IEF Options History — October 2012

In October 2012, IEF traded between $106.77 and $108.56. ATM implied volatility averaged 5.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.6% (HV 20d: 5.1%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 10.14.

Notable Days

  • 2012-10-25: Highest Volume — 2,651 contracts
  • 2012-10-11: Largest IV spike — 14.3% change
  • 2012-10-19: Highest IV Rank — 19.2%
  • 2012-10-19: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.70$106.77$108.56$108.52$107.89
Max Pain$107.76$107.00$108.00$108.00$107.00
ATM IV5.6%5.0%6.2%5.3%5.4%
Expected Move1.6%1.5%1.8%1.5%1.5%
HV 20d5.1%3.8%5.8%5.7%5.8%
HV 60d5.4%5.2%5.6%5.3%5.5%
IV Rank11.0%2.5%19.2%6.2%7.1%
IV Percentile16.6%1.6%39.7%4.0%5.6%
Term Structure0.3%-0.1%0.8%0.5%0.3%
VWIV5.8%5.3%6.2%5.3%5.4%
Skew 25d0.8%-0.3%1.8%0.6%1.6%
Skew 10d1.8%0.0%5.8%1.4%5.8%
Call IV 25d5.2%4.2%5.9%4.7%4.2%
Put IV 25d5.9%4.5%6.6%5.3%5.8%
Bid-Ask Spread %21.3510.2993.3813.3193.38
Gamma HHI0.340.180.530.360.35
Net GEX-6.7M-13.0M1.6M-6.1M-11.2M
Net DEX70.4M7.8M107.6M58.8M81.1M
Net VEX-750.3K-955.4K-101.3K-813.2K-904.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.140.00121.710.305.33
Total Volume381.619412,6518695
Total OI28,759.95226,12731,97426,12731,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$108.52$108.005.3%1.5%5.7%6.2%0.0%0.6%0.5%-6.1M58.8M-813.2K0.3013.3166202,84523,282
2012-10-02$108.45$108.005.3%1.5%5.6%6.1%0.0%1.0%0.8%-5.8M60.9M-818.6K10.1014.32101012,90123,302
2012-10-03$108.56$108.005.4%1.5%5.6%7.1%0.0%-0.3%0.4%-5.6M60.2M-816.0K0.5910.29129762,91123,399
2012-10-04$108.13$108.005.4%1.5%5.2%7.2%5.3%0.3%0.6%1.6M7.8M-117.8K0.6016.682591563,02023,441
2012-10-05$107.64$108.005.1%1.7%5.5%3.5%6.0%0.3%0.4%1.0M12.9M-120.7K121.7121.21172,0693,27923,558
2012-10-08$107.99$108.005.4%1.7%5.6%7.2%5.8%0.8%0.3%-6.6M76.2M-906.2K1.9822.64801583,29525,601
2012-10-09$107.77$108.005.5%1.6%5.6%9.0%5.5%0.5%0.6%1.5M12.8M-128.3K0.0023.2311203,28625,658
2012-10-10$108.03$108.005.0%1.7%5.3%2.5%5.9%1.0%0.2%-5.9M75.7M-904.4K0.4116.4259243,38325,658
2012-10-11$108.13$108.005.8%1.7%5.3%12.9%5.7%1.2%0.4%-5.0M76.1M-916.7K2.5016.5330753,44225,679
2012-10-12$108.14$108.005.5%1.6%3.8%9.3%0.0%0.4%0.7%-5.0M73.5M-906.6K0.6818.3131213,47225,753
2012-10-15$108.17$108.005.5%1.6%3.8%8.5%0.0%0.7%0.6%-5.0M71.0M-890.9K0.0017.8101603,49225,774
2012-10-16$107.66$108.005.8%1.7%4.2%12.8%6.0%0.5%0.6%-7.4M91.3M-923.7K4.8122.85211013,49225,887
2012-10-17$106.98$108.005.9%1.7%4.7%14.4%5.9%0.5%0.4%-11.0M103.4M-921.5K11.0915.02333663,51325,920
2012-10-18$106.79$108.006.0%1.7%4.7%16.0%6.0%0.5%0.1%-13.0M107.6M-923.1K0.9816.8441403,54126,221
2012-10-19$107.24$108.006.2%1.8%4.9%19.2%6.0%0.8%0.1%-11.7M93.2M-922.3K0.1620.414573,58226,261
2012-10-22$106.88$108.006.1%1.7%5.0%17.3%5.9%0.4%0.0%-10.6M103.5M-930.0K0.0916.93231202,83725,616
2012-10-23$107.39$107.006.1%1.7%5.1%17.2%5.3%1.5%0.1%-430.8K15.0M-101.3K0.3217.9531103,05725,636
2012-10-24$107.16$107.005.9%1.7%4.8%15.3%6.0%1.1%0.2%-10.1M98.0M-915.1K6.1919.40845203,08825,646
2012-10-25$106.77$107.005.9%1.7%4.9%14.9%6.2%0.9%-0.1%-11.7M106.2M-920.9K30.9417.22832,5683,17226,166
2012-10-26$107.45$107.006.1%1.7%5.5%17.5%6.1%1.8%-0.0%-12.4M94.1M-955.4K4.0017.5113523,23628,683
2012-10-31$107.89$107.005.4%1.5%5.8%7.1%5.4%1.6%0.3%-11.2M81.1M-904.6K5.3393.3815803,24028,734