IEF Options History — July 2012

In July 2012, IEF traded between $108.00 and $109.87. ATM implied volatility averaged 6.0%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.2% (HV 20d: 4.8%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 40.33.

Notable Days

  • 2012-07-05: Highest Volume — 1,302 contracts
  • 2012-07-13: Largest IV drop — 17.3% change
  • 2012-07-12: Highest IV Rank — 23.7%
  • 2012-07-12: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.06$108.00$109.87$108.27$109.28
Max Pain$108.38$108.00$109.00$108.00$109.00
ATM IV6.0%5.6%6.7%6.0%6.0%
Expected Move1.7%1.6%1.9%1.7%1.7%
HV 20d4.8%3.7%6.0%6.0%4.4%
HV 60d5.2%5.1%5.7%5.7%5.4%
IV Rank14.0%7.8%23.7%13.3%14.4%
IV Percentile11.3%3.2%35.3%8.3%13.1%
Term Structure0.5%-0.2%1.0%0.5%0.4%
VWIV5.9%3.7%6.5%6.0%3.7%
Skew 25d0.5%-0.2%1.4%0.9%0.4%
Skew 10d0.7%-0.8%3.1%0.9%0.2%
Call IV 25d5.6%4.5%6.2%5.2%5.6%
Put IV 25d6.1%5.6%6.5%6.2%6.1%
Bid-Ask Spread %49.4315.2791.3815.2716.49
Gamma HHI0.180.130.240.150.19
Net GEX-923.2K-3.5M449.6K-350.8K-3.3M
Net DEX7.6M-4.3M24.6M8.7M20.4M
Net VEX-220.0K-353.7K-144.2K-174.4K-348.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.330.00650.000.770.57
Total Volume367.23851,30246126
Total OI15,219.85713,23417,48413,23417,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$108.27$108.006.0%1.7%6.0%13.3%6.0%0.9%0.5%-350.8K8.7M-174.4K0.7715.2726203,6009,634
2012-07-03$108.00$108.006.1%1.8%5.9%15.8%6.3%-0.2%0.3%-318.8K10.0M-160.2K0.0035.75503,6269,634
2012-07-05$108.29$108.006.2%1.8%5.5%17.1%0.0%0.4%-0.1%-605.3K9.9M-185.6K650.0019.4621,3003,6219,634
2012-07-06$108.67$108.005.9%1.8%5.6%12.9%0.0%0.5%0.2%197.6K3.7M-154.0K15.5065.766933,62310,924
2012-07-09$108.97$108.006.0%1.7%5.6%14.3%0.0%0.3%0.6%-198.1K7.0M-227.0K0.1267.652533,62610,977
2012-07-10$109.02$108.006.1%1.7%5.6%14.7%6.4%0.4%0.8%-248.8K5.5M-215.9K6.5469.99956213,62510,979
2012-07-11$108.92$108.005.9%1.8%5.2%12.2%6.4%0.7%0.4%-12.3K6.3M-218.5K0.5173.57116593,67410,957
2012-07-12$109.17$108.006.7%1.9%4.9%23.7%0.0%0.6%-0.2%-17.7K3.1M-214.1K23.3068.38102333,71611,000
2012-07-13$109.08$108.005.6%1.6%4.8%7.8%0.0%0.4%1.0%-65.1K4.4M-217.2K8.8671.09706203,71611,219
2012-07-16$109.32$108.006.3%1.8%4.6%17.6%6.5%0.5%0.4%445.0K-4.3M-144.2K5.1068.87201023,78611,839
2012-07-17$109.04$108.006.0%1.7%4.7%14.5%6.1%0.6%0.5%449.6K-1.4M-146.4K5.7269.321076123,80312,526
2012-07-18$109.15$108.006.1%1.7%4.5%15.1%0.0%0.8%0.6%-201.9K-725.4K-154.3K1.6591.3840663,89512,389
2012-07-19$108.99$108.005.7%1.6%4.5%10.3%6.0%0.1%0.9%-229.6K1.4M-155.3K0.6162.88122753,84612,315
2012-07-20$109.42$109.005.7%1.6%4.6%10.2%5.6%1.4%0.6%-1.2M5.6M-251.6K0.3790.7497363,81812,383
2012-07-23$109.60$109.005.9%1.7%4.2%12.8%5.8%0.2%0.8%-1.7M7.9M-234.7K2.8327.2712343,23411,389
2012-07-24$109.81$109.006.0%1.7%3.9%14.2%6.3%0.7%0.7%-1.7M6.5M-233.1K1.2621.3734433,24611,420
2012-07-25$109.87$109.006.0%1.7%3.7%14.0%5.9%0.3%0.3%-1.7M5.7M-231.9K56.7422.22191,0783,27611,461
2012-07-26$109.53$109.006.1%1.8%4.0%15.4%6.1%0.0%0.2%-2.2M12.3M-284.3K23.8126.85276433,29512,520
2012-07-27$108.74$109.005.7%1.6%4.7%10.0%5.9%0.4%1.0%-2.9M23.8M-314.3K42.5630.07251,0643,31013,123
2012-07-30$109.09$109.005.9%1.7%4.5%12.6%5.9%1.0%0.5%-3.5M24.6M-353.7K0.0023.562603,31414,160
2012-07-31$109.28$109.006.0%1.7%4.4%14.4%3.7%0.4%0.4%-3.3M20.4M-348.2K0.5716.4980463,32414,160