IEF Options History — May 2013

In May 2013, IEF traded between $105.17 and $109.05. ATM implied volatility averaged 5.4%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.3% (HV 20d: 5.1%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 22.42.

Notable Days

  • 2013-05-29: Highest Volume — 15,516 contracts
  • 2013-05-13: Largest IV spike — 19.5% change
  • 2013-05-30: Highest IV Rank — 71.9%
  • 2013-05-30: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.06$105.17$109.05$109.05$105.32
Max Pain$107.55$107.00$108.00$108.00$107.00
ATM IV5.4%4.4%6.9%4.9%6.5%
Expected Move1.6%1.4%2.0%1.4%1.9%
HV 20d5.1%3.7%7.1%3.9%6.9%
HV 60d4.7%4.1%5.5%4.2%5.4%
IV Rank38.7%16.2%71.9%26.3%62.4%
IV Percentile44.5%3.6%96.8%14.7%92.1%
Term Structure0.3%-0.9%0.9%0.1%-0.0%
VWIV5.8%4.8%7.9%5.5%6.7%
Skew 25d0.7%0.2%1.4%0.5%0.4%
Skew 10d2.6%0.0%4.6%0.1%4.6%
Call IV 25d5.3%3.7%6.8%4.9%6.6%
Put IV 25d6.1%4.6%8.0%5.4%7.1%
Bid-Ask Spread %16.4212.3024.3614.1116.39
Gamma HHI0.660.310.750.700.68
Net GEX-22.4M-32.8M-5.3M-15.7M-32.8M
Net DEX118.0M11.9M191.4M71.0M97.6M
Net VEX-1.0M-1.3M-126.7K-918.7K-625.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.420.03351.643.201.49
Total Volume1,176.5913015,516214363
Total OI41,015.63629,53845,92537,68329,671

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$109.05$108.004.9%1.4%3.9%26.3%5.5%0.5%0.1%-15.7M71.0M-918.7K3.2014.11511631,69735,986
2013-05-02$109.05$108.004.8%1.4%3.7%25.2%4.8%0.9%0.0%-15.7M71.3M-916.3K0.9418.651,2421,1711,73636,121
2013-05-03$108.12$108.004.8%1.4%4.7%25.2%0.0%0.2%0.5%-5.3M13.1M-148.0K0.5714.44124712,53536,800
2013-05-06$107.98$108.004.7%1.4%4.6%22.8%5.0%0.4%0.7%-5.7M11.9M-126.7K0.4421.1375332,58336,831
2013-05-07$107.83$108.004.8%1.4%4.6%23.7%0.0%0.3%0.8%-18.8M99.3M-1.0M0.9815.088428232,63536,838
2013-05-08$107.96$108.004.5%1.4%4.4%18.6%0.0%0.4%0.7%-18.5M100.1M-1.0M0.6215.281931203,12437,307
2013-05-09$107.94$108.004.4%1.4%4.4%16.2%4.9%0.5%0.9%-18.6M102.1M-1.0M0.0315.352913,27037,416
2013-05-10$107.33$108.004.7%1.4%4.3%22.6%4.9%0.5%0.8%-22.5M119.8M-1.1M11.1718.45981,0953,28837,416
2013-05-13$107.14$108.005.6%1.5%4.2%42.9%6.1%0.7%0.6%-24.2M125.8M-1.1M61.0619.43362,1983,34238,486
2013-05-14$106.71$108.005.1%1.5%4.3%31.9%5.5%0.7%0.6%-26.8M151.0M-1.3M2.2515.2540903,36842,557
2013-05-15$106.99$108.005.7%1.5%4.4%45.4%5.2%0.9%0.6%-25.0M131.5M-1.2M21.6724.363653,40840,594
2013-05-16$107.50$108.005.1%1.5%4.8%31.9%5.3%0.7%0.7%-23.6M123.6M-1.2M1.3314.02751003,39640,615
2013-05-17$106.92$107.005.2%1.5%5.1%34.1%5.2%1.1%0.7%-25.9M138.8M-1.2M2.1416.3821453,45140,695
2013-05-20$106.84$107.005.3%1.5%5.1%36.0%5.7%1.1%0.1%-26.9M139.0M-1.2M3.0315.31371123,17740,497
2013-05-21$107.12$107.005.4%1.6%5.2%38.7%5.5%1.1%-0.1%-23.7M131.3M-1.2M0.8417.2343363,21440,604
2013-05-22$106.27$107.005.8%1.6%5.8%45.6%5.6%1.0%-0.1%-28.7M154.8M-1.2M0.2116.6668143,24740,615
2013-05-23$106.38$107.006.2%1.8%5.9%55.9%6.2%1.0%-0.3%-28.0M158.9M-1.2M0.7916.7356443,21740,625
2013-05-24$106.42$107.005.8%1.7%5.6%46.4%6.1%0.4%0.2%-27.3M156.7M-1.2M0.0012.3003903,25840,669
2013-05-28$105.17$107.006.6%1.9%6.8%64.3%7.0%1.2%-0.3%-30.4M191.4M-1.3M4.0315.37662663,25840,900
2013-05-29$105.60$107.006.6%1.9%7.1%63.2%7.9%1.4%-0.2%-29.8M187.3M-1.2M351.6415.124415,4723,27141,088
2013-05-30$105.61$107.006.9%2.0%7.0%71.9%6.8%0.6%-0.9%-18.1M120.0M-764.3K2.5014.2520503,28326,255
2013-05-31$105.32$107.006.5%1.9%6.9%62.4%6.7%0.4%-0.0%-32.8M97.6M-625.2K1.4916.391462173,28626,385