IEF Options History — June 2012

In June 2012, IEF traded between $107.58 and $109.31. ATM implied volatility averaged 6.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.2% (HV 20d: 6.6%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 18.30.

Notable Days

  • 2012-06-22: Highest Volume — 10,078 contracts
  • 2012-06-11: Largest IV spike — 35.9% change
  • 2012-06-11: Highest IV Rank — 44.2%
  • 2012-06-01: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.13$107.58$109.31$109.31$107.93
Max Pain$108.00$108.00$108.00$108.00$108.00
ATM IV6.8%6.0%8.2%8.1%6.3%
Expected Move2.0%1.7%2.3%2.3%1.8%
HV 20d6.6%5.0%7.4%5.0%6.2%
HV 60d6.0%5.7%6.5%6.2%5.7%
IV Rank25.5%14.4%44.2%42.5%17.8%
IV Percentile29.0%8.3%54.0%53.2%15.9%
Term Structure0.2%-0.3%0.6%-0.2%-0.3%
VWIV6.9%6.0%8.1%8.0%6.2%
Skew 25d0.3%-0.3%0.7%-0.3%0.2%
Skew 10d1.6%-2.3%3.1%2.1%0.9%
Call IV 25d6.8%5.9%7.8%7.7%5.9%
Put IV 25d7.1%6.1%8.3%7.4%6.1%
Bid-Ask Spread %47.0813.5883.1913.5842.20
Gamma HHI0.240.110.540.190.12
Net GEX-3.8M-8.7M-491.9K-3.0M-820.3K
Net DEX15.9M4.7M24.7M4.7M15.1M
Net VEX-186.7K-210.4K-164.7K-175.8K-186.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.300.05334.939.140.34
Total Volume708.4762110,0781,196160
Total OI22,670.47613,04826,73925,31213,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$109.31$108.008.1%2.3%5.0%42.5%8.0%-0.3%-0.2%-3.0M4.7M-175.8K9.1413.581181,0783,04022,272
2012-06-04$108.68$108.007.8%2.2%5.6%38.1%8.1%0.7%-0.2%-4.6M11.2M-185.6K2.2270.56972153,14722,847
2012-06-05$108.32$108.007.1%2.2%5.8%28.4%7.8%0.4%-0.0%-5.4M16.6M-210.4K4.2865.99291243,24422,910
2012-06-06$107.61$108.006.9%2.1%6.4%25.9%7.5%-0.1%0.3%-5.9M24.0M-194.8K1.6169.031632633,26422,976
2012-06-07$107.87$108.006.2%2.0%6.5%17.1%7.1%0.6%0.2%-6.7M24.0M-202.7K2.9660.1728833,31023,124
2012-06-08$107.95$108.006.0%2.0%6.4%14.4%6.8%-0.1%0.4%-6.5M21.3M-198.4K0.6963.1645313,31723,117
2012-06-11$108.24$108.008.2%2.1%6.4%44.2%7.2%0.5%-0.0%-6.2M17.3M-184.0K2.0960.8322463,34723,122
2012-06-12$107.66$108.007.8%2.1%6.6%38.3%7.3%0.2%0.1%-6.5M24.7M-186.8K0.0565.475933,34823,146
2012-06-13$108.23$108.007.0%2.1%6.8%27.4%7.2%0.6%0.2%-8.0M17.3M-186.9K0.3868.13229883,40423,146
2012-06-14$107.94$108.007.3%2.1%6.9%32.3%7.5%0.2%-0.0%-8.7M21.6M-199.1K1.1783.1935413,58723,143
2012-06-15$108.44$108.007.3%2.1%7.0%32.0%6.9%0.3%0.1%-7.3M11.3M-182.2K2.6972.00812183,59923,140
2012-06-18$108.41$108.006.8%1.9%7.0%24.5%6.7%0.4%0.6%-632.9K8.7M-173.5K9.2526.794373,13918,714
2012-06-19$108.04$108.006.7%1.9%7.0%23.4%6.5%-0.1%0.5%-767.8K11.2M-169.6K9.5227.53646093,13918,731
2012-06-20$107.82$108.006.3%1.8%7.0%17.9%6.2%0.4%-0.1%-1.8M17.9M-191.1K0.5525.7476423,18219,333
2012-06-21$108.05$108.006.1%1.7%7.0%15.2%6.0%0.4%0.6%-1.4M14.4M-175.5K0.3019.9353163,21119,342
2012-06-22$107.58$108.006.3%1.8%7.2%18.6%6.2%0.5%0.1%-1.7M19.6M-195.7K334.9351.543010,0483,22819,294
2012-06-25$108.17$108.006.4%1.8%7.3%19.7%6.4%0.5%0.2%-1.0M12.5M-164.7K1.2428.8158723,25819,282
2012-06-26$107.93$108.006.3%1.8%7.4%17.9%6.2%0.3%0.5%-1.4M16.5M-195.1K0.5817.23154903,2779,804
2012-06-27$108.08$108.006.4%1.8%6.6%19.6%6.1%-0.1%0.3%-556.6K13.8M-179.8K0.1725.601833,4279,841
2012-06-28$108.43$108.006.4%1.8%6.5%19.2%0.0%-0.0%0.0%-491.9K10.5M-181.8K0.1931.23208403,4379,843
2012-06-29$107.93$108.006.3%1.8%6.2%17.8%6.2%0.2%-0.3%-820.3K15.1M-186.5K0.3442.20119413,4339,615