IEF Options History — September 2013

In September 2013, IEF traded between $98.60 and $102.11. ATM implied volatility averaged 7.7%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.3% (HV 20d: 7.5%). Max pain ranged from $99.00 to $103.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 14.30.

Notable Days

  • 2013-09-09: Highest Volume — 9,482 contracts
  • 2013-09-12: Largest IV drop — 9.1% change
  • 2013-09-03: Highest IV Rank — 100.0%
  • 2013-09-03: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.38$98.60$102.11$99.69$102.11
Max Pain$100.10$99.00$103.00$102.00$100.00
ATM IV7.7%6.3%9.9%9.9%7.0%
Expected Move2.2%1.8%2.8%2.8%2.0%
HV 20d7.5%6.9%8.1%6.9%7.4%
HV 60d8.0%7.2%8.4%8.2%7.2%
IV Rank65.3%41.3%100.0%100.0%52.6%
IV Percentile85.3%71.0%100.0%100.0%79.8%
Term Structure0.1%-1.1%0.5%-1.1%0.1%
VWIV7.6%5.6%9.8%9.6%5.6%
Skew 25d0.7%0.2%1.4%0.6%0.7%
Skew 10d2.7%-1.2%4.0%0.9%3.9%
Call IV 25d7.4%6.1%9.8%9.7%6.8%
Put IV 25d8.1%6.7%10.3%10.3%7.5%
Bid-Ask Spread %10.896.6215.398.438.84
Gamma HHI0.340.200.620.230.49
Net GEX-8.9M-11.8M-5.1M-7.5M-10.1M
Net DEX116.3M83.8M150.0M122.5M84.8M
Net VEX-320.6K-391.6K-261.9K-303.0K-323.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.300.39209.712.783.64
Total Volume1,516.4889,4821,576130
Total OI33,573.8527,27437,72327,27434,611

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$99.69$102.009.9%2.8%6.9%100.0%9.6%0.6%-1.1%-7.5M122.5M-303.0K2.788.434171,1596,75320,521
2013-09-04$99.36$102.009.7%2.8%7.0%95.8%9.1%0.9%-0.8%-7.7M127.8M-300.1K0.398.173461356,60521,526
2013-09-05$98.60$103.009.5%2.7%7.1%93.4%9.8%0.2%-0.5%-8.3M135.8M-280.5K1.577.045298296,53221,607
2013-09-06$99.20$99.009.0%2.4%7.5%85.2%8.1%1.4%-0.1%-7.6M130.4M-283.5K1.3014.174495826,88022,230
2013-09-09$99.40$99.009.0%2.4%7.6%84.9%8.3%0.7%0.1%-8.3M129.1M-284.2K209.7112.80459,4376,89122,662
2013-09-10$98.95$99.008.7%2.4%7.7%81.0%8.1%0.9%0.1%-11.8M150.0M-386.6K5.2912.711367206,92428,421
2013-09-11$99.44$100.008.8%2.3%7.5%81.8%0.0%0.9%0.3%-11.6M143.9M-391.6K2.5311.43491247,01129,016
2013-09-12$99.45$100.008.0%2.3%7.4%68.9%7.9%0.8%0.1%-11.6M143.2M-387.7K23.9411.281232,9457,03729,138
2013-09-13$99.58$99.007.6%2.2%7.2%62.3%7.7%0.8%0.3%-10.6M139.1M-380.6K0.4912.513591777,14328,350
2013-09-16$99.80$99.007.8%2.2%7.2%65.9%7.8%1.0%0.0%-10.1M135.3M-371.4K1.3111.777209457,24528,436
2013-09-17$100.00$100.007.8%2.2%7.1%65.5%8.1%0.9%0.1%-10.4M134.9M-375.4K2.0310.473066227,16328,889
2013-09-18$101.24$100.007.1%2.0%8.1%54.7%7.5%0.9%0.3%-5.1M96.9M-268.5K1.3215.391,0101,3327,43329,188
2013-09-19$100.89$100.006.7%1.9%7.8%48.6%7.0%0.7%0.3%-6.7M107.7M-269.8K0.7811.627215617,64229,418
2013-09-20$100.99$100.006.6%1.9%7.8%46.1%6.6%0.9%0.3%-5.6M106.0M-280.1K1.2513.044986218,01029,713
2013-09-23$101.37$100.006.4%1.8%7.7%44.2%6.6%0.7%0.5%-8.3M93.0M-261.9K1.159.936968005,32426,852
2013-09-24$101.74$100.006.3%1.8%7.8%41.7%6.4%0.4%0.2%-8.4M85.5M-296.2K17.8510.12346075,81127,569
2013-09-25$102.02$100.006.3%1.8%7.6%41.3%6.6%0.5%0.5%-9.2M83.8M-316.8K2.3312.792315385,80628,139
2013-09-26$101.80$100.006.4%1.8%7.5%43.1%6.3%0.4%0.5%-9.2M89.1M-323.5K5.296.6214745,90328,587
2013-09-27$101.94$100.006.7%1.9%7.5%48.1%6.6%0.7%0.3%-9.6M87.3M-326.9K1.058.736396685,87028,621
2013-09-30$102.11$100.007.0%2.0%7.4%52.6%5.6%0.7%0.1%-10.1M84.8M-323.9K3.648.84281025,87028,741