IEF Options History — March 2012

In March 2012, IEF traded between $102.01 and $105.26. ATM implied volatility averaged 6.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.5% (HV 20d: 6.1%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.15.

Notable Days

  • 2012-03-14: Highest Volume — 1,995 contracts
  • 2012-03-14: Largest IV spike — 19.2% change
  • 2012-03-14: Highest IV Rank — 28.7%
  • 2012-03-14: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.64$102.01$105.26$104.61$103.28
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV6.6%5.5%7.4%6.3%6.7%
Expected Move1.9%1.8%2.1%1.8%1.9%
HV 20d6.1%4.6%7.0%5.8%6.9%
HV 60d6.2%6.0%6.5%6.3%6.2%
IV Rank15.6%0.0%28.7%10.8%18.4%
IV Percentile17.7%0.0%37.7%9.1%22.6%
Term Structure0.4%0.1%1.1%0.6%0.2%
VWIV6.8%6.0%8.3%6.3%6.0%
Skew 25d0.6%-0.1%1.5%-0.1%0.5%
Skew 10d2.1%-1.5%4.3%-1.5%0.3%
Call IV 25d6.5%6.1%6.9%6.7%6.5%
Put IV 25d7.2%6.6%8.1%6.7%6.9%
Bid-Ask Spread %33.348.6466.729.6816.89
Gamma HHI0.250.170.380.210.19
Net GEX-3.9M-17.7M4.3M-1.1M-5.2M
Net DEX36.7M4.8M74.8M16.9M45.1M
Net VEX-255.1K-347.2K-129.2K-163.3K-333.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0019.230.711.54
Total Volume394.90951,995101160
Total OI24,972.54520,97528,80926,36022,793

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$104.61$105.006.3%1.8%5.8%10.8%6.3%-0.1%0.6%-1.1M16.9M-163.3K0.719.6859425,29821,062
2012-03-02$105.03$105.006.4%1.8%6.0%12.0%6.4%0.3%0.1%-577.8K23.5M-345.3K0.008.64505,35021,083
2012-03-05$104.82$105.006.8%1.9%5.3%18.3%6.9%0.4%0.4%1.9M9.0M-151.0K19.2324.06305775,35021,083
2012-03-06$105.26$105.006.7%2.0%5.5%16.4%6.9%0.4%0.2%3.4M4.8M-171.2K0.5933.355723355,34121,240
2012-03-07$105.06$105.006.6%1.9%5.0%14.6%6.4%0.2%0.4%3.7M6.7M-190.1K2.4623.5713325,91321,490
2012-03-08$104.75$105.005.7%1.9%5.1%0.6%6.6%0.2%0.4%3.6M10.4M-169.1K0.6465.3074476,42321,740
2012-03-09$104.67$105.005.8%1.8%5.0%2.6%6.7%0.7%0.7%1.9M14.5M-147.9K1.1362.342122405,89421,530
2012-03-12$104.64$105.005.5%1.8%4.6%0.0%6.4%0.4%0.5%4.3M14.8M-170.2K0.0366.72462155,89721,557
2012-03-13$103.89$105.006.2%1.9%5.2%11.0%6.5%0.3%0.6%-6.6M30.0M-137.7K2.7054.3233895,62821,558
2012-03-14$102.70$105.007.4%2.1%6.4%28.7%7.4%0.5%0.1%-15.3M70.0M-317.9K12.0463.911531,8425,65721,551
2012-03-15$102.67$105.006.9%2.0%6.3%20.7%8.3%0.8%0.5%-17.7M74.8M-338.7K7.1660.82513655,69823,111
2012-03-16$102.64$105.006.4%1.8%6.2%13.4%6.7%1.5%1.1%-17.1M74.7M-330.9K4.7064.181225745,69922,893
2012-03-19$102.01$105.007.0%2.0%6.5%22.9%7.1%1.0%0.3%-5.7M57.3M-330.2K0.9726.483153053,07417,901
2012-03-20$102.06$105.007.2%2.1%6.5%24.5%7.7%1.3%0.4%-5.2M57.2M-333.7K8.1526.51675463,37018,050
2012-03-21$102.58$105.007.1%2.0%6.6%23.4%7.2%0.9%0.4%-5.3M52.8M-341.4K1.7719.88901593,42718,425
2012-03-22$102.71$105.006.8%1.9%6.6%18.7%6.5%1.1%0.4%-5.5M53.0M-347.2K0.9214.31105973,50018,550
2012-03-23$103.09$105.006.8%1.9%6.8%19.2%6.5%0.9%0.4%-5.2M47.5M-338.0K0.8217.39100823,57818,583
2012-03-26$102.97$105.006.9%2.0%6.6%20.6%7.4%0.8%0.4%-5.1M49.8M-342.8K1.7617.05711253,64718,634
2012-03-27$103.54$105.006.4%1.8%7.0%13.0%6.0%1.0%0.8%-4.8M44.3M-337.5K0.5915.7270413,71418,749
2012-03-28$103.36$105.006.7%1.9%6.9%17.9%6.1%0.4%0.5%-2.3M27.7M-146.2K0.2420.51296703,77918,789
2012-03-29$103.79$105.006.5%1.9%6.9%15.1%0.0%0.9%0.2%-1.3M22.1M-129.2K1.1421.8621243,92818,859
2012-03-30$103.28$105.006.7%1.9%6.9%18.4%6.0%0.5%0.2%-5.2M45.1M-333.5K1.5416.8963973,92818,865