IEF Options History — May 2012

In May 2012, IEF traded between $105.33 and $108.55. ATM implied volatility averaged 6.1%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.0% (HV 20d: 4.1%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 22.85.

Notable Days

  • 2012-05-31: Highest Volume — 2,719 contracts
  • 2012-05-11: Largest IV spike — 10.1% change
  • 2012-05-16: Highest IV Rank — 27.6%
  • 2012-05-16: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.71$105.33$108.55$105.33$108.55
Max Pain$105.05$105.00$106.00$105.00$106.00
ATM IV6.1%5.0%7.0%5.6%6.8%
Expected Move1.8%1.4%2.0%1.6%1.9%
HV 20d4.1%3.1%6.4%6.4%4.7%
HV 60d6.0%5.8%6.2%6.2%6.1%
IV Rank14.4%0.0%27.6%6.5%24.6%
IV Percentile13.5%0.0%36.1%1.6%30.2%
Term Structure0.5%-0.2%1.0%0.5%-0.2%
VWIV6.3%4.4%9.4%4.8%6.7%
Skew 25d0.5%-0.3%1.5%0.7%0.1%
Skew 10d2.1%-1.2%15.7%0.6%15.7%
Call IV 25d5.9%4.6%6.9%5.3%6.9%
Put IV 25d6.4%5.8%7.0%6.0%7.0%
Bid-Ask Spread %31.729.5965.3512.1213.46
Gamma HHI0.260.200.340.340.28
Net GEX2.1M-3.1M3.6M3.4M-3.1M
Net DEX3.4M-16.3M27.2M9.0M-12.9M
Net VEX-244.1K-368.3K-164.8K-176.1K-184.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.850.05269.8018.500.16
Total Volume475.227672,719782,719
Total OI24,876.77323,68127,49623,68127,496

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$105.33$105.005.6%1.6%6.4%6.5%4.8%0.7%0.5%3.4M9.0M-176.1K18.5012.124744,43119,250
2012-05-02$105.53$105.005.5%1.6%5.6%4.9%6.1%1.3%0.6%1.9M27.0M-368.3K0.1214.14113144,42919,304
2012-05-03$105.52$105.005.0%1.4%5.4%0.0%5.5%1.5%0.6%2.5M27.2M-366.4K1.4817.3827404,44919,296
2012-05-04$105.94$105.005.0%1.7%5.4%0.0%6.0%0.9%0.7%2.9M22.4M-361.1K8.0064.9412964,47619,316
2012-05-07$105.91$105.005.0%1.7%4.2%0.5%6.6%1.4%0.3%2.1M21.1M-355.1K3.5560.42421494,48819,382
2012-05-08$106.15$105.005.5%1.7%4.0%6.9%6.6%0.2%0.4%3.3M-18.1K-177.3K7.3860.06292144,51119,481
2012-05-09$106.24$105.005.7%1.8%3.6%10.2%4.4%0.3%0.6%2.2M17.8M-366.8K1.4165.351552194,53919,560
2012-05-10$106.09$105.005.8%1.7%3.6%11.7%6.4%0.4%0.9%2.9M18.5M-355.4K152.0053.7611524,67819,755
2012-05-11$106.44$105.006.4%1.8%3.1%19.7%6.3%0.3%0.3%2.3M14.5M-361.2K2.2450.50581304,67919,838
2012-05-14$106.91$105.006.6%1.9%3.4%22.5%6.9%0.4%0.5%1.4M8.8M-357.0K0.0551.18762354,69619,885
2012-05-15$106.94$105.006.6%1.9%3.3%22.6%6.9%0.4%0.5%3.1M-10.3M-181.7K0.7238.301601165,24319,908
2012-05-16$107.02$105.007.0%2.0%3.3%27.6%6.8%0.1%0.4%3.6M-12.1M-173.8K1.7844.62681215,34920,014
2012-05-17$107.42$105.006.9%2.0%3.4%25.7%6.7%0.2%0.3%3.0M-16.3M-164.8K0.8733.15104905,29320,030
2012-05-18$107.35$105.006.3%1.8%3.5%17.9%6.7%-0.1%0.9%2.6M-14.4M-169.9K0.6732.512111415,27620,028
2012-05-21$107.07$105.006.2%1.8%3.7%17.0%5.9%0.5%0.4%2.8M-6.3M-176.7K1.3011.8060784,76919,835
2012-05-22$106.84$105.005.8%1.7%3.6%11.5%5.7%0.8%1.0%3.5M-3.5M-174.4K0.3410.67225764,80019,875
2012-05-23$107.12$105.006.4%1.8%3.6%18.9%6.8%-0.2%0.5%3.2M-7.4M-177.9K4.5012.75261174,96319,921
2012-05-24$106.89$105.006.1%1.8%3.6%15.8%5.0%0.8%0.1%3.3M-3.6M-183.8K269.8012.8651,3494,98320,012
2012-05-25$107.20$105.005.9%1.7%3.7%12.3%6.1%-0.0%0.4%1.0M2.0M-184.0K25.4016.96102544,98221,304
2012-05-29$107.11$105.006.3%1.8%3.8%18.1%6.3%-0.3%0.3%15.6K2.7M-189.0K1.879.59971814,96421,357
2012-05-30$108.13$105.006.5%1.9%4.6%21.0%9.4%0.5%0.5%-2.7M-9.6M-165.4K0.4711.261,3066154,96321,481
2012-05-31$108.55$106.006.8%1.9%4.7%24.6%6.7%0.1%-0.2%-3.1M-12.9M-184.2K0.1613.462,3453745,42022,076