IEF Options History — April 2013

In April 2013, IEF traded between $107.27 and $108.89. ATM implied volatility averaged 5.2%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.8% (HV 20d: 4.3%). Max pain ranged from $107.00 to $107.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 6.57.

Notable Days

  • 2013-04-26: Highest Volume — 1,015 contracts
  • 2013-04-24: Largest IV drop — 7.1% change
  • 2013-04-16: Highest IV Rank — 40.5%
  • 2013-04-16: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.33$107.27$108.89$107.48$108.83
Max Pain$107.00$107.00$107.00$107.00$107.00
ATM IV5.2%4.8%5.5%5.1%4.8%
Expected Move1.5%1.4%1.6%1.4%1.4%
HV 20d4.3%4.0%4.7%4.4%4.1%
HV 60d4.6%4.3%4.8%4.5%4.3%
IV Rank32.3%25.4%40.5%30.1%25.4%
IV Percentile28.2%11.5%48.4%22.2%11.5%
Term Structure0.3%-0.3%0.7%0.1%-0.0%
VWIV5.2%4.8%5.7%4.9%4.9%
Skew 25d0.7%0.1%1.4%1.1%0.9%
Skew 10d2.5%-0.2%16.2%1.2%0.8%
Call IV 25d4.7%3.6%5.4%4.3%3.9%
Put IV 25d5.4%4.6%5.9%5.5%4.9%
Bid-Ask Spread %17.7610.0527.8214.4810.70
Gamma HHI0.390.160.680.610.17
Net GEX-6.2M-17.1M1.6M-16.5M551.3K
Net DEX32.7M-7.4M101.3M76.2M-4.5M
Net VEX-476.6K-1.1M-53.5K-961.5K-89.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.570.0037.400.0337.40
Total Volume139.86401,01535192
Total OI37,149.40936,35137,78936,85537,789

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$107.48$107.005.1%1.4%4.4%30.1%0.0%1.1%0.1%-16.5M76.2M-961.5K0.0314.483412,00234,853
2013-04-02$107.27$107.005.2%1.5%4.4%32.5%0.0%0.1%-0.3%-17.1M79.7M-1.0M27.2014.2851362,03634,853
2013-04-03$107.72$107.004.8%1.4%4.6%25.4%4.9%1.1%0.0%-16.5M101.3M-1.1M0.1111.6987102,04134,989
2013-04-04$108.15$107.004.9%1.4%4.5%26.3%4.9%0.3%0.2%-16.9M87.1M-1.1M1.0316.8475772,07934,989
2013-04-05$108.49$107.005.1%1.6%4.3%32.1%5.3%0.5%0.3%-90.4K-4.1M-90.4K0.6315.9154342,15435,056
2013-04-08$108.14$107.005.2%1.6%4.0%33.2%5.5%0.4%0.4%-16.5M91.0M-1.1M0.0017.540322,18335,068
2013-04-09$108.18$107.004.9%1.4%4.0%26.5%0.0%0.5%0.7%-16.2M87.5M-1.1M11.0523.53192102,18335,100
2013-04-10$107.73$107.005.0%1.5%4.3%28.5%5.2%0.4%0.6%-16.9M95.8M-1.1M0.3716.8298362,19635,110
2013-04-11$107.85$107.005.3%1.5%4.3%34.7%0.0%0.8%0.4%-16.5M93.8M-1.1M0.0023.20002,28835,142
2013-04-12$108.45$107.005.1%1.5%4.6%32.3%5.1%1.3%0.4%-14.8M83.4M-1.0M0.0322.864012,28835,142
2013-04-15$108.69$107.005.4%1.6%4.5%38.1%5.7%0.7%0.5%810.8K-7.4M-81.5K0.5321.3343232,32335,143
2013-04-16$108.38$107.005.5%1.6%4.7%40.5%0.0%0.4%0.3%691.2K-5.6M-86.5K0.0021.30002,36335,155
2013-04-17$108.58$107.005.4%1.6%4.6%38.8%5.6%0.8%0.6%563.4K-6.9M-83.5K1.9123.0543822,33635,155
2013-04-18$108.64$107.005.3%1.5%4.3%35.5%0.0%0.7%0.3%642.0K-6.9M-84.2K0.0027.821102,33735,174
2013-04-19$108.58$107.005.3%1.5%4.3%35.9%0.0%0.2%0.3%801.3K-7.0M-81.5K0.6519.6146302,33535,174
2013-04-22$108.64$107.005.3%1.5%4.3%35.9%5.4%0.6%0.2%899.2K-5.1M-67.3K0.8417.6294791,80734,544
2013-04-23$108.57$107.005.5%1.6%4.3%39.8%0.0%1.0%0.0%1.6M-7.0M-53.5K0.6919.4865451,87234,609
2013-04-24$108.62$107.005.1%1.5%4.3%31.1%4.8%1.2%0.5%1.4M-6.3M-62.8K1.4014.1910141,92734,644
2013-04-25$108.50$107.004.9%1.4%4.1%27.3%5.1%0.5%0.4%1.3M-4.8M-71.9K1.5416.6141631,93234,637
2013-04-26$108.89$107.005.0%1.4%4.2%29.2%4.9%1.4%0.1%1.4M-6.7M-70.3K32.8311.88309851,96634,683
2013-04-29$108.85$107.005.1%1.5%4.2%32.3%0.0%0.8%-0.2%608.7K-4.1M-91.4K0.0010.0502321,98335,647
2013-04-30$108.83$107.004.8%1.4%4.1%25.4%4.9%0.9%-0.0%551.3K-4.5M-89.7K37.4010.7051871,98335,806