IEF Options History — January 2014

In January 2014, IEF traded between $99.52 and $102.28. ATM implied volatility averaged 5.0%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.5% (HV 20d: 5.5%). Max pain ranged from $99.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 39.25.

Notable Days

  • 2014-01-08: Highest Volume — 5,988 contracts
  • 2014-01-13: Largest IV spike — 100.0% change
  • 2014-01-28: Highest IV Rank — 43.9%
  • 2014-01-06: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.76$99.52$102.28$99.63$102.28
Max Pain$100.29$99.00$103.00$103.00$101.00
ATM IV5.0%2.5%5.8%5.5%5.5%
Expected Move1.5%1.4%1.7%1.6%1.6%
HV 20d5.5%4.8%5.9%5.0%5.6%
HV 60d5.7%5.5%5.9%5.5%5.8%
IV Rank31.3%0.0%43.9%30.8%41.0%
IV Percentile24.2%0.0%51.2%38.9%38.1%
Term Structure0.4%0.2%0.9%0.2%0.4%
VWIV5.3%3.8%6.3%4.8%5.3%
Skew 25d0.7%-0.1%1.6%0.8%-0.1%
Skew 10d2.9%0.0%16.0%0.5%1.5%
Call IV 25d5.0%4.0%5.7%4.5%5.6%
Put IV 25d5.7%5.2%6.5%5.4%5.5%
Bid-Ask Spread %12.817.0116.607.019.73
Gamma HHI0.230.170.310.170.23
Net GEX-17.0M-37.5M-3.0M-23.8M-3.0M
Net DEX105.3M3.7M199.3M196.9M3.7M
Net VEX-428.1K-606.9K-303.8K-606.9K-316.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio39.250.16597.800.811.23
Total Volume639.19715,988465138
Total OI49,430.95235,41162,53055,68336,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$99.63$103.005.5%1.6%5.0%30.8%4.8%0.8%0.2%-23.8M196.9M-606.9K0.817.0125720811,77543,908
2014-01-03$99.57$103.005.0%1.4%4.8%23.4%5.1%0.6%0.5%-23.4M199.3M-601.5K2.317.46358112,02244,086
2014-01-06$99.85$99.005.6%1.7%4.9%32.7%0.0%0.7%0.2%-23.3M188.6M-585.3K5.7414.0710057412,04444,165
2014-01-07$100.01$99.005.6%1.7%4.9%31.9%6.3%0.8%0.2%-23.9M180.7M-589.7K13.6816.601926012,14444,027
2014-01-08$99.52$99.005.8%1.7%5.1%34.7%6.1%0.9%0.3%-23.5M197.4M-571.9K597.8015.99105,97812,16344,187
2014-01-09$99.78$99.005.6%1.6%4.9%32.3%0.0%0.9%0.3%-37.5M184.9M-458.6K14.3111.793651512,16949,602
2014-01-10$100.62$99.002.5%1.4%5.8%0.0%5.2%0.8%0.9%-19.2M135.8M-334.9K3.2715.7516253012,18649,578
2014-01-13$100.91$99.005.0%1.5%5.7%33.6%5.8%0.8%0.5%-20.7M138.1M-447.9K8.1112.595645412,33849,967
2014-01-14$100.53$99.003.5%1.5%5.9%13.1%5.6%0.9%0.3%-31.3M167.1M-565.6K5.1515.5110051512,32849,705
2014-01-15$100.44$100.003.7%1.6%5.9%16.4%5.5%0.8%0.3%-27.3M156.8M-435.9K23.8015.051023812,36649,669
2014-01-16$100.72$100.005.1%1.5%5.9%35.9%3.8%0.7%0.4%-24.8M145.5M-432.4K0.1612.573916212,37649,812
2014-01-17$100.96$100.005.0%1.4%5.8%33.4%5.1%0.8%0.4%-26.7M135.8M-391.3K35.2713.971138812,76649,764
2014-01-21$100.85$100.005.2%1.5%5.5%36.8%5.6%0.5%0.4%-9.9M44.3M-419.0K4.9211.81125910,23725,174
2014-01-22$100.57$100.005.1%1.5%5.6%35.0%5.2%1.6%0.5%-6.7M36.9M-309.6K9.0512.702018110,24325,183
2014-01-23$101.25$101.005.2%1.5%5.9%36.2%5.1%1.1%0.5%-5.1M24.1M-321.3K0.5512.59764210,26325,326
2014-01-24$101.66$101.005.3%1.5%5.8%37.5%5.3%0.4%0.4%-6.5M16.1M-322.1K0.2712.172506710,30825,320
2014-01-27$101.35$101.005.5%1.6%5.8%41.3%5.6%0.5%0.5%-6.4M21.5M-337.4K1.2414.658810910,51525,356
2014-01-28$101.50$101.005.8%1.6%5.8%43.9%5.8%1.2%0.3%-6.2M18.2M-318.3K0.008.95050110,50825,434
2014-01-29$101.98$101.005.0%1.4%5.9%33.3%5.0%0.1%0.6%-3.1M8.9M-319.9K56.5014.361056510,50825,435
2014-01-30$101.88$101.005.0%1.4%5.6%33.6%5.0%0.5%0.6%-4.5M10.7M-303.8K0.8213.6417314210,51525,941
2014-01-31$102.28$101.005.5%1.6%5.6%41.0%5.3%-0.1%0.4%-3.0M3.7M-316.9K1.239.73627610,59426,043