IEF Options History — August 2013

In August 2013, IEF traded between $99.58 and $102.12. ATM implied volatility averaged 7.3%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.1% (HV 20d: 7.4%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.22.

Notable Days

  • 2013-08-20: Highest Volume — 2,566 contracts
  • 2013-08-15: Largest IV spike — 32.3% change
  • 2013-08-30: Highest IV Rank — 100.0%
  • 2013-08-30: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.85$99.58$102.12$100.96$100.41
Max Pain$104.27$102.00$105.00$102.00$102.00
ATM IV7.3%5.3%9.4%7.1%9.4%
Expected Move2.2%1.8%2.7%2.0%2.7%
HV 20d7.4%6.6%9.4%9.4%6.6%
HV 60d8.2%8.1%8.4%8.1%8.2%
IV Rank68.8%29.6%100.0%64.1%100.0%
IV Percentile81.6%37.3%100.0%90.1%100.0%
Term Structure-0.0%-0.9%0.6%0.3%-0.9%
VWIV8.0%6.7%9.0%6.7%9.0%
Skew 25d1.2%0.8%1.7%1.5%1.2%
Skew 10d3.3%1.8%5.1%3.2%2.4%
Call IV 25d7.4%6.1%8.6%6.6%8.6%
Put IV 25d8.6%7.0%9.9%8.1%9.7%
Bid-Ask Spread %14.999.1624.6112.259.82
Gamma HHI0.300.250.360.340.28
Net GEX-8.7M-10.2M-7.6M-8.8M-8.1M
Net DEX112.0M93.6M128.7M110.0M112.0M
Net VEX-310.1K-344.5K-252.2K-326.7K-335.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.1322.071.150.13
Total Volume355.54562,566609242
Total OI24,552.18222,98527,09222,98527,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$100.96$102.007.1%2.0%9.4%64.1%6.7%1.5%0.3%-8.8M110.0M-326.7K1.1512.252833264,97018,015
2013-08-02$101.82$102.006.2%1.8%7.8%47.3%6.8%0.9%0.6%-9.1M100.7M-344.5K1.2712.93801025,21518,268
2013-08-05$101.50$105.006.4%2.1%7.6%50.7%7.4%1.6%0.1%-8.7M103.8M-326.7K0.8920.46985,25118,329
2013-08-06$101.53$105.005.6%2.0%7.6%37.0%7.1%1.3%0.3%-8.9M103.5M-319.8K5.5021.4516885,25618,333
2013-08-07$101.90$105.005.9%2.0%7.6%41.0%7.5%1.3%0.1%-8.0M97.1M-303.8K0.1722.182345,26118,336
2013-08-08$102.05$105.005.7%2.0%6.7%37.2%7.0%1.3%0.4%-8.6M95.6M-332.7K2.5422.7413335,27118,340
2013-08-09$102.12$105.005.3%1.9%6.7%30.7%7.0%1.2%0.5%-7.6M93.6M-306.3K0.2018.20515,27418,351
2013-08-12$101.92$105.005.5%1.9%6.6%33.8%7.0%1.4%0.4%-8.4M98.3M-331.4K1.1516.6613155,27318,352
2013-08-13$101.00$105.005.3%1.9%7.4%29.6%7.6%1.4%0.6%-8.9M109.4M-252.2K5.5916.98512855,26818,359
2013-08-14$101.09$105.005.7%2.0%7.1%38.5%7.9%1.2%0.1%-10.2M113.3M-299.5K9.5512.38111055,29618,574
2013-08-15$100.53$105.007.6%2.2%7.2%73.7%8.4%1.7%0.0%-9.8M118.2M-298.1K2.7113.69421145,29418,638
2013-08-16$100.14$105.008.0%2.3%6.9%82.5%9.0%1.1%-0.1%-9.5M125.0M-268.7K22.0713.00275965,31918,726
2013-08-19$99.71$105.008.9%2.6%6.9%99.2%8.9%1.5%-0.5%-8.4M124.1M-273.8K0.7513.213382534,70118,536
2013-08-20$100.25$105.008.7%2.5%7.4%95.5%8.9%1.3%-0.3%-8.4M117.9M-302.4K2.6614.937021,8645,00018,634
2013-08-21$99.62$104.008.6%2.5%7.3%92.5%8.7%1.2%-0.2%-8.6M125.7M-306.1K2.9014.18511485,62720,051
2013-08-22$99.58$104.008.5%2.4%7.3%91.5%8.1%0.9%-0.3%-8.6M128.7M-296.6K1.4824.611502225,65020,118
2013-08-23$100.14$104.008.4%2.4%7.6%89.0%0.0%1.1%-0.2%-8.7M122.3M-307.6K4.3110.92482075,76820,126
2013-08-26$100.34$104.008.5%2.4%7.7%91.5%8.4%0.9%-0.3%-8.8M119.5M-310.3K0.4211.4238165,77420,296
2013-08-27$100.91$104.008.6%2.5%8.0%92.4%8.3%1.0%-0.4%-9.0M111.1M-332.4K0.549.464012175,79420,289
2013-08-28$100.50$104.008.9%2.6%8.1%99.0%8.8%0.8%-0.5%-8.6M118.3M-317.3K4.679.1915706,08820,451
2013-08-29$100.60$104.008.8%2.5%7.3%96.0%9.0%1.0%-0.5%-8.5M114.7M-330.3K0.139.16524666,10320,481
2013-08-30$100.41$102.009.4%2.7%6.6%100.0%9.0%1.2%-0.9%-8.1M112.0M-335.3K0.139.82214286,57020,522