IEF Options History — March 2014

In March 2014, IEF traded between $101.25 and $102.81. ATM implied volatility averaged 5.5%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded below realized volatility by 0.1% (HV 20d: 5.6%). Max pain ranged from $102.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 47.33.

Notable Days

  • 2014-03-10: Highest Volume — 5,526 contracts
  • 2014-03-07: Largest IV drop — 14.0% change
  • 2014-03-06: Highest IV Rank — 47.3%
  • 2014-03-06: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.85$101.25$102.81$102.81$101.73
Max Pain$102.43$102.00$103.00$103.00$102.00
ATM IV5.5%5.0%6.0%5.9%5.3%
Expected Move1.6%1.4%1.7%1.7%1.5%
HV 20d5.6%4.3%6.3%4.3%6.2%
HV 60d5.4%5.1%5.7%5.1%5.5%
IV Rank40.3%34.2%47.3%45.8%37.5%
IV Percentile35.2%11.5%56.7%55.6%23.0%
Term Structure0.2%-0.4%0.6%-0.3%0.2%
VWIV5.4%5.0%5.8%5.6%5.5%
Skew 25d0.5%-0.3%4.2%-0.1%4.2%
Skew 10d1.3%-1.7%27.0%-0.9%27.0%
Call IV 25d5.2%4.1%6.1%5.6%4.5%
Put IV 25d5.7%4.9%8.7%5.5%8.7%
Bid-Ask Spread %54.2010.2497.1611.3797.16
Gamma HHI0.290.240.370.270.37
Net GEX-13.5M-33.4M-829.3K-829.3K-25.3M
Net DEX41.2M-5.9M95.6M-5.9M59.7M
Net VEX-361.3K-434.2K-251.6K-251.6K-426.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio47.330.27501.361.062.50
Total Volume1,034.66785,5261,25363
Total OI42,026.71436,63551,06836,63542,760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$102.81$103.005.9%1.7%4.3%45.8%5.6%-0.1%-0.3%-829.3K-5.9M-251.6K1.0611.376076469,97626,659
2014-03-04$102.02$103.005.7%1.6%5.0%42.9%5.4%0.5%-0.1%-5.2M11.7M-287.6K4.2111.452912210,43927,266
2014-03-05$102.13$103.005.8%1.7%4.9%44.5%5.1%-0.3%-0.2%-4.3M8.6M-274.4K1.3310.24152010,50827,366
2014-03-06$101.69$103.006.0%1.7%5.0%47.3%5.8%-0.1%-0.4%-6.8M18.3M-282.2K0.2740.60521410,52027,370
2014-03-07$101.25$103.005.2%1.5%5.1%36.0%5.2%0.6%0.2%-9.0M27.7M-266.6K0.2714.5552013810,53027,371
2014-03-10$101.36$103.005.6%1.5%5.1%41.9%5.3%0.4%0.3%-8.8M26.6M-260.1K501.3614.94115,51510,28327,432
2014-03-11$101.46$103.005.6%1.6%5.1%41.9%0.0%0.5%0.2%-14.6M49.3M-361.2K5.0017.3642010,28932,445
2014-03-12$101.86$103.005.5%1.5%5.0%40.2%5.2%0.0%0.5%-12.1M38.0M-354.9K107.4016.40553710,29132,452
2014-03-13$102.46$103.005.2%1.5%5.3%36.8%5.2%1.2%0.4%-7.7M23.8M-365.6K8.9514.916558210,28832,989
2014-03-14$102.47$102.005.6%1.6%5.1%41.7%5.5%0.1%0.2%-9.4M25.4M-375.1K1.5515.338713510,32433,504
2014-03-17$102.06$102.005.7%1.6%5.3%43.2%5.7%0.3%0.3%-11.1M35.8M-374.8K0.7619.57372810,35433,540
2014-03-18$102.31$102.005.5%1.6%5.3%41.2%5.6%0.1%0.2%-8.9M29.8M-369.8K1.4494.471,5182,18110,36533,560
2014-03-19$101.36$102.005.6%1.6%6.3%41.8%5.6%0.3%0.0%-22.5M73.0M-387.7K102.8394.37363,70211,85935,694
2014-03-20$101.38$102.005.6%1.6%6.3%41.5%5.7%0.5%0.3%-28.8M95.6M-422.9K8.9091.767869411,77638,708
2014-03-21$101.57$102.005.0%1.4%6.3%34.2%5.0%0.2%0.6%-33.4M89.5M-423.7K0.5993.69462711,81839,250
2014-03-24$101.61$102.005.4%1.6%6.3%39.3%5.2%0.3%0.3%-12.1M53.3M-414.4K37.5994.552282711,22228,382
2014-03-25$101.55$102.005.3%1.5%6.1%38.5%5.3%1.2%0.3%-12.2M54.8M-411.6K6.3696.55117011,23928,450
2014-03-26$101.98$102.005.1%1.5%6.2%35.1%5.0%-0.3%0.4%-11.5M43.3M-410.9K153.7595.45203,07511,24228,520
2014-03-27$102.08$102.005.2%1.5%6.2%36.3%0.0%-0.2%0.4%-18.7M46.4M-430.8K0.0096.640811,22231,538
2014-03-28$101.72$102.005.3%1.5%6.3%38.3%5.3%0.2%0.4%-20.2M60.4M-434.2K0.4696.721105111,22231,538
2014-03-31$101.73$102.005.3%1.5%6.2%37.5%5.5%4.2%0.2%-25.3M59.7M-426.2K2.5097.16184511,22231,538