IEF Options History — October 2013

In October 2013, IEF traded between $101.21 and $103.14. ATM implied volatility averaged 6.0%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 5.2%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 5.88.

Notable Days

  • 2013-10-30: Highest Volume — 2,296 contracts
  • 2013-10-22: Largest IV drop — 10.5% change
  • 2013-10-08: Highest IV Rank — 55.6%
  • 2013-10-08: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.20$101.21$103.14$101.73$102.75
Max Pain$102.74$101.00$103.00$101.00$103.00
ATM IV6.0%4.9%7.1%6.9%4.9%
Expected Move1.7%1.4%2.0%2.0%1.4%
HV 20d5.2%4.1%7.0%7.0%4.5%
HV 60d6.7%6.2%7.2%7.2%6.2%
IV Rank38.0%19.1%55.6%51.9%19.3%
IV Percentile56.7%17.1%81.7%79.0%19.4%
Term Structure0.3%-0.1%0.9%0.0%0.7%
VWIV6.1%4.4%7.4%7.2%4.8%
Skew 25d0.8%-0.1%1.7%0.7%1.0%
Skew 10d1.8%-1.1%3.9%3.9%1.0%
Call IV 25d5.8%4.2%6.9%6.9%4.2%
Put IV 25d6.6%5.0%7.7%7.6%5.2%
Bid-Ask Spread %14.596.2530.656.259.49
Gamma HHI0.420.330.570.350.35
Net GEX-11.5M-16.6M-9.3M-10.6M-16.6M
Net DEX89.4M70.8M110.6M95.1M84.2M
Net VEX-317.0K-363.6K-286.5K-339.1K-333.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.880.0040.001.5712.92
Total Volume296.826152,296121167
Total OI35,355.30433,71637,72835,11937,728

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$101.73$101.006.9%2.0%7.0%51.9%7.2%0.7%0.0%-10.6M95.1M-339.1K1.576.2547745,85229,267
2013-10-02$101.90$101.006.8%2.0%6.8%50.2%6.8%0.4%0.1%-10.6M92.4M-339.9K0.179.63258445,85929,319
2013-10-03$102.04$101.006.4%1.8%5.9%44.1%6.9%0.4%0.3%-10.4M89.7M-339.3K5.316.75321705,98429,335
2013-10-04$101.76$103.006.4%1.9%5.9%44.2%7.3%0.8%0.1%-11.0M99.8M-363.0K34.508.5062075,97629,417
2013-10-07$101.85$103.007.1%2.0%5.9%54.2%7.4%0.8%-0.1%-10.2M93.6M-332.2K0.588.6689525,98229,610
2013-10-08$101.80$103.007.1%2.0%5.5%55.6%0.0%0.8%-0.1%-11.0M97.7M-363.6K9.8311.046595,98229,628
2013-10-09$101.62$103.006.9%1.9%5.5%51.6%6.8%0.7%0.1%-10.1M98.5M-315.8K3.4424.37321105,98229,684
2013-10-10$101.40$103.006.9%2.0%5.6%51.0%6.6%1.0%0.0%-9.9M103.5M-306.5K0.5022.091055,97929,682
2013-10-11$101.55$103.006.2%1.8%5.6%40.7%0.0%0.9%0.5%-9.7M100.7M-307.8K0.0018.090385,98929,683
2013-10-14$101.21$103.006.6%1.9%5.8%46.4%6.5%1.0%0.4%-10.2M110.6M-326.1K2.4430.65661615,98929,699
2013-10-15$101.23$103.006.6%1.9%5.8%46.4%0.0%0.8%0.2%-9.3M107.1M-286.5K5.0019.094206,03729,705
2013-10-16$101.72$103.006.2%1.8%4.1%39.6%0.0%0.8%0.3%-9.6M99.3M-291.3K40.0019.101406,03929,700
2013-10-17$102.30$103.005.8%1.6%4.3%33.2%5.4%0.9%0.6%-10.7M85.2M-303.7K2.3717.76872065,98029,449
2013-10-18$102.31$103.006.0%1.7%4.3%38.0%6.1%0.9%0.3%-10.9M86.2M-301.4K0.2013.60178355,85229,610
2013-10-21$102.24$103.006.2%1.8%4.2%40.0%6.3%1.7%0.1%-12.0M91.2M-292.9K1.1211.3641465,51928,197
2013-10-22$102.95$103.005.5%1.6%4.6%29.7%5.5%0.7%0.2%-12.7M77.7M-299.7K4.4111.48612695,54128,239
2013-10-23$103.13$103.005.4%1.6%4.6%28.2%6.2%0.8%0.5%-12.8M72.9M-295.2K1.0116.443263305,54828,456
2013-10-24$102.92$103.005.1%1.5%4.6%23.2%0.0%0.8%0.5%-13.0M77.3M-302.1K0.0614.68770435,78428,752
2013-10-25$103.10$103.005.0%1.4%4.6%21.5%4.4%0.7%0.6%-13.0M72.9M-316.6K0.0912.58346306,49428,793
2013-10-28$103.00$103.004.9%1.4%4.6%19.1%4.8%0.6%0.8%-13.0M74.0M-317.2K0.0012.022706,81928,803
2013-10-29$103.14$103.005.1%1.5%4.3%23.5%0.0%0.6%0.4%-13.2M70.8M-305.8K2.1722.5312266,81828,803
2013-10-30$102.87$103.005.0%1.4%4.5%21.5%5.2%-0.1%0.9%-12.9M76.9M-312.9K1.739.538421,4546,78428,824
2013-10-31$102.75$103.004.9%1.4%4.5%19.3%4.8%1.0%0.7%-16.6M84.2M-333.0K12.929.49121557,54330,185