IEF Options History — August 2012

In August 2012, IEF traded between $106.59 and $108.99. ATM implied volatility averaged 5.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.4% (HV 20d: 5.3%). Max pain ranged from $109.00 to $109.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 12.75.

Notable Days

  • 2012-08-07: Highest Volume — 2,104 contracts
  • 2012-08-16: Largest IV spike — 25.9% change
  • 2012-08-16: Highest IV Rank — 18.2%
  • 2012-08-08: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.83$106.59$108.99$108.72$108.99
Max Pain$109.00$109.00$109.00$109.00$109.00
ATM IV5.7%4.9%6.3%6.3%5.2%
Expected Move1.7%1.5%1.8%1.8%1.5%
HV 20d5.3%4.7%6.0%4.8%5.3%
HV 60d5.6%5.1%5.9%5.5%5.2%
IV Rank10.7%0.0%18.2%18.0%5.2%
IV Percentile9.4%0.0%25.8%25.8%2.4%
Term Structure0.5%-0.0%1.0%0.2%0.5%
VWIV5.7%4.7%6.5%6.2%4.7%
Skew 25d0.4%-0.2%1.2%0.5%0.7%
Skew 10d1.6%0.1%3.2%0.3%0.9%
Call IV 25d5.6%4.9%6.0%5.9%4.9%
Put IV 25d6.0%5.4%6.5%6.5%5.6%
Bid-Ask Spread %28.1711.8358.3430.9213.34
Gamma HHI0.260.140.380.170.28
Net GEX-6.3M-10.5M-1.9M-4.1M-6.3M
Net DEX52.4M14.4M89.3M32.9M43.2M
Net VEX-435.0K-610.3K-107.5K-373.9K-548.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.750.03139.2710.131.01
Total Volume362.87242,1041,191223
Total OI21,052.43517,22922,89917,22921,680

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$108.72$109.006.3%1.8%4.8%18.0%0.0%0.5%0.2%-4.1M32.9M-373.9K10.1330.921071,0843,03514,194
2012-08-02$108.98$109.006.2%1.8%4.7%16.0%6.2%0.1%0.2%-4.1M32.9M-423.5K0.3017.3033103,05115,216
2012-08-03$108.41$109.005.6%1.6%5.0%8.4%5.3%0.6%0.4%-4.3M18.0M-150.3K29.0017.591293,06715,226
2012-08-06$108.48$109.005.9%1.7%4.9%11.8%6.1%0.1%0.8%-2.6M14.8M-137.2K4.2542.668343,06815,239
2012-08-07$107.91$109.005.9%1.7%5.2%12.6%6.0%0.5%1.0%-3.8M22.9M-138.5K139.2736.78152,0893,07515,263
2012-08-08$107.76$109.005.6%1.8%5.2%9.1%6.3%0.7%0.3%-7.0M59.1M-500.2K80.0037.45252,0003,07917,288
2012-08-09$107.68$109.005.4%1.8%5.1%5.4%6.5%0.6%0.2%-8.4M72.0M-610.3K7.0536.61654583,08619,288
2012-08-10$107.99$109.005.3%1.6%5.2%4.3%5.5%0.8%1.0%-9.5M66.9M-397.9K1.0038.1844443,13419,642
2012-08-13$107.92$109.005.4%1.6%5.1%6.2%6.0%0.3%0.8%-10.3M68.0M-597.5K0.7136.5849353,15419,676
2012-08-14$107.39$109.005.1%1.6%5.3%0.9%5.5%0.4%0.9%-10.5M77.8M-593.8K4.0032.64251003,18519,710
2012-08-15$106.85$109.004.9%1.7%5.5%0.0%5.9%-0.2%0.7%-8.5M84.5M-579.2K1.9847.2942833,18119,637
2012-08-16$106.59$109.006.1%1.8%5.5%18.2%6.1%0.1%0.5%-8.3M89.3M-597.4K4.3652.47451963,13119,700
2012-08-17$106.72$109.005.8%1.7%5.2%13.6%6.0%0.5%1.0%-8.6M85.9M-576.6K1.0458.3453553,16819,731
2012-08-20$106.78$109.006.0%1.7%5.2%17.0%5.5%0.5%-0.0%-7.4M76.8M-584.0K0.2933.3138112,56318,698
2012-08-21$106.87$109.005.9%1.7%5.1%15.2%4.9%0.9%0.1%-7.4M75.8M-577.2K1.3013.5350652,57318,698
2012-08-22$107.70$109.005.5%1.6%6.0%9.2%5.4%0.7%0.6%-6.3M60.9M-584.2K0.1311.83494652,60518,702
2012-08-23$107.89$109.005.7%1.6%6.0%12.6%5.6%0.6%0.2%-2.6M19.5M-111.9K0.0314.1415442,36818,741
2012-08-24$107.84$109.005.6%1.6%5.5%11.1%5.0%0.1%0.5%-6.8M61.7M-572.9K2.2912.0817392,50018,745
2012-08-27$108.12$109.005.8%1.6%5.5%12.7%5.7%0.3%0.3%-6.7M56.0M-564.5K1.0016.2612122,51718,933
2012-08-28$108.16$109.006.0%1.7%5.4%16.0%5.7%0.3%0.1%-2.3M16.0M-107.5K2.6817.05381022,52618,935
2012-08-29$108.09$109.005.6%1.6%5.1%11.0%5.5%-0.0%0.5%-6.8M56.2M-563.7K0.0517.72225112,55418,965
2012-08-30$108.29$109.005.7%1.6%5.1%12.6%5.8%1.2%0.2%-1.9M14.4M-114.1K1.3813.8724332,71418,965
2012-08-31$108.99$109.005.2%1.5%5.3%5.2%4.7%0.7%0.5%-6.3M43.2M-548.7K1.0113.341111122,71518,965