.80$102.009.6%2.7%6.8%54.0%9.5%0.6%0.4%3.8M-16.0M-220.4K1.8489.8032598,99348,211
2011-12-07$104.27$102.009.0%2.6%6.8%44.2%9.1%0.6%0.2%4.7M-27.0M-184.7K0.0090.131,86539,01848,227
2011-12-08$104.80$102.009.4%2.6%6.3%51.2%9.3%0.9%0.3%5.0M-24.6M-406.9K1.3589.78516910,15648,226
2011-12-09$104.08$102.009.2%2.6%6.6%48.0%8.8%-0.1%0.2%5.6M-28.7M-231.1K1.0091.9162362510,16648,210
2011-12-12$104.44$102.0010.2%2.7%6.5%62.6%9.1%0.3%0.1%4.9M-20.8M-417.7K0.1592.205998710,67448,743
2011-12-13$104.92$102.008.7%2.5%6.3%40.6%8.6%1.1%0.3%5.6M-30.7M-437.0K0.5092.32884411,24248,800
2011-12-14$105.36$102.008.0%2.5%6.4%31.6%8.9%1.2%0.3%6.5M-56.6M-218.6K0.3091.542276911,28348,821
2011-12-15$105.27$102.008.7%2.5%6.3%42.9%7.8%0.7%0.5%7.3M-55.2M-214.8K0.6592.49372411,20948,831
2011-12-16$105.78$102.007.9%2.3%6.5%30.0%8.4%0.3%0.8%6.3M-66.7M-168.3K0.0789.227735611,20148,843
2011-12-19$106.14$103.007.7%2.2%6.4%27.1%7.8%1.1%0.8%938.6K-4.8M-416.5K0.0319.721,941597,10839,343
2011-12-20$105.18$103.007.7%2.2%7.2%26.9%7.8%0.7%0.7%1.1M-14.4M-428.5K0.8419.223342798,72739,343
2011-12-21$104.84$103.007.4%2.1%7.2%21.1%7.4%0.5%0.9%2.9M-25.9M-199.4K0.5715.2489518,52139,353
2011-12-22$104.97$103.007.3%2.1%7.1%19.6%7.1%0.5%1.0%2.9M-25.1M-200.6K0.0616.976548,33739,363
2011-12-23$104.54$103.007.5%2.1%6.9%22.8%12.1%0.5%0.9%2.3M-18.1M-222.7K0.0018.243,302148,38339,367
2011-12-27$104.41$104.007.7%2.2%6.9%26.0%7.7%0.8%0.8%-149.0K10.8M-419.9K0.7819.347625957,18939,378
2011-12-28$105.07$104.007.7%2.2%7.3%26.8%7.7%0.2%0.8%291.1K3.9M-399.0K0.9115.45102937,07639,781
2011-12-29$105.20$104.007.8%2.2%6.9%27.5%7.6%0.4%0.5%2.3M-14.6M-190.0K1.819.9147857,15239,804
2011-12-30$105.57$104.007.1%2.0%6.9%16.7%5.8%0.1%0.6%876.6K-1.1M-412.6K0.158.149121347,18639,831