IEF Options History — December 2013

In December 2013, IEF traded between $99.24 and $101.27. ATM implied volatility averaged 6.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 5.3%). Max pain ranged from $103.00 to $104.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 34.32.

Notable Days

  • 2013-12-05: Highest Volume — 7,282 contracts
  • 2013-12-06: Largest IV drop — 16.9% change
  • 2013-12-05: Highest IV Rank — 64.5%
  • 2013-12-05: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.41$99.24$101.27$101.09$99.24
Max Pain$103.19$103.00$104.00$104.00$103.00
ATM IV6.2%5.3%7.6%6.8%5.6%
Expected Move1.7%1.5%2.2%1.9%1.6%
HV 20d5.3%4.7%6.5%6.5%4.7%
HV 60d5.6%5.3%5.9%5.9%5.5%
IV Rank41.6%27.2%64.5%50.7%32.0%
IV Percentile57.6%26.2%84.9%73.8%41.7%
Term Structure0.2%-1.3%0.9%-0.6%0.4%
VWIV5.9%3.9%7.7%6.7%5.6%
Skew 25d1.0%0.6%1.7%1.7%0.7%
Skew 10d3.5%-0.0%12.3%9.6%1.2%
Call IV 25d5.7%4.6%7.5%6.1%5.0%
Put IV 25d6.7%5.5%8.5%7.8%5.8%
Bid-Ask Spread %11.187.5017.977.5012.85
Gamma HHI0.300.130.530.160.15
Net GEX-42.8M-87.1M-16.8M-22.5M-18.5M
Net DEX201.7M127.0M303.3M150.2M174.7M
Net VEX-529.7K-675.9K-353.1K-626.9K-476.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.320.58131.456.11131.45
Total Volume1,531.3811027,2821,1385,563
Total OI63,509.33349,54273,04458,80050,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$101.09$104.006.8%1.9%6.5%50.7%6.7%1.7%-0.6%-22.5M150.2M-626.9K6.117.5016097815,04943,751
2013-12-03$101.27$104.007.4%2.1%6.5%61.2%7.5%0.9%-1.1%-18.9M127.0M-482.3K7.7112.453123915,04643,712
2013-12-04$100.81$104.007.6%2.2%6.5%63.9%7.7%1.4%-1.3%-20.5M157.8M-592.6K41.179.711395,72315,05843,347
2013-12-05$100.56$104.007.6%2.2%6.4%64.5%7.7%0.9%-1.2%-33.7M197.7M-620.2K53.759.101337,14915,12348,586
2013-12-06$100.65$103.006.4%1.7%6.3%44.3%6.6%1.0%0.2%-55.9M238.3M-663.5K16.7813.203762115,23855,324
2013-12-09$100.77$103.006.6%1.8%5.0%48.0%6.1%1.0%0.0%-58.2M213.9M-511.6K2.0117.978001,60915,25555,377
2013-12-10$101.19$103.006.7%1.7%5.2%49.6%7.0%1.1%0.4%-63.7M199.3M-675.9K4.3013.393715915,91356,090
2013-12-11$100.80$103.007.0%1.7%5.4%54.8%5.9%0.7%0.4%-63.5M218.3M-650.3K103.0014.51551515,92556,204
2013-12-12$100.51$103.005.9%1.7%5.2%37.0%6.0%1.0%0.6%-62.8M249.3M-625.8K8.3015.354335715,92256,432
2013-12-13$100.66$103.005.8%1.7%4.9%35.7%4.7%1.3%0.6%-64.2M228.1M-473.7K17.0010.612034015,92756,589
2013-12-16$100.61$103.006.1%1.8%4.9%40.9%6.1%0.9%0.3%-66.3M232.7M-443.6K0.5810.061207015,93556,531
2013-12-17$100.93$103.005.9%1.7%4.8%37.5%5.8%1.2%0.3%-70.7M207.8M-447.8K14.109.984969115,99356,535
2013-12-18$100.55$103.005.7%1.6%4.8%33.5%5.8%0.7%0.8%-87.1M260.9M-551.5K13.7511.591632,24215,99357,051
2013-12-19$100.13$103.005.7%1.6%4.7%33.5%4.4%1.1%0.7%-37.7M303.3M-484.0K8.579.202382,04015,99056,546
2013-12-20$100.44$103.005.5%1.6%4.8%30.3%5.2%0.9%0.9%-64.5M284.6M-509.8K1.5010.3412118116,12756,888
2013-12-23$100.12$103.005.4%1.5%4.8%29.0%3.9%0.6%0.4%-17.7M147.7M-484.5K126.509.59225311,70137,841
2013-12-24$99.73$103.005.4%1.6%4.8%29.3%5.6%0.6%0.6%-16.8M145.7M-353.1K7.1710.023021511,70337,963
2013-12-26$99.48$103.005.9%1.7%4.7%36.5%4.8%0.6%0.3%-17.9M165.5M-487.6K24.3810.69819511,73338,072
2013-12-27$99.42$103.005.7%1.6%4.7%33.6%5.6%1.2%0.4%-18.8M168.1M-482.3K129.177.67677511,73838,159
2013-12-30$99.69$103.005.3%1.5%4.9%27.2%5.3%0.6%0.7%-19.2M165.7M-479.4K3.439.05237911,73938,889
2013-12-31$99.24$103.005.6%1.6%4.7%32.0%5.6%0.7%0.4%-18.5M174.7M-476.7K131.4512.85425,52111,76038,941