IEF Options History — July 2013

In July 2013, IEF traded between $100.52 and $102.75. ATM implied volatility averaged 7.4%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 1.9% (HV 20d: 9.3%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.74.

Notable Days

  • 2013-07-08: Highest Volume — 2,469 contracts
  • 2013-07-18: Largest IV drop — 12.2% change
  • 2013-07-09: Highest IV Rank — 96.8%
  • 2013-07-03: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.01$100.52$102.75$102.40$102.00
Max Pain$101.95$101.00$103.00$103.00$102.00
ATM IV7.4%5.8%8.8%8.4%6.8%
Expected Move2.1%1.7%2.5%2.4%2.0%
HV 20d9.3%8.1%10.7%8.4%8.7%
HV 60d7.6%6.6%8.0%6.6%7.8%
IV Rank70.4%40.8%96.8%90.1%59.2%
IV Percentile90.0%69.0%99.6%99.2%87.3%
Term Structure0.3%-0.3%0.8%-0.2%0.2%
VWIV7.3%3.4%9.2%8.3%6.9%
Skew 25d1.3%0.8%1.7%1.0%1.4%
Skew 10d4.1%2.0%5.4%4.6%2.0%
Call IV 25d7.0%5.6%8.2%8.1%6.3%
Put IV 25d8.3%6.5%9.7%9.0%7.8%
Bid-Ask Spread %13.649.8522.0212.8216.42
Gamma HHI0.420.360.480.470.36
Net GEX-8.6M-9.9M-7.3M-8.5M-9.4M
Net DEX103.3M85.9M124.9M101.7M100.4M
Net VEX-374.8K-435.3K-307.8K-430.0K-349.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.740.2832.823.550.28
Total Volume302.727242,469150191
Total OI23,840.27322,65025,91922,65022,947

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$102.40$103.008.4%2.4%8.4%90.1%8.3%1.0%-0.2%-8.5M101.7M-430.0K3.5512.82331175,06917,581
2013-07-02$102.44$103.008.5%2.4%8.4%91.1%8.2%1.1%0.0%-8.4M99.6M-424.7K0.4111.7751215,08917,635
2013-07-03$102.24$103.008.7%2.5%8.1%95.8%8.5%1.5%-0.3%-8.7M103.3M-427.4K8.2510.304335,09917,656
2013-07-05$100.52$102.008.5%2.3%9.7%90.3%7.9%1.3%0.2%-8.2M124.9M-341.2K1.6713.413606015,10017,684
2013-07-08$101.11$102.008.7%2.5%9.9%94.9%9.2%1.5%0.1%-8.3M118.5M-375.9K32.8216.03732,3965,32017,772
2013-07-09$101.28$102.008.8%2.5%9.9%96.8%9.0%1.4%-0.0%-9.1M119.2M-418.4K5.2311.95261365,34019,748
2013-07-10$100.92$102.008.8%2.5%9.8%96.6%8.7%1.5%-0.1%-9.1M123.7M-397.6K0.8313.402412005,35819,778
2013-07-11$101.93$101.008.0%2.3%10.7%81.6%7.9%1.6%0.0%-9.5M112.3M-426.7K3.8812.2225975,53619,837
2013-07-12$101.85$101.007.5%2.2%10.1%73.2%7.5%1.0%0.4%-9.9M114.2M-421.8K0.3312.414351445,53419,891
2013-07-15$102.17$102.007.8%2.2%10.2%78.0%9.0%1.1%0.5%-9.1M106.6M-423.5K0.859.85111945,83820,013
2013-07-16$102.22$102.007.6%2.2%10.3%75.0%7.8%1.2%0.4%-9.5M107.5M-428.2K1.3411.69921235,87420,020
2013-07-17$102.67$101.007.3%2.1%10.5%68.4%7.5%1.2%0.1%-9.4M100.9M-435.3K3.5913.6217615,91020,009
2013-07-18$102.19$101.006.4%1.8%9.4%51.7%6.4%1.1%0.8%-7.3M94.0M-345.0K8.3613.19141175,86718,485
2013-07-19$102.75$102.005.8%1.7%9.6%40.8%6.1%1.1%0.7%-7.8M87.1M-339.3K2.5310.81551395,87818,528
2013-07-22$102.74$102.005.9%1.7%8.7%41.7%6.0%0.8%0.8%-8.0M85.9M-337.9K15.8013.11152374,92517,771
2013-07-23$102.62$102.005.9%1.7%8.7%42.1%5.6%1.2%0.6%-8.3M89.2M-337.1K1.4219.2112174,91017,977
2013-07-24$101.93$102.006.2%1.8%9.0%47.7%6.5%1.2%0.8%-8.2M97.9M-309.6K0.8515.0685724,90117,969
2013-07-25$102.08$102.006.5%1.9%8.9%53.6%3.4%1.7%0.5%-8.5M97.6M-328.5K3.5722.0214504,91817,978
2013-07-26$102.17$102.006.7%1.9%8.7%57.1%6.4%1.4%0.6%-8.3M94.0M-326.7K0.4113.891774,92117,980
2013-07-29$101.96$102.007.0%2.0%8.7%63.6%7.3%1.2%-0.3%-8.0M96.3M-314.8K7.0013.236424,93417,984
2013-07-30$101.93$102.006.9%2.0%8.7%60.2%6.7%1.5%0.2%-8.2M97.4M-307.8K1.2613.7835444,93917,983
2013-07-31$102.00$102.006.8%2.0%8.7%59.2%6.9%1.4%0.2%-9.4M100.4M-349.3K0.2816.42149424,93918,008